UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

 

FORM 10-Q

 

  x Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

For the Quarter Ended September 30, 2014

 

  ¨ 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   (IRS Employer
of Incorporation)   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 x 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                x
     
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 x

 

The number of shares of the Registrant’s common stock, $0.001 par value, outstanding as of November 5, 2014 was 42,810,497.

 

 
 

  

Table of Contents

 

TCP CAPITAL CORP.

 

FORM 10-Q FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

 

TABLE OF CONTENTS

 

Part I. Financial Information    
       
Item 1. Financial Statements    
  Consolidated Statements of Assets and Liabilities as of September 30, 2014 (unaudited) and December 31, 2013   2
  Consolidated Statements of Investments as of September 30, 2014 (unaudited) and December 31, 2013   3
  Consolidated Statements of Operations for the three and nine months ended September 30, 2014 (unaudited) and September 30, 2013 (unaudited)   13
  Consolidated Statements of Changes in Net Assets for the nine months ended September 30, 2014 (unaudited) and year ended December 31, 2013   14
  Consolidated Statements of Cash Flows for the nine months ended September 30, 2014 (unaudited) and September 30, 2013 (unaudited)   15
  Notes to Consolidated Financial Statements (unaudited)   16
  Consolidated Schedule of Changes in Investments in Affiliates for the nine months ended September 30, 2014 (unaudited) and year ended December 31, 2013   36
  Consolidated Schedule of Restricted Securities of Unaffiliated Issuers as of September 30, 2014 (unaudited) and December 31, 2013   37
  Consolidating Statement of Assets and Liabilities as of September 30, 2014 (unaudited) and December 31, 2013   39
  Consolidating Statement of Operations for the nine months ended September 30, 2014 (unaudited) and September 30, 2013 (unaudited)   41
       
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations   44
       
Item 3. Quantitative and Qualitative Disclosures About Market Risk   56
       
Item 4. Controls and Procedures   56
       
Part II. Other Information    
       
Item 1. Legal Proceedings   57
       
Item 1A. Risk Factors   57
       
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds   58
       
Item 3. Defaults upon Senior Securities   58
       
Item 4. Mine Safety Disclosures   58
       
Item 5. Other Information   58
       
Item 6. Exhibits   58

 

1
 

  

TCP Capital Corp.

 

Consolidated Statements of Assets and Liabilities 

 

   September 30, 2014   December 31, 2013 
   (unaudited)     
Assets          
Investments, at fair value:          
Companies less than 5% owned (cost of $1,012,619,777 and $684,569,508, respectively)  $1,010,685,137   $678,326,915 
Companies 5% to 25% owned (cost of $54,987,297 and $73,946,547, respectively)   48,193,229    69,068,808 
Companies more than 25% owned (cost of $40,807,126 and $42,588,724 respectively)   15,918,961    18,867,236 
Total investments (cost of $1,108,414,200 and $801,104,779, respectively)   1,074,797,327    766,262,959 
           
Cash and cash equivalents   24,144,075    22,984,182 
Receivable for investments sold   -    3,605,964 
Accrued interest income:          
Companies less than 5% owned   9,677,087    6,282,353 
Companies 5% to 25% owned   650,326    415,061 
Companies more than 25% owned   31,901    41,691 
Deferred debt issuance costs   7,487,811    2,969,085 
Unrealized appreciation on swaps   1,071,130    - 
Options (cost $51,750)   1,327    14,139 
Prepaid expenses and other assets   1,745,080    753,768 
Total assets   1,119,606,064    803,329,202 
           
Liabilities          
Debt   319,099,077    95,000,000 
Incentive allocation payable   3,767,604    3,318,900 
Interest payable   2,482,066    430,969 
Payable for investments purchased   1,250,031    14,706,942 
Payable to the Investment Manager   411,292    1,121,108 
Unrealized depreciation on swaps   -    331,183 
Accrued expenses and other liabilities   2,862,844    3,136,010 
Total liabilities   329,872,914    118,045,112 
           
Commitments and contingencies (Note 5)          
           
Preferred equity facility          
Series A preferred limited partner interests in Special Value Continuation Partners, LP;  $20,000/interest liquidation preference; 6,700 interests authorized, issued and outstanding   134,000,000    134,000,000 
Accumulated dividends on Series A preferred equity facility   498,858    504,252 
Total preferred limited partner interests   134,498,858    134,504,252 
           
Non-controlling interest          
General Partner interest in Special Value Continuation Partners, LP   701,164    1,168,583 
           
Net assets applicable to common shareholders  $654,533,128   $549,611,255 
           
Composition of net assets applicable to common shareholders          
Common stock, $0.001 par value; 200,000,000 shares authorized, 42,410,242 and 36,199,916 shares issued and outstanding as of September 30, 2014 and December 31, 2013, respectively   42,410    36,200 
Paid-in capital in excess of par   774,297,634    667,842,020 
Accumulated net investment income   24,345,823    24,016,095 
Accumulated net realized losses   (110,733,996)   (105,800,278)
Accumulated net unrealized depreciation   (32,717,579)   (35,314,199)
Non-controlling interest   (701,164)   (1,168,583)
Net assets applicable to common shareholders  $654,533,128   $549,611,255 
           
Net assets per share  $15.43   $15.18 

 

See accompanying notes.

 

2
 

 

TCP Capital Corp.

 

Consolidated Statement of Investments (Unaudited)

 

September 30, 2014

 

Showing Percentage of Total Cash and Investments of the Company

 

                              % of    
Issuer  Instrument  Ref  Spread  Floor  Maturity  Principal   Cost   Value   Portfolio   Notes
                                       
Debt Investments (A)                                      
Accounting, Tax Preparation, Bookkeeping, and Payroll Services                             
Expert Global Solutions, LLC  First Lien Term Loan B  LIBOR (Q)  7.25%  1.25%  4/3/2018  $683,590   $696,318   $684,728    0.06%   
Expert Global Solutions, LLC  Second Lien Term Loan  LIBOR (Q)  11.00%  1.50%  10/3/2018  $7,448,973    7,266,578    7,363,310    0.67%   
                        7,962,896    8,048,038    0.73%   
Activities Related to Real Estate                                
Greystone Select Holdings, LLC  First Lien Term Loan  LIBOR (Q)  8.00%  1.00%  3/26/2021  $16,511,362    16,284,331    16,560,896    1.51%   
                                       
Advertising, Public Relations, and Related Services                                
Doubleplay III Limited (United Kingdom)  First Lien Facility
A1 Term Loan		  EURIBOR (Q)  6.25%  1.25%  3/18/2018  €13,165,705    16,717,182    16,213,862    1.48%  D/I
                                       
Artificial Synthetic Fibers and Filaments Manufacturing                                
AGY Holding Corp.  Sr Secured Term Loan  Fixed  12.00%  -  9/15/2016  $2,298,418    2,298,418    2,298,418    0.21%  B
AGY Holding Corp.  Second Lien Notes  Fixed  11.00%  -  11/15/2016  $9,268,000    7,586,318    8,637,777    0.79%  B/E
                        9,884,736    10,936,195    1.00%   
Basic Chemical Manufacturing                                
M&G Chemicals S.A. (Luxembourg)  Sr Secured Term Loan  LIBOR (Q)  7.50%  -  3/18/2016  $15,632,077    15,632,077    15,632,077    1.42%  I
PeroxyChem, LLC  First Lien Term Loan  LIBOR (Q)  6.50%  1.00%  2/28/2020  $8,955,000    8,794,870    9,089,325    0.83%   
                        24,426,947    24,721,402    2.25%   
Beverage Manufacturing                                
Carolina Beverage Group, LLC  Secured Notes  Fixed  10.625%  -  8/1/2018  $7,780,000    7,780,000    8,091,200    0.74%  E/G
                                       
Business Support Services                                
STG-Fairway Acquisitions, Inc.  Second Lien Term Loan  LIBOR (Q)  9.25%  1.25%  8/28/2019  $14,643,455    14,012,131    14,863,107    1.35%   
                                       
Chemical Manufacturing                                
Archroma  Term Loan B  LIBOR (Q)  8.25%  1.25%  9/30/2018  $19,946,579    19,627,478    20,208,378    1.84%   
                                       
Communications Equipment Manufacturing                                
Globecomm Systems, Inc.  First Lien Term Loan  LIBOR (Q)  7.625%  1.25%  12/11/2018  $14,887,500    14,738,625    14,746,069    1.34%  B
                                       
Computer Equipment Manufacturing                                
ELO Touch Solutions, Inc.  Second Lien Term Loan  LIBOR (Q)  10.50%  1.50%  12/1/2018  $10,000,000    9,704,432    9,150,000    0.84%   
                                       
Computer Systems Design and Related Services                                
Autoalert, LLC  First Lien Term Loan  LIBOR (Q)  4.75% Cash
+ 4% PIK		  0.25%  3/31/2019  $30,613,101    30,061,099    30,980,458    2.82%   
Blue Coat Systems, Inc.  First Lien Revolver  LIBOR (Q)  3.50%  1.00%  5/31/2018  $–    (780,948)   (570,240)   (0.05%)  L
Blue Coat Systems, Inc.  Second Lien Term Loan  LIBOR (Q)  8.50%  1.00%  6/28/2020  $15,000,000    14,878,125    15,000,000    1.36%   
MSC Software Corporation  Second Lien Term Loan  LIBOR (M)  7.50%  1.00%  5/29/2021  $11,993,035    11,873,105    11,813,140    1.07%   
OnX Enterprise Solutions, Ltd.  First Lien Term Loan B  LIBOR (Q)  8.00%  -  9/3/2018  $2,367,400    2,367,400    2,352,012    0.21%   
OnX Enterprise Solutions, Ltd.  First Lien Term Loan  LIBOR (Q)  7.00%  -  9/3/2018  $10,560,000    10,433,374    10,317,120    0.94%   
OnX USA, LLC  First Lien Term Loan B  LIBOR (Q)  8.00%  -  9/3/2018  $4,734,800    4,734,800    4,704,024    0.43%   
OnX USA, LLC  First Lien Term Loan  LIBOR (Q)  7.00%  -  9/3/2018  $5,280,000    5,220,412    5,158,560    0.47%   
Vistronix, LLC  First Lien Revolver  LIBOR (Q)  7.50%  1.00%  12/4/2018  $131,329    125,092    131,329    0.01%   
Vistronix, LLC  First Lien Term Loan  LIBOR (M)  7.50%  1.00%  12/4/2018  $6,595,001    6,521,724    6,529,051    0.59%   
Websense, Inc.  Second Lien Term Loan  LIBOR (Q)  7.25%  1.00%  12/27/2020  $7,200,000    7,164,000    7,200,000    0.66%   
                        92,598,183    93,615,454    8.51%   
                                       
Cut and Sew Apparel Manufacturing                                
Jones Apparel, LLC  First Lien FILO Term Loan  LIBOR (M)  9.60%  1.00%  4/8/2019  $14,329,403    14,186,109    14,479,862    1.32%   
                                       
Data Processing, Hosting, and Related Services                                
Asset International, Inc.  Delayed Draw Term Loan  LIBOR (M)  7.00%  1.00%  7/31/2020  $–    (42,880)   (34,304)   0.00%  L
Asset International, Inc.  Revolver  LIBOR (M)  7.00%  1.00%  7/31/2020  $355,485    345,667    347,406    0.03%   
Asset International, Inc.  First Lien Term Loan  LIBOR (M)  7.00%  1.00%  7/31/2020  $8,212,337    8,051,574    8,130,214    0.74%   
Rightside Group, Ltd.  Second Lien Term Loan  LIBOR (Q)  8.75%  0.50%  8/6/2019  $5,000,000    3,994,082    4,280,000    0.39%   
The Telx Group, Inc.  Senior Notes  Fixed  13.5% PIK  -  7/9/2021  $4,165,481    4,165,481    4,332,100    0.39%  E
United TLD Holdco, Ltd.
(Cayman Islands)		  Second Lien Term Loan  LIBOR (Q)  8.75%  0.50%  8/6/2019  $10,000,000    7,988,163    8,560,000    0.78%  I
                        24,502,087    25,615,416    2.33%   
                                       
Electric Power Generation, Transmission and Distribution                                
Panda Sherman Power, LLC  First Lien Term Loan  LIBOR (Q)  7.50%  1.50%  9/14/2018  $11,045,948    10,926,541    11,301,385    1.03%   
                                       
Electrical Equipment and Component Manufacturing                                
Palladium Energy, Inc.  First Lien Term Loan  LIBOR (Q)  9.00%  1.00%  12/26/2017  $16,153,317    15,912,128    16,234,084    1.48%   
                                       
Electrical Equipment Manufacturing                                
API Technologies Corp.  First Lien Term Loan  LIBOR (Q)  7.50%  1.50%  2/6/2018  $6,773,900    6,706,161    6,746,804    0.61%   
                                       
Fabricated Metal Product Manufacturing                                
Constellation Enterprises, LLC  First Lien Notes  Fixed  10.625%  -  2/1/2016  $2,900,000    2,858,907    2,646,250    0.24%  E
                                       
Financial Investment Activities                                
Institutional Shareholder Services, Inc.  Second Lien Term Loan  LIBOR (Q)  7.50%  1.00%  4/30/2022  $6,471,492    6,406,777    6,439,135    0.59%   
Marsico Capital Management  First Lien Term Loan  LIBOR (M)  5.00%  -  12/31/2022  $10,520,758    13,247,034    3,892,680    0.35%  J
                        19,653,811    10,331,815    0.94%   

 

3
 

 

TCP Capital Corp.

 

Consolidated Statement of Investments (Unaudited) (Continued)

 

September 30, 2014

 

Showing Percentage of Total Cash and Investments of the Company

 

                              % of    
Issuer  Instrument  Ref  Spread  Floor  Maturity  Principal   Cost   Value   Portfolio   Notes
                                       
Debt Investments (continued)                                
Full-Service Restaurants                                
RM Holdco, LLC  Subordinated
Convertible Term Loan		  Fixed  1.12% PIK  -  3/21/2018  $5,164,796   $5,164,796   $15,494    -   B
RM OpCo, LLC  Convertible Second Lien Term Loan Tranche B-1  Fixed  12% Cash
+ 7% PIK		  -  3/21/2016  $1,565,489    1,543,886    1,565,489    0.14%  B
RM OpCo, LLC  First Lien
Term Loan Tranche A		  Fixed  11.00%  -  3/21/2016  $3,763,095    3,763,095    3,763,095    0.34%  B
RM OpCo, LLC  Second Lien
Term Loan Tranche B		  Fixed  12% Cash
+ 7% PIK		  -  3/21/2016  $7,800,294    7,800,294    6,891,560    0.63%  B
RM OpCo, LLC  Second Lien
Term Loan Tranche B-1		  Fixed  12% Cash
+ 7% PIK		  -  3/21/2016  $2,456,579    2,427,363    2,456,579    0.22%  B
                        20,699,434    14,692,217    1.33%   
Gaming Industries                                
AP Gaming I, LLC  First Lien Revolver  LIBOR (Q)  8.25%  1.00%  12/20/2018  $2,500,000    2,879,797    3,000,000    0.27%   
AP Gaming I, LLC  First Lien Term Loan B  LIBOR (Q)  8.25%  1.00%  12/20/2020  $14,887,500    14,474,462    15,036,375    1.37%   
                        17,354,259    18,036,375    1.64%   
General Medical and Surgical Hospitals                                
RegionalCare Hospital Partners, Inc.  Second Lien Term Loan  LIBOR (M)  9.50%  1.00%  10/23/2019  $21,017,525    20,718,500    21,227,700    1.93%   
                                       
Grocery Stores                                
Bashas, Inc.  First Lien FILO Term Loan  LIBOR (M)  9.35%  1.50%  12/28/2015  $12,537,855    12,502,700    12,531,586    1.14%   
The Great Atlantic & Pacific Tea
Company, Inc.		  Term Loan Tranche B  LIBOR (M)  8.85%  1.00%  9/17/2019  $21,162,842    20,794,482    21,236,912    1.93%   
                        33,297,182    33,768,498    3.07%   
Insurance Carriers                                
Acrisure, LLC  Second Lien Notes  LIBOR (Q)  10.50%  1.00%  3/7/2020  $1,265,299    1,169,087    1,311,491    0.12%  E
Acrisure, LLC  Second Lien Notes  LIBOR (Q)  10.50%  1.00%  3/7/2020  $20,627,638    20,219,076    20,823,601    1.90%  E
US Apple Holdco, LLC  First Lien Term Loan  LIBOR (Q)  11.50%  0.50%  8/29/2019  $20,000,000    19,209,747    19,800,000    1.80%   
                        40,597,910    41,935,092    3.82%   
Insurance Related Activities                                
Confie Seguros Holding II Co.  Second Lien Term Loan  LIBOR (M)  9.00%  1.25%  5/8/2019  $7,861,809    7,772,384    7,940,466    0.72%   
                                       
Lessors of Nonfinancial Intangible Assets                                
ABG Intermediate Holdings 2, LLC  Second Lien Term Loan  LIBOR (S)  8.00%  1.00%  5/27/2022  $15,990,714    15,830,807    15,970,726    1.45%   
                                       
Lessors of Real Estate                                
Hunt Companies, Inc.  Senior Secured Notes  Fixed  9.625%  -  3/1/2021  $13,084,000    12,931,013    13,672,780    1.24%  E/G
                                       
Merchant Wholesalers                                
Envision Acquisition Company, LLC  Second Lien Term Loan  LIBOR (Q)  8.75%  1.00%  11/4/2021  $9,079,011    8,897,430    9,124,406    0.83%   
                                       
Motion Picture and Video Industries                                
CORE Entertainment, Inc.  First Lien Term Loan  Fixed  9.00%  -  6/21/2017  $9,462,231    9,396,582    8,279,452    0.75%   
CORE Entertainment, Inc.  Second Lien Term Loan  Fixed  13.50%  -  6/21/2018  $7,569,785    7,513,892    6,812,807    0.62%   
                        16,910,474    15,092,259    1.37%   
Newspaper, Periodical, Book, and Directory Publishers                                
Hanley-Wood, LLC  First Lien
FILO Term Loan		  LIBOR (Q)  6.75%  1.25%  7/15/2018  $16,301,800    16,301,800    16,407,762    1.49%   
MediMedia USA, Inc.  First Lien Revolver  LIBOR (Q)  6.75%  -  5/20/2018  $3,875,000    3,005,743    3,458,283    0.31%   
MediMedia USA, Inc.  First Lien Term Loan  LIBOR (Q)  6.75%  1.25%  11/20/2018  $9,591,911    9,360,784    9,376,093    0.85%   
                        28,668,327    29,242,138    2.65%   
Nondepository Credit Intermediation                                
Caribbean Financial Group
(Cayman Islands)		  Sr Secured Notes  Fixed  11.50%  -  11/15/2019  $10,000,000    9,840,428    10,875,000    0.99%  E/G/I
Trade Finance Funding I, Ltd.
(Cayman Islands)		  Secured Class B Notes  Fixed  10.75%  -  11/13/2018  $15,084,000    15,084,000    15,084,000    1.37%  E/I
                        24,924,428    25,959,000    2.36%   
Nonscheduled Air Transportation                                
One Sky Flight, LLC  Second Lien Term Loan  Fixed  12% Cash
+ 3% PIK		  -  6/3/2019  $18,518,669    17,275,660    19,074,229    1.74%   
                                       
Oil and Gas Extraction                                
Jefferson Gulf Coast Energy Partner, LLC  First Lien Term Loan B  LIBOR (M)  8.00%  1.00%  2/27/2018  $15,000,000    14,850,000    14,943,750    1.36%   
MD America Energy, LLC  Second Lien Term Loan  LIBOR (Q)  8.50%  1.00%  8/4/2019  $10,000,000    9,514,338    9,779,150    0.89%   
Willbros Group, Inc.  First Lien Term Loan  LIBOR (Q)  9.75%  1.25%  8/7/2019  $13,622,801    13,292,164    13,781,711    1.25%   
                        37,656,502    38,504,611    3.50%   
Other Information Services                                
TCH-2 Holdings, LLC  Second Lien Term Loan  LIBOR (M)  7.75%  1.00%  11/6/2021  $19,988,392    19,688,567    19,488,683    1.77%   
                                       
Other Telecommunications                                
Securus Technologies, Inc.  Second Lien Term Loan  LIBOR (Q)  7.75%  1.25%  4/30/2021  $14,000,000    13,860,000    13,947,500    1.27%   
                                       
Petroleum and Coal Products Manufacturing                                
Boomerang Tube, LLC  Second Lien Term Loan  LIBOR (Q)  9.50%  1.50%  10/11/2017  $3,879,333    3,819,695    3,481,701    0.32%   

 

4
 

  

TCP Capital Corp.

 

Consolidated Statement of Investments (Unaudited) (Continued)

 

September 30, 2014

 

Showing Percentage of Total Cash and Investments of the Company

 

                              % of    
Issuer  Instrument  Ref  Spread  Floor  Maturity  Principal   Cost   Value   Portfolio   Notes
                                       
Debt Investments (continued)                                
Pesticide, Fertilizer, and Other Agricultural Chemical Manufacturing                                
VitAG Holdings, LLC  Sr Secured Term Loan  LIBOR (M)  10.27%  -  2/1/2018  $7,700,000   $7,545,323   $7,766,000    0.71%   
                                       
Plastics Products Manufacturing                                
Iracore International, Inc.  Sr Secured Notes  Fixed  9.50%  -  6/1/2018  $13,600,000    13,600,000    12,444,000    1.13%  E/H
                                       
Radio and Television Broadcasting                                
SiTV, Inc.  Sr Secured Notes  Fixed  10.375%  -  7/1/2019  $7,312,000    7,312,000    7,248,020    0.66%  E/G
The Tennis Channel, Inc.  First Lien Term Loan  LIBOR (Q)  8.50%  -  5/29/2017  $18,111,966    17,744,530    18,274,974    1.66%   
                        25,056,530    25,522,994    2.32%   
Retail                                      
Kenneth Cole Productions, Inc.  First Lien FILO Term Loan  LIBOR (M)  10.40%  1.00%  9/25/2017  $10,863,636    10,689,030    10,917,954    0.99%   
Shopzilla, Inc.  Second Lien Term Loan  LIBOR (Q)  12.50%  -  3/31/2016  $6,630,353    6,536,895    6,567,364    0.60%   
Shop Holding, LLC  Convertible
Promissory Note		  Fixed  5.00%  -  8/5/2015  $73,140    73,140    65,899    0.01%  E
                        17,299,065    17,551,217    1.60%   
Satellite Telecommunications                                
Avanti Communications Group, PLC (United Kingdom)  Sr Secured Notes  Fixed  10.00%  -  10/1/2019  $9,914,000    9,914,000    9,914,000    0.90%  E/G/I
                                       
Scheduled Air Transportation                                
Aircraft Leased to Delta Air Lines, Inc.                                      
N913DL  Aircraft Secured Mortgage  Fixed  8.00%  -  3/15/2017  $226,723    226,723    232,220    0.02%  F
N918DL  Aircraft Secured Mortgage  Fixed  8.00%  -  8/15/2018  $332,830    332,830    341,360    0.03%  F
N954DL  Aircraft Secured Mortgage  Fixed  8.00%  -  3/20/2019  $450,991    450,991    461,380    0.04%  F
N955DL  Aircraft Secured Mortgage  Fixed  8.00%  -  6/20/2019  $472,313    472,313    483,140    0.05%  F
N956DL  Aircraft Secured Mortgage  Fixed  8.00%  -  5/20/2019  $470,291    470,291    481,440    0.04%  F
N957DL  Aircraft Secured Mortgage  Fixed  8.00%  -  6/20/2019  $476,444    476,444    487,560    0.04%  F
N959DL  Aircraft Secured Mortgage  Fixed  8.00%  -  7/20/2019  $482,545    482,545    493,680    0.04%  F
N960DL  Aircraft Secured Mortgage  Fixed  8.00%  -  10/20/2019  $504,728    504,728    516,120    0.05%  F
N961DL  Aircraft Secured Mortgage  Fixed  8.00%  -  8/20/2019  $496,848    496,848    508,300    0.05%  F
N976DL  Aircraft Secured Mortgage  Fixed  8.00%  -  2/15/2018  $330,316    330,316    338,640    0.03%  F
Aircraft Leased to United Airlines, Inc.                                
N510UA  Aircraft Secured Mortgage  Fixed  20.00%  -  10/26/2016  $256,135    256,135    299,915    0.03%  B
N512UA  Aircraft Secured Mortgage  Fixed  20.00%  -  10/26/2016  $263,385    263,385    310,270    0.03%  B
N545UA  Aircraft Secured Mortgage  Fixed  16.00%  -  8/29/2015  $139,224    139,224    147,345    0.01%  B
N659UA  Aircraft Secured Mortgage  Fixed  12.00%  -  2/28/2016  $1,876,367    1,876,367    1,990,292    0.18%  F
N661UA  Aircraft Secured Mortgage  Fixed  12.00%  -  5/4/2016  $2,073,525    2,073,525    2,227,375    0.20%  F
Mesa Air Group, Inc.  Acquisition
Delayed Draw Loan		  LIBOR (M)  7.25%  -  7/15/2022  $–    (271,500)   6,788    -   L
Mesa Air Group, Inc.  Acquisition Loan  LIBOR (M)  7.25%  -  7/15/2022  $18,100,000    17,738,000    18,109,050    1.65%   
                        26,319,165    27,434,875    2.49%   
Scientific Research and Development Services                                
BPA Laboratories, Inc.  Senior Secured Notes  Fixed  12.25%  -  4/1/2017  $17,200,000    16,536,295    18,640,500    1.70%  E/G
                                       
Semiconductor and Other Electronic Component Manufacturing                                
Soraa, Inc.  Sr Secured Term Loan  LIBOR (M)  10.27%  -  9/1/2017  $22,500,000    21,771,128    21,892,500    1.99%   
SunEdison, Inc.  Senior Secured
Letters of Credit		  LIBOR (Q)  3.75%  -  2/28/2017  $9,379,246    (1,031,717)   (937,925)   (0.09%)  K/L
                        20,739,411    20,954,575    1.90%   
Software Publishers                                
Acronis International GmbH (Switzerland)  First Lien Revolver  LIBOR (Q)  9.50%  1.00%  2/21/2017  $5,634,068    5,634,068    5,634,068    0.51%  I
Acronis International GmbH (Switzerland)  First Lien Term Loan  LIBOR (Q)  9.50%  1.00%  2/21/2017  $25,000,000    24,774,635    24,612,500    2.25%  I
ArcServe (USA), LLC  Second Lien Term Loan  LIBOR (Q)  8.50%  0.50%  1/31/2020  $30,000,000    29,418,442    29,760,000    2.72%  I
BlackLine Systems, Inc.  First Lien Term Loan  LIBOR (Q)  0.4% Cash +
7.6% PIK		  1.50%  9/25/2018  $13,318,777    12,589,982    13,438,646    1.22%   
Coreone Technologies, LLC  First Lien Term Loan  LIBOR (Q)  3.75% Cash +
5% PIK		  1.00%  9/4/2018  $14,077,353    13,829,562    13,929,541    1.27%   
Deltek, Inc.  Second Lien Term Loan  LIBOR (Q)  8.75%  1.25%  10/10/2019  $15,000,000    14,824,557    15,237,450    1.39%   
Edmentum, Inc.  Second Lien Term Loan  LIBOR (Q)  9.75%  1.50%  5/17/2019  $21,500,000    21,351,941    21,876,250    1.99%   
                        122,423,187    124,488,455    11.35%   
Specialty Hospitals                                
UBC Healthcare Analytics, Inc.  First Lien Term Loan  LIBOR (Q)  9.00%  1.00%  7/1/2018  $4,795,797    4,771,818    4,707,075    0.43%   
                                       
Structured Note Funds                                
Magnolia Finance V plc (Cayman Islands)  Asset-Backed
Credit Linked Notes		  Fixed  13.125%  -  8/2/2021  $15,000,000    15,000,000    15,211,500    1.38%  E/I

 

5
 

  

TCP Capital Corp.

 

Consolidated Statement of Investments (Unaudited) (Continued)

 

September 30, 2014

 

Showing Percentage of Total Cash and Investments of the Company

 

                  Principal                
                  Amount or           %    
Issuer  Instrument  Ref  Spread  Floor  Maturity   Shares    Cost     Value     Portfolio   Notes
                                       
Debt Investments (continued)                                
Textile Furnishings Mills                                
Lexmark Carpet Mills, Inc.  First Lien Term Loan  LIBOR (Q)  10.00%  1.00%  9/30/2018  $15,758,531   $15,431,697   $15,994,909    1.46%   
                                       
Utility System Construction                                
Kawa Solar Holdings Limited  Revolving Credit Facility  Fixed  8.00%  -  7/2/2017  $25,000,000    25,000,000    25,012,500    2.28%   
                                       
Wired Telecommunications Carriers                                
Alpheus Communications, LLC  First Lien FILO Term Loan  LIBOR (Q)  6.92%  1.00%  5/31/2018  $374,960    363,777    371,585    0.03%   
Alpheus Communications, LLC  First Lien FILO Term Loan  LIBOR (Q)  6.92%  1.00%  5/31/2018  $8,196,573    8,115,088    8,171,983    0.74%   
Integra Telecom Holdings, Inc.  Second Lien Term Loan  LIBOR (Q)  8.50%  1.25%  2/22/2020  $15,000,000    14,728,136    15,225,000    1.39%   
                        23,207,001    23,768,568    2.16%   
Wireless Telecommunications Carriers                                
Gogo, LLC  First Lien Term Loan  LIBOR (Q)  9.75%  1.50%  6/21/2017  $19,209,212    18,646,792    20,457,811    1.86%   
Gogo, LLC  First Lien Term Loan B-2  LIBOR (Q)  6.50%  1.00%  3/21/2018  $5,524,797    5,418,641    5,607,669    0.51%   
                        24,065,433    26,065,480    2.37%   
                                       
Total Debt Investments                 1,036,294,182    1,041,145,246    94.73%   
                                       
Equity Securities                                      
Business Support Services                                
Findly Talent, LLC  Membership Units               708,229    230,938    162,184    0.02%  C/E
STG-Fairway Holdings, LLC  Class A Units               841,479    943,287    2,435,661    0.22%  C/E
                        1,174,225    2,597,845    0.24%   
Communications Equipment Manufacturing                                
Wasserstein Cosmos Co-Invest, L.P.  Limited Partnership Units               5,000,000    5,000,000    4,375,000    0.40%  B/C/E
                                       
Data Processing, Hosting, and Related Services                             
Anacomp, Inc.  Class A Common Stock               1,255,527    26,711,048    878,869    0.08%  C/E/F
Rightside Group, Ltd.  Warrants               498,855    2,778,622    2,391,002    0.22%  C/E
                        29,489,670    3,269,871    0.30%   
                                       
Depository Credit Intermediation                                
Doral Financial Corporation (Puerto Rico)  Common Stock               53,890    11,699,417    357,828    0.03%  C/K
                                       
Financial Investment Activities                                
Marsico Holdings, LLC  Common Interest Units               168,698    172,694    18,557    -   C/E/J
                                       
Full-Service Restaurants                                
RM Holdco, LLC  Membership Units               13,161,000    2,010,777    -    -   B/C/E
                                       
Machine Shops; Turned Product; and Screw, Nut, and Bolt Manufacturing                                
Precision Holdings, LLC  Class C Membership Interest            33    -    2,165    -   C/E
                                       
Nonmetallic Mineral Mining and Quarrying                                
EPMC HoldCo, LLC  Membership Units               1,312,720    -    682,614    0.06%  B/E
                                       
Nonscheduled Air Transportation                                
Flight Options Holdings I, Inc.  Warrants to Purchase Common Stock               1,843    1,274,000    3,180,876    0.29%  C/E
                                       
Radio and Television Broadcasting                                
SiTV, Inc.  Warrants to Purchase Common Stock               233,470    300,322    247,478    0.02%  C/E
                                       
Retail                                      
Shop Holding, LLC  Class A Units               507,167    480,049    276,862    0.03%  C/E
Shop Holding, LLC  Warrants to
Purchase Class A Units		               326,691    -    3    -   C/E
                        480,049    276,865    0.03%   
Scheduled Air Transportation                                
Aircraft Leased to Delta Air Lines, Inc.                                
N913DL  Trust Beneficial Interests               937    89,178    119,680    0.01%  E/F
N918DL  Trust Beneficial Interests               776    98,106    137,713    0.01%  E/F
N954DL  Trust Beneficial Interests               728    115,597    71,400    0.01%  E/F
N955DL  Trust Beneficial Interests               705    115,011    111,860    0.01%  E/F
N956DL  Trust Beneficial Interests               710    114,963    107,440    0.01%  E/F
N957DL  Trust Beneficial Interests               705    115,695    108,120    0.01%  E/F
N959DL  Trust Beneficial Interests               699    116,425    109,140    0.01%  E/F
N960DL  Trust Beneficial Interests               684    119,292    108,460    0.01%  E/F
N961DL  Trust Beneficial Interests               694    118,520    103,020    0.01%  E/F
N976DL  Trust Beneficial Interests               824    100,538    102,350    0.01%  E/F
Aircraft Leased to United Airlines, Inc.                                
N510UA  Trust Beneficial Interests               63    243,188    416,889    0.04%  B/E
N512UA  Trust Beneficial Interests               62    237,703    408,217    0.04%  B/E
N545UA  Trust Beneficial Interests               79    422,890    598,547    0.05%  B/E
United N659UA-767, LLC (N659UA)  Trust Beneficial Interests               495    2,423,386    2,691,182    0.24%  E/F
United N661UA-767, LLC (N661UA)  Trust Beneficial Interests               481    2,375,446    2,708,220    0.25%  E/F
                        6,805,938    7,902,238    0.72%   

 

6
 

  

TCP Capital Corp.

 

Consolidated Statement of Investments (Unaudited) (Continued)

 

September 30, 2014

 

Showing Percentage of Total Cash and Investments of the Company

 

                              % of    
Issuer  Instrument  Ref  Spread  Floor  Maturity  Shares   Cost   Value   Portfolio   Notes
                                       
Equity Securities (continued)                                
Resin, Synthetic Rubber, and Artificial Synthetic Fibers and Filaments Manufacturing                               
KAGY Holding Company, Inc.  Series A Preferred Stock           9,778   $1,091,200   $579,951    0.05%  B/C/E
                                       
Semiconductor and Other Electronic Component Manufacturing                                
Ichor Systems Holdings, LLC  Membership Units               352    -    213,780    0.02%  C/E
Soraa, Inc.  Warrants to
Purchase Common Stock		               315,000    408,987    411,611    0.04%  C/E
                        408,987    625,391    0.06%   
                                       
Software Publishers                                
Blackline Intermediate, Inc.  Warrants               1,232,731    522,678    749,747    0.07%  C/E
                                       
Wired Telecommunications Carriers                                
Integra Telecom, Inc.  Common Stock               1,274,522    8,433,885    5,200,177    0.47%  C/E
Integra Telecom, Inc.  Warrants               346,939    19,920    191,406    0.02%  C/E
V Telecom Investment S.C.A. (Luxembourg)  Common Shares               1,393    3,236,256    3,394,072    0.31%  C/D/E/I
                        11,690,061    8,785,655    0.80%   
                                       
Total Equity Securities                 72,120,018    33,652,081    3.07%   
                                       
Total Investments                 1,108,414,200    1,074,797,327    97.80%   
                                       
Cash and Cash Equivalents                                
Wells Fargo & Company Money Market Deposit Account                      21,393,112    1.95%   
Cash Denominated in Foreign Currencies                      240,156    0.02%   
Cash Held on Account at Various Institutions                      2,510,807    0.23%   
Cash and Cash Equivalents                      24,144,075    2.20%   
                                       
Total Cash and Investments                     $1,098,941,402    100.00%  M

 

Notes to Consolidated Statement 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)Principal amount denominated in foreign currency. Amortized cost and fair value converted from foreign currency to US dollars. (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)$3,600,000 principal amount of this investment has been segregated to collateralize certain unfunded commitments.

 

(I)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.

 

(J)Exempt from the definition of 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.

 

(K)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.

 

(L)Negative balances relate to an unfunded commitment that was acquired at a discount.

 

(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), or semiannually (S).

 

Aggregate acquisitions and aggregate dispositions of investments, other than government securities, totaled $486,041,022, and $177,994,806, respectively, for the nine months ended September 30, 2014. 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 September 30, 2014 was $1,074,439,499, or 97.8% of total cash and investments of the Company.

 

Options and swaps at September 30, 2014 were as follows:

 

Investment  Notional Amount   Fair Value 
         
Interest Rate Cap, 4%, expires 5/15/2016  $25,000,000   $1,327 
Euro/US Dollar Cross-Currency Basis Swap, Pay Euros/Receive USD, Expires 3/31/2017  $4,289,019   $1,071,130 

 

See accompanying notes.

 

7
 

 

TCP Capital Corp.

 

 Consolidated Statement of Investments

 

December 31, 2013

 

Showing Percentage of Total Cash and Investments of the Company

 

                                          % of      
Issuer   Instrument   Ref   Spread   Floor   Maturity   Principal     Cost     Value     Portfolio     Notes
                                                 
Debt Investments (A)                                                          
Accounting, Tax Preparation, Bookkeeping, and Payroll Services                                                  
Expert Global Solutions, LLC   First Lien Term Loan   LIBOR (Q)   7.25%     1.25%   4/3/2018   $ 699,754     $ 701,280     $ 703,691       0.09 %    
Expert Global Solutions, LLC   Second Lien Term Loan   LIBOR (Q)   11.00%     1.50%   10/3/2018   $ 7,434,877       7,228,004       7,382,833       0.94 %    
                                    7,929,284       8,086,524       1.03 %    
Advertising, Public Relations, and Related Services                                                      
Doubleplay III Limited (United Kingdom)   First Lien Facility A1
Term Loan		   EURIBOR (Q)   6.25%     1.25%   3/18/2018   € 13,165,705       16,428,630       16,736,606       2.12 %   D/J
                                                           
Architectural, Engineering, and Related Services                                                      
ESP Holdings, Inc.   Jr Unsecured Subordinated Promissory Notes   Fixed   6% Cash + 10% PIK     -   12/31/2019   $ 7,959,369       7,959,369       7,959,369       1.01 %   B/E
                                                           
Artificial Synthetic Fibers and Filaments Manufacturing                                              
AGY Holding Corp.   Sr Secured Term Loan   Fixed   12.00%         9/15/2016   $ 2,056,927       2,056,927       2,056,927       0.26 %   B
AGY Holding Corporation   Second Lien Term Loan   Fixed   11.00%     -   11/15/2016   $ 9,268,000       7,586,317       9,268,000       1.17 %   B/E
                                    9,643,244       11,324,927       1.43 %    
Beverage Manufacturing                                                          
Carolina Beverage Group, LLC   Secured Notes   Fixed   10.625%     -   8/1/2018   $ 7,780,000       7,780,000       8,207,900       1.04 %   E
                                                           
Business Support Services                                                          
STG-Fairway Acquisitions, Inc.   Second Lien Term Loan   LIBOR (Q)   9.25%     1.25%   8/28/2019   $ 14,643,455       13,944,123       14,929,002       1.89 %    
                                                           
Chemical Manufacturing                                                          
Archroma   Term Loan B   LIBOR (Q)   8.25%     1.25%   9/30/2018   $ 17,456,250       17,107,125       17,401,699       2.20 %    
                                                           
Communications Equipment Manufacturing                                                      
Globecomm Systems Inc.   First Lien Term Loan   LIBOR (Q)   7.625%     1.25%   12/11/2018   $ 15,000,000       14,850,000       15,097,500       1.91 %   B
                                                           
Computer Equipment Manufacturing                                                      
ELO Touch Solutions, Inc.   Second Lien Term Loan   LIBOR (Q)   10.50%     1.50%   12/1/2018   $ 10,000,000       9,666,672       9,100,000       1.15 %    
                                                           
Converted Paper Products Manufacturing                                                      
Ranpak Corp.   Second Lien Term Loan   LIBOR (Q)   7.25%     1.25%   4/23/2020   $ 3,469,573       3,434,877       3,573,660       0.45 %    
                                                           
Computer Systems Design and Related Services                                                      
Blue Coat Systems   First Lien Revolver   LIBOR (Q)   3.50%     1.00%   5/31/2018   $ 4,500,000       3,540,000       4,060,800       0.51 %   L
Blue Coat Systems   Second Lien Term Loan   LIBOR (Q)   8.50%     1.00%   6/28/2020   $ 15,000,000       14,878,125       15,300,000       1.94 %    
OnX Enterprise Solutions, Ltd.   First Lien Term Loan   LIBOR (Q)   7.00%     -   9/3/2018   $ 10,640,000       10,483,300       10,709,160       1.36 %    
OnX USA, LLC   First Lien Term Loan   LIBOR (Q)   7.00%     -   9/3/2018   $ 5,320,000       5,244,790       5,354,580       0.68 %    
Websense, Inc.   Second Lien Term Loan   LIBOR (Q)   7.25%     1.00%   12/27/2020   $ 7,200,000       7,164,000       7,218,000       0.91 %    
                                    41,310,215       42,642,540       5.40 %    
Data Processing, Hosting, and Related Services                                                      
The Telx Group, Inc.   Senior Unsecured Notes   Fixed   10% Cash  + 2% PIK     -   9/26/2019   $ 7,098,916       6,960,435       7,631,335       0.97 %   E
Panda Sherman Power, LLC   First Lien Term Loan   LIBOR (Q)   7.50%     1.50%   9/14/2018   $ 11,070,172       10,932,474       11,402,277       1.44 %    
Panda Temple Power II, LLC   First Lien Term Loan   LIBOR (Q)   6.00%     1.25%   4/3/2019   $ 5,892,970       5,834,041       6,069,759       0.77 %    
                                    16,766,515       17,472,036       2.21 %    
Electrical Equipment and Component Manufacturing                                                      
Palladium Energy, Inc.   First Lien Term Loan   LIBOR (Q)   9.00%     1.00%   12/26/2027   $ 16,500,317       16,225,541       16,426,066       2.08 %    
                                                           
Fabricated Metal Product Manufacturing                                                      
Constellation Enterprises, LLC   First Lien Notes   Fixed   10.625%     -   2/1/2016   $ 12,500,000       12,322,875       10,875,000       1.38 %   E/G
                                                           
Financial Investment Activities                                                          
Marsico Capital Management   First Lien Term Loan   LIBOR (M)   5.00%     -   12/31/2022   $ 10,637,623       13,394,183       3,882,732       0.49 %   K
                                                           
Freight Transportation Arrangement                                                      
Livingston International, Inc. (Canada)   Second Lien Term Loan   LIBOR (Q)   7.75%     1.25%   4/18/2020   $ 3,665,217       3,597,620       3,756,848       0.48 %   J
                                                           
Full-Service Restaurants                                                          
RM Holdco, LLC   Subordinated Convertible Term Loan   Fixed   1.12% PIK     -   3/21/2018   $ 5,164,796       5,164,796       2,197,621       0.28 %   B
RM OpCo, LLC   Convertible Second Lien Term Loan
Tranche B-1		   Fixed   12% Cash  + 7% PIK     -   3/21/2016   $ 1,370,199       1,339,883       1,370,199       0.17 %   B
RM OpCo, LLC   First Lien Term Loan Tranche A   Fixed   11.00%     -   3/21/2016   $ 3,626,947       3,626,947       3,626,947       0.46 %   B
RM OpCo, LLC   Second Lien Term Loan Tranche B   Fixed   12% Cash  + 7% PIK     -   3/21/2016   $ 6,825,328       6,825,328       6,825,328       0.86 %   B
RM OpCo, LLC   Second Lien Term Loan Tranche B-1   Fixed   12% Cash  + 7% PIK     -   3/21/2016   $ 2,150,088       2,109,019       2,150,088       0.27 %   B
                                    19,065,973       16,170,183       2.04 %    

 

8
 

 

TCP Capital Corp.

 

Consolidated Statement of Investments (Continued)

 

December 31, 2013

 

Showing Percentage of Total Cash and Investments of the Company

 

                                          % of      
Issuer   Instrument   Ref   Spread   Floor   Maturity   Principal     Cost     Value     Portfolio     Notes
                                                 
Debt Investments (continued)                                                          
Gaming Industries                                                          
AP Gaming I, LLC   First Lien Term Loan B   LIBOR (Q)   8.25%     1.00%   12/20/2020   $ 15,000,000     $ 14,550,000     $ 14,737,500       1.87 %    
                                                           
Grocery Stores                                                          
Bashas, Inc.   First Lien FILO Term Loan   LIBOR (M)   9.35%     1.50%   12/28/2015   $ 14,843,788       14,802,168       15,066,445       1.91 %    
                                                           
Inland Water Transportation                                                          
US Shipping Corp   First Lien Term Loan B   LIBOR (Q)   7.75%     1.25%   4/30/2018   $ 12,603,333       12,477,300       12,965,679       1.64 %    
                                                           
Insurance Related Activities                                                          
Confie Seguros Holding II Co.   Second Lien Term Loan   LIBOR (Q)   9.00%     1.25%   5/8/2019   $ 6,341,809       6,245,733       6,391,370       0.81 %    
                                                           
Merchant Wholesalers                                                          
Envision Acquisition Company, LLC   Second Lien Term Loan   LIBOR (Q)   8.75%     1.00%   11/4/2021   $ 9,079,011       8,897,430       9,192,498       1.16 %    
                                                           
Metal Ore Mining                                                          
St Barbara Ltd. (Australia)   First Priority Senior Secured Notes   Fixed   8.875%     -   4/15/2018   $ 7,359,000       7,326,651       6,144,765       0.78 %   E
                                                           
Motion Picture and Video Industries                                                          
CORE Entertainment, Inc.   First Lien Term Loan   Fixed   9.00%     -   6/21/2017   $ 9,462,231       9,381,116       8,610,631       1.09 %    
CORE Entertainment, Inc.   Second Lien Term Loan   Fixed   13.50%     -   6/21/2018   $ 7,569,785       7,502,054       6,858,225       0.88 %    
                                    16,883,170       15,468,856       1.97 %    
Newspaper, Periodical, Book, and Directory Publishers                                                  
Hanley-Wood, LLC   First Lien FILO Term Loan   LIBOR (Q)   6.75%     1.25%   7/15/2018   $ 16,707,600       16,707,600       16,699,246       2.13 %    
MediMedia USA, Inc.   First Lien Revolver   LIBOR (M)   6.75%     -   5/20/2018   $ 4,960,000       3,797,500       4,523,908       0.57 %    
MediMedia USA, Inc.   First Lien Term Loan   LIBOR (M)   6.75%     1.25%   11/20/2018   $ 9,701,250       9,433,029       9,458,719       1.20 %    
                                    29,938,129       30,681,873       3.90 %    
Nondepository Credit Intermediation                                                      
Caribbean Financial Group (Cayman Islands)   Senior Secured Notes   Fixed   11.50%     -   11/15/2019   $ 10,000,000       9,824,072       10,700,000       1.35 %   E
Trade Finance Funding I, Ltd. (Cayman Islands)   Secured Class B Notes   Fixed   10.75%     -   11/13/2018   $ 15,000,000       15,000,000       14,962,500       1.90 %   E/J
                                    24,824,072       25,662,500       3.25 %    
Nonresidential Building Construction                                                      
NCM Group Holdings, LLC   First Lien Term Loan   LIBOR (Q)   11.50%     1.00%   8/29/2018   $ 10,000,000       9,620,619       9,875,000       1.25 %    
                                                           
Nonscheduled Air Transportation                                                          
One Sky Flight, LLC   Second Lien Term Loan   Fixed   12% Cash
 + 3% PIK		     -   5/4/2019   $ 18,200,000       16,929,086       17,708,600       2.24 %    
                                                           
Oil and Gas Extraction                                                          
Willbros Group, Inc.   First Lien Term Loan   LIBOR (Q)   9.75%     1.25%   8/7/2019   $ 15,426,118       15,051,713       15,657,510       1.98 %    
                                                           
Other Telecommunications                                                          
Securus Technologies, Inc.   Second Lien Term Loan   LIBOR (Q)   7.75%     1.25%   4/30/2021   $ 14,000,000       13,860,000       13,925,660       1.76 %    
                                                           
Petroleum and Coal Products Manufacturing                                                      
Boomerang Tube, LLC   Second Lien Term Loan   LIBOR (Q)   9.50%     1.50%   10/11/2017   $ 7,749,023       7,563,978       7,477,807       0.95 %    
                                                           
Plastics Products Manufacturing                                                          
Iracore International, Inc.   Senior Secured Notes   Fixed   9.50%     -   6/1/2018   $ 13,600,000       13,600,000       14,426,622       1.83 %   E
                                                           
Professional, Scientific, and Technical Services