XNAS:TCPC TCP Capital Corp BDC Quarterly Report 10-Q Filing - 6/30/2012

Effective Date 6/30/2012

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• FORM 10-Q • CERTIFICATION OF CEO • CERTIFICATION OF CFO • CERTIFICATION OF CEO AND CFO

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 June 30, 2012

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

Commission File Number: 001-35494

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

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	¨

Non-accelerated filer	x	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 August 8, 2012 was 21,475,635

TCP CAPITAL CORP.

FORM 10-Q FOR THE QUARTER ENDED JUNE 30, 2012

TABLE OF CONTENTS

		PAGE

Part I.	Financial Information

Item 1.	Financial Statements

	Consolidated Statements of Assets and Liabilities as of June 30, 2012 (unaudited) and December 31, 2011	3
	Consolidated Statements of Investments as of June 30, 2012 (unaudited) and December 31, 2011	4
	Consolidated Statements of Operations for the three and six months ended June 30, 2012 (unaudited) and June 30, 2011 (unaudited)	16
	Consolidated Statements of Changes in Net Assets for the six months ended June 30, 2012 (unaudited)	17
	Consolidated Statements of Cash Flows for the six months ended June 30, 2012 (unaudited) and June 30, 2011 (unaudited)	18
	Notes to Consolidated Financial Statements (unaudited)	19
	Consolidated Schedule of Changes in Investments in Affiliates for the six months ended June 30, 2012 (unaudited)	33
	Consolidated Schedule of Restricted Securities of Unaffiliated Issuers as of June 30, 2012 (unaudited)	34
	Consolidating Statement of Assets and Liabilities as of June 30, 2012 (unaudited)	35
	Consolidating Statement of Operations for the six months ended June 30, 2012 (unaudited)	36

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	37

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	49

Item 4.	Controls and Procedures	49

Part II.	Other Information

Item 1.	Legal Proceedings	50

Item 1A	Risk Factors	50

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	50

Item 3.	Defaults upon Senior Securities	50

Item 4.	Mine Safety Disclosures	50

Item 5.	Other Information	50

Item 6.	Exhibits	50

TCP Capital Corp.

Consolidated Statements of Assets and Liabilities

	June 30, 2012			December 31, 2011
	(unaudited)
Assets
Investments, at fair value:
Unaffiliated issuers (cost of $435,413,680 and $380,905,101, respectively)	$	335,442,072		$	287,312,979
Controlled companies (cost of $26,711,048 and $26,711,048 respectively)		1,305,748			740,761
Other affiliates (cost of $90,194,742 and $92,886,265, respectively)		115,570,517			90,906,796
Total investments (cost of $552,319,470 and $473,791,366, respectively)		452,318,337			378,960,536

Cash and cash equivalents		11,208,200			10,831,678
Accrued interest income:
Unaffiliated issuers		5,176,675			5,505,427
Affiliates		1,110,806			783,375
Receivable for investments sold		213,554			4,297,270
Deferred debt issuance costs		917,972			1,137,513
Unrealized appreciation on swaps		437,912			172,424
Prepaid expenses and other assets		570,129			1,765,280
Total assets	$	471,953,585		$	403,453,503

Liabilities
Credit facility payable		17,000,000			29,000,000
Payable for investments purchased		2,176,789			267,911
Payable to the Investment Manager		2,031,096			226,100
Management and advisory fees payable		-			565,599
Interest payable		34,528			75,668
Accrued expenses and other liabilities		558,382			980,933
Total liabilities		21,800,795			31,116,211

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		533,052			466,418
Total preferred limited partner interests		134,533,052			134,466,418

Net assets applicable to common shareholders	$	315,619,738		$	237,870,874

Composition of net assets applicable to common shareholders
Common stock, $0.001 par value; unlimited shares authorized, 418,955.777 shares
issued and outstanding as of December 31, 2011	$	-		$	419
Common stock, $0.001 par value; 200,000,000 shares authorized, 21,475,635 shares
issued and outstanding as of June 30, 2012		21,476			-
Paid-in capital in excess of par		445,713,655			364,742,957
Accumulated net investment income		17,657,409			13,515,239
Accumulated net realized losses		(47,796,757	)		(45,411,498	)
Accumulated net unrealized depreciation		(99,976,045	)		(94,976,243	)
Net assets applicable to common shareholders	$	315,619,738		$	237,870,874

Net assets per share	$	14.70			N/A

See accompanying notes.

TCP Capital Corp.

Consolidated Statement of Investments (Unaudited)

June 30, 2012

Showing Percentage of Total Cash and Investments of the Company

					Percent of
	Principal		Fair		Cash and
Investment	Amount		Value		Investments

Debt Investments (82.23%)
*Bank Debt (61.47%) ⁽¹⁾*
Accounting, Tax Preparation, Bookkeeping, and Payroll Services (4.29%)
Expert Global Solutions, LLC, Senior Secured 1st Lien Term Loan B, LIBOR + 6.75%,
1.25% LIBOR Floor, due 4/2/18	$	4,937,625	$	4,919,109		1.06	%
Expert Global Solutions, LLC, Senior Secured 2nd Lien Term Loan, LIBOR + 9.5%,
1.5% LIBOR Floor, due 10/2/18	$	15,000,000		14,985,000		3.23	%
Total Accounting, Tax Preparation, Bookkeeping, and Payroll Services				19,904,109

Business Support Services (4.17%)
STG-Fairway Acquisitions, Inc., Senior Secured 2nd Lien Term Loan, 12.5%,
due 12/29/15	$	19,287,932		19,345,796		4.17	%

Computer Equipment Manufacturing (2.09%)
ELO Touch Solutions, Inc., Senior Secured 2nd Lien Term Loan, LIBOR + 10.5%,
1.5% LIBOR Floor, due 12/4/18	$	10,000,000		9,700,000		2.09	%

Commercial and Industrial Machinery and Equipment Rental and Leasing (3.78%)
Sky Funding AMR Lease Portfolio, Senior Subordinated 1st Lien Term Loan, 10%,
due 9/6/16 - (Ireland)	$	17,000,000		17,544,000		3.78	%

Communications Equipment Manufacturing (2.07%)
Mitel US Holdings, Inc., 2nd Lien Term Loan, LIBOR + 7%, due 8/16/15	$	9,951,762		9,578,571		2.07	%

Data Processing, Hosting, and Related Services (1.61%)
The Telx Group, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 6.5%,
1.25% LIBOR Floor, due 9/22/17	$	7,443,771		7,462,381		1.61	%

Electronic Shopping and Mail-Order Houses (2.76%)
Shopzilla, Inc., Senior Secured 2nd Lien Term Loan, 13%, due 6/1/14	$	12,827,317		12,795,248		2.76	%

Full-Service Restaurants (3.20%)
RM Holdco, LLC, Subordinated Convertible Term Loan, 1.12% PIK, due 3/21/18 ⁽²⁾	$	5,061,923		5,061,923		1.09	%
RM OpCo, LLC, Senior Secured 1st Lien Term Loan Tranche A, 11%, due 3/19/16 ⁽²⁾	$	3,748,607		3,748,607		0.81	%
RM OpCo, LLC, Senior Secured 1st Lien Term Loan Tranche B, 12% Cash + 7% PIK,
due 3/19/16 ⁽²⁾	$	6,019,219		6,019,219		1.30	%
Total Full-Service Restaurants				14,829,749

Gambling Industries (3.39%)
Golden Gaming, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 7% Cash + 1% PIK,
2% LIBOR Floor, due 4/15/16	$	16,014,667		15,694,373		3.39	%

Grocery Stores (3.23%)
Bashas, Inc., Senior Secured 1st Lien FILO Term Loan, LIBOR + 9.35%,
1.5% LIBOR Floor, due 12/28/15	$	14,595,578		14,960,467		3.23	%

Machine Shops; Turned Product; and Screw, Nut, and Bolt Manufacturing (0.67%)
Precision Partners Holdings, 1st Lien Delayed Draw Term Loan, Prime + 6.5%,
4.5% Prime Floor, due 10/1/13	$	184,404		183,482		0.04	%
Precision Partners Holdings, 1st Lien Term Loan, Prime + 6.5%, 4.5% Prime Floor,
due 10/1/13	$	2,927,644		2,913,005		0.63	%
Total Machine Shops; Turned Product; and Screw, Nut, and Bolt Manufacturing				3,096,487

TCP Capital Corp.

Consolidated Statement of Investments (Unaudited) (Continued)

June 30, 2012

Showing Percentage of Total Cash and Investments of the Company

					Percent of
	Principal		Fair		Cash and
Investment	Amount		Value		Investments

Debt Investments (continued)
Motion Picture and Video Industries (3.18%)
CKX Entertainment, Inc., Senior Secured 1st Lien Term Loan, 9%, due 6/21/17	$	9,462,231	$	7,806,341		1.68	%
CKX Entertainment, Inc., Senior Secured 2nd Lien Term Loan, 13.5%, due 6/21/18	$	7,569,785		6,964,202		1.50	%
Total Motion Picture and Video Industries				14,770,543

Motor Vehicle Parts Manufacturing (2.96%)
Diversified Machine, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 7.75%,
1.5% LIBOR Floor, due 12/1/16	$	14,222,302		13,724,521		2.96	%

Other Telecommunications (2.17%)
Gogo, LLC, Senior Secured 1st Lien Term Loan, LIBOR + 9.75%, 1.5% LIBOR Floor,
due 6/21/17	$	10,297,483		10,040,046		2.17	%

Other Financial Investment Activities (1.40%)
Marsico Capital Management, Senior Secured 1st Lien Term Loan,
LIBOR + 5%, due 12/14/14	$	22,122,465		6,498,474		1.40	%

Promoters of Performing Arts, Sports, and Similar Events (2.36%)
Stadium Management Group, Senior Secured 2nd Lien Term Loan, LIBOR + 9.50%,
1.25% LIBOR Floor, due 12/7/18	$	11,000,000		10,945,000		2.36	%

Radio and Television Broadcasting (3.97%)
Encompass Digital Media, Inc., 1st Lien Term Loan, LIBOR + 6.5%, 1.5% LIBOR Floor,
due 8/10/17	$	7,980,000		7,970,025		1.72	%
Granite Broadcasting Corporation, Senior Secured 1st Lien Term Loan B,
LIBOR + 7.25%, 1.25% LIBOR Floor, due 5/23/18	$	10,000,000		9,900,000		2.14	%
Hubbard Radio, LLC, Senior Secured 2nd Lien Term Loan, LIBOR + 7.25%,
1.5% LIBOR Floor, due 4/29/18	$	500,000		501,250		0.11	%
Total Radio and Television Broadcasting				18,371,275

Scheduled Air Transportation (3.98%)
Delta Air Lines, Inc., Aircraft Secured Mortgage (N913DL), 8%, due 7/15/18 ⁽²⁾	$	403,947		403,947		0.09	%
Delta Air Lines, Inc., Aircraft Secured Mortgage (N918DL), 8%, due 7/15/18 ⁽²⁾	$	490,003		490,003		0.11	%
Delta Air Lines, Inc., Aircraft Secured Mortgage (N954DL), 8%, due 9/20/19 ⁽²⁾	$	631,014		631,014		0.14	%
Delta Air Lines, Inc., Aircraft Secured Mortgage (N955DL), 8%, due 9/20/19 ⁽²⁾	$	645,523		645,523		0.14	%
Delta Air Lines, Inc., Aircraft Secured Mortgage (N956DL), 8%, due 9/20/19 ⁽²⁾	$	646,372		646,372		0.14	%
Delta Air Lines, Inc., Aircraft Secured Mortgage (N957DL), 8%, due 9/20/19 ⁽²⁾	$	651,170		651,170		0.14	%
Delta Air Lines, Inc., Aircraft Secured Mortgage (N959DL), 8%, due 9/20/19 ⁽²⁾	$	655,930		655,930		0.14	%
Delta Air Lines, Inc., Aircraft Secured Mortgage (N960DL), 8%, due 9/20/19 ⁽²⁾	$	675,587		675,587		0.15	%
Delta Air Lines, Inc., Aircraft Secured Mortgage (N961DL), 8%, due 9/20/19⁽²⁾	$	671,812		671,812		0.14	%
Delta Air Lines, Inc., Aircraft Secured Mortgage (N976DL), 8%, due 7/15/18 ⁽²⁾	$	512,643		512,643		0.11	%
United Air Lines, Inc., Aircraft Secured Mortgage (N510UA), 20%, due 9/26/16 ⁽²⁾	$	445,510		596,984		0.13	%
United Air Lines, Inc., Aircraft Secured Mortgage (N512UA), 20%, due 10/26/16 ⁽²⁾	$	448,689		603,936		0.13	%
United Air Lines, Inc., Aircraft Secured Mortgage (N536UA), 16%, due 8/21/14 ⁽²⁾	$	315,399		358,293		0.08	%
United Air Lines, Inc., Aircraft Secured Mortgage (N545UA), 16%, due 7/17/15 ⁽²⁾	$	434,790		516,096		0.11	%
United Air Lines, Inc., Aircraft Secured Mortgage (N585UA), 20%, due 10/25/16 ⁽²⁾	$	526,829		709,638		0.15	%
United Air Lines, Inc., Aircraft Secured Mortgage (N659UA), 12%, due 3/28/16 ⁽²⁾	$	4,164,067		4,726,216		1.02	%
United Air Lines, Inc., Aircraft Secured Mortgage (N661UA), 12%, due 5/4/16 ⁽²⁾	$	4,292,129		4,918,780		1.06	%
Total Scheduled Air Transportation				18,413,944

TCP Capital Corp.

Consolidated Statement of Investments (Unaudited) (Continued)

June 30, 2012

Showing Percentage of Total Cash and Investments of the Company

					Percent of
	Principal		Fair		Cash and
Investment	Amount		Value		Investments

Debt Investments (continued)
Software Publishers (6.24%)
Blackboard, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 6%, 1.5% LIBOR Floor,
due 10/4/18	$	13,581,750	$	13,106,389		2.83	%
Blackboard, Inc., Senior Secured Incremental 1st Lien Term Loan, LIBOR + 6%,
1.5% LIBOR Floor, due 10/4/18	$	997,500		962,588		0.21	%
Plato, Inc., Senior Secured 2nd Lien Term Loan, LIBOR + 9.75%, 1.5% LIBOR Floor,
due 5/8/19	$	15,000,000		14,821,875		3.20	%
Total Software Publishers				28,890,852

Support Activities for Mining (0.05%)
Trico Shipping AS, 1st Lien Term Loan A, LIBOR + 8.5%, 1.5% LIBOR Floor,
due 5/13/14 - (Norway)	$	228,803		228,803		0.05	%

Wired Telecommunications Carriers (3.33%)
Bulgaria Telecom Company AD, 1st Lien Tranche B Term Loan,
EURIBOR + 2.75%, due 8/9/15 - (Bulgaria) ⁽⁴⁾	€	2,084,507		1,650,278		0.36	%
Integra Telecom Holdings, Inc., 1st Lien Term Loan, LIBOR + 7.25%,
2% LIBOR Floor, due 4/15/15	$	8,520,963		8,222,730		1.77	%
NEF Telecom Company BV, 1st Lien Tranche C Term Loan,
EURIBOR + 3.5%, due 8/9/16 - (Netherlands) ⁽⁴⁾	€	4,927,730		3,745,173		0.81	%
NEF Telecom Company BV, 2nd Lien Tranche D Term Loan,
EURIBOR + 5.5%, due 2/16/17 - (Netherlands) ^{(3), (4)}	€	4,736,002		1,799,728		0.39	%
Total Wired Telecommunications Carriers				15,417,909

Wireless Telecommunications Carriers (0.57%)
Globalive Wireless Management Corp., Senior Secured 1st Lien Term Loan,
EURIBOR + 8.9%, due 8/18/12 - (Canada) ⁽⁴⁾	€	2,423,823		2,648,396		0.57	%

Total Bank Debt (Cost $290,153,363)				284,860,944

Other Corporate Debt Securities (20.76%)
Architectural, Engineering, and Related Services (1.42%)
ESP Holdings, Inc., Junior Unsecured Subordinated Promissory Notes,
6% Cash + 10% PIK, due 12/31/19 ^{(2), (5)}	$	6,572,593		6,572,593		1.42	%

Data Processing, Hosting, and Related Services (1.64%)
The Telx Group, Inc., Senior Unsecured Notes, 10% Cash + 2% PIK, due 9/26/19 ⁽⁵⁾	$	7,615,168		7,615,168		1.64	%

Gambling Industries (0.76%)
Harrah's Operating Company, Inc., 2nd Priority Secured Notes, 10%, due 12/15/18	$	5,169,000		3,540,765		0.76	%

Metal and Mineral (except Petroleum) Merchant Wholesalers (5.51%)
Constellation Enterprises, LLC, Senior Secured 1st Lien Notes, 10.625%, due 2/1/16 ⁽⁵⁾	$	12,500,000		12,449,500		2.69	%
Edgen Murray Corporation, Senior Secured Notes, 12.25%, due 1/15/15	$	13,076,000		13,076,523		2.82	%
Total Metal and Mineral (except Petroleum) Merchant Wholesalers				25,526,023

TCP Capital Corp.

Consolidated Statement of Investments (Unaudited) (Continued)

June 30, 2012

Showing Percentage of Total Cash and Investments of the Company

	Principal				Percent of
	Amount		Fair		Cash and
Investment	or Shares		Value		Investments

Debt Investments (continued)
Nonferrous Metal (except Aluminum) Production and Processing (4.02%)
International Wire Group Holdings, Inc., Senior Notes, 11.5% Cash or 12.25% PIK,
due 4/15/15 ^{(2), (5)}	$	18,000,000	$	18,630,000		4.02	%

Oil and Gas Extraction (0.32%)
Saratoga Resources, Inc., Senior Secured Notes, 12.5%, due 7/1/16	$	1,500,000		1,496,250		0.32	%

Resin, Synthetic Rubber, and Artificial Synthetic Fibers and Filaments
Manufacturing (1.77%)
AGY Holding Corporation, Senior Secured 2nd Lien Notes, 11%, due 11/15/14	$	18,536,000		8,208,297		1.77	%

Scientific Research and Development Services (3.12%)
BPA Laboratories, Inc., Senior Secured Notes, 12.25%, due 4/1/17 ⁽⁵⁾	$	15,000,000		14,475,000		3.12	%

Wired Telecommunications Carriers (2.20%)
ITC^DeltaCom, Inc., Senior Secured Notes, 10.5%, due 4/1/16 ⁽⁵⁾	$	8,945,000		9,571,150		2.06	%
NEF Telecom Company BV, Mezzanine Term Loan,
EURIBOR + 4.5% Cash + 7.5% PIK, due 8/16/17 - (Netherlands) ^{(3), (4), (5)}	€	20,523,306		649,922		0.14	%
Total Wired Telecommunications Carriers				10,221,072

Total Other Corporate Debt Securities (Cost $125,944,591)				96,285,168

Total Debt Investments (Cost $416,097,954)				381,146,112

Equity Securities (15.35%)
Architectural, Engineering, and Related Services (2.27%)
ESP Holdings, Inc., Cumulative Preferred 15% ^{(2), (3), (5), (6)}		20,297		3,491,056		0.75	%
ESP Holdings, Inc., Common Stock ^{(2), (3), (5), (6)}		88,670		7,055,790		1.52	%
Total Architectural, Engineering, and Related Services				10,546,846

Business Support Services (0.26%)
STG-Fairway Holdings, LLC, Class A Units ^{(3), (5)}		80,396		1,193,077		0.26	%

Data Processing, Hosting, and Related Services (0.28%)
Anacomp, Inc., Class A Common Stock ^{(2), (3), (5), (7)}		1,255,527		1,305,748		0.28	%

Depository Credit Intermediation (0.35%)
Doral Financial Corporation, Common Stock ⁽³⁾		1,077,795		1,616,693		0.35	%

Electric Power Generation, Transmission and Distribution (0.01%)
La Paloma Generating Company, Residual Claim ^{(3), (5)}		1,830,453		51,253		0.01	%

Electronic Shopping and Mail-Order Houses (0.27%)
Shop Holding, LLC, Class A Units ^{(3), (5)}		490,037		957,441		0.20	%
Shop Holding, LLC, Warrants to Purchase Class A Units ^{(3), (5)}		326,691		311,641		0.07	%
Total Electronic Shopping and Mail-Order Houses				1,269,082

Full-Service Restaurants (0.43%)
RM Holdco, LLC, Membership Units ^{(2), (3), (5), (6)}		13,161,000		2,010,777		0.43	%

TCP Capital Corp.

Consolidated Statement of Investments (Unaudited) (Continued)

June 30, 2012

Showing Percentage of Total Cash and Investments of the Company

					Percent of
			Fair		Cash and
Investment	Shares		Value		Investments

Equity Securities (continued)
Machine Shops; Turned Product; and Screw, Nut, and Bolt Manufacturing (0.00%)
Precision Holdings, LLC, Class C Membership Interests ^{(3), (5)}		33	$	19,659		-

Nonferrous Metal (except Aluminum) Production and Processing (6.51%)
International Wire Group Holdings, Inc., Common Stock ^{(2), (5), (6)}		1,979,441		30,186,475		6.51	%

Nonmetallic Mineral Mining and Quarrying (0.99%)
EPMC HoldCo, LLC, Membership Units ^{(2), (5), (6)}		1,312,720		4,581,393		0.99	%

Other Amusement and Recreation Industries (0.01%)
Bally Total Fitness Holding Corporation, Common Stock ^{(3), (5)}		6,058		28,715		0.01	%
Bally Total Fitness Holding Corporation, Warrants ^{(3), (5)}		10,924		1		-
Total Other Amusement and Recreation Industries				28,716

Scheduled Air Transportation (2.12%)
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N913DL) ^{(2), (5), (6)}		340		100,987		0.02	%
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N918DL) ^{(2), (5), (6)}		340		122,501		0.03	%
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N954DL) ^{(2), (5), (6)}		340		157,753		0.03	%
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N955DL) ^{(2), (5), (6)}		340		161,381		0.03	%
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N956DL) ^{(2), (5), (6)}		340		161,593		0.03	%
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N957DL) ^{(2), (5), (6)}		340		162,792		0.04	%
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N959DL) ^{(2), (5), (6)}		340		163,982		0.04	%
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N960DL) ^{(2), (5), (6)}		340		168,897		0.04	%
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N961DL) ^{(2), (5), (6)}		340		167,953		0.04	%
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N976DL) ^{(2), (5), (6)}		340		128,162		0.03	%
United Air Lines, Inc., Equipment Trust Beneficial Interests (N510UA) ^{(2), (5), (6)}		39		477,765		0.10	%
United Air Lines, Inc., Equipment Trust Beneficial Interests (N512UA) ^{(2), (5), (6)}		38		472,470		0.10	%
United Air Lines, Inc., Equipment Trust Beneficial Interests (N536UA) ^{(2), (5), (6)}		54		616,413		0.13	%
United Air Lines, Inc., Equipment Trust Beneficial Interests (N545UA) ^{(2), (5), (6)}		46		615,580		0.13	%
United Air Lines, Inc., Equipment Trust Beneficial Interests (N585UA) ^{(2), (5), (6)}		38		582,805		0.13	%
United N659UA-767, LLC (N659UA) ^{(2), (5), (6)}		267		2,767,528		0.60	%
United N661UA-767, LLC (N661UA) ^{(2), (5), (6)}		259		2,770,176		0.60	%
Total Scheduled Air Transportation				9,798,738

Semiconductor and Other Electronic Component Manufacturing (0.05%)
AIP/IS Holdings, LLC, Membership Units ^{(3), (5)}		352		229,684		0.05	%

Support Activities for Mining (0.70%)
DeepOcean Group Holding AS, Common Stock - (Norway) ^{(3), (5)}		145,824		3,228,990		0.70	%

Wired Telecommunications Carriers (1.10%)
Integra Telecom, Inc., Common Stock ^{(3), (5)}		1,274,522		5,073,990		1.09	%
Integra Telecom, Inc., Warrants ^{(3), (5)}		346,939		-		-
NEF Kamchia Co-Investment Fund, LP Interest - (Cayman Islands) ^{(3), (4), (5)}		2,455,500		31,104		0.01	%
Total Wired Telecommunications Carriers				5,105,094

Total Equity Securities (Cost $136,221,516)				71,172,225

Total Investments (Cost $552,319,470) ⁽⁸⁾				452,318,337

TCP Capital Corp.

Consolidated Statement of Investments (Unaudited) (Continued)

June 30, 2012

Showing Percentage of Total Cash and Investments of the Company

					Percent of
	Principal		Fair		Cash and
Investment	Amount		Value		Investments

Cash and Cash Equivalents (2.42%)
Wells Fargo & Company, Overnight Repurchase Agreement, 0.09%,
Collateralized by Freddie Mac Note	$	3,000,000	$	3,000,000		0.65	%
Union Bank of California, Commercial Paper, 0.35%, due 7/18/12	$	5,500,000		5,499,091		1.19	%
Cash Denominated in Foreign Currencies	CAD	15,078		14,832		-
Cash Denominated in Foreign Currencies	€	1,644,642		2,083,268		0.45	%
Cash Denominated in Foreign Currencies	£	35,597		55,912		0.01	%
Cash Held on Account at Various Institutions	$	555,097		555,097		0.12	%
Total Cash and Cash Equivalents				11,208,200

Total Cash and Investments			$	463,526,537		100.00	%

Notes to Statement of Investments:

⁽¹⁾

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.

⁽²⁾

Affiliated issuer - as defined under the Investment Company Act of 1940 (ownership of 5% or more of the outstanding voting securities of this issuer).

⁽³⁾

Non-income producing security.

⁽⁴⁾

Principal amount denominated in foreign currency. Amortized cost and fair value converted from foreign currency to US dollars.

⁽⁵⁾

Restricted security.

⁽⁶⁾

Investment is not a controlling position.

⁽⁷⁾

Issuer is a controlled company.

⁽⁸⁾

Includes investments with an aggregate market value of $1,130,250 that have been segregated to collateralize certain unfunded commitments.

Aggregate acquisitions and aggregate dispositions of investments, other than government securities, totaled $165,551,299 and $85,617,208, respectively.

Aggregate acquisitions includes investment assets received as payment in kind. Aggregate dispositions includes principal paydowns on debt investments.

The total value of restricted securities and bank debt as of June 30, 2012 was $424,379,809, or 91.55% of total cash and investments of the Company.

Swaps at June 30, 2012 were as follows:

Investment	Notional Amount		Fair Value

Euro/US Dollar Cross-Currency Basis Swap, Pay Euros/Receive USD, Expires 5/16/14	$	6,040,944	$	403,297
Euro/US Dollar Cross-Currency Basis Swap, Pay Euros/Receive USD, Expires 8/18/12	$	2,392,611	$	34,615

See accompanying notes.

TCP Capital Corp.

Consolidated Statement of Investments

December 31, 2011

Showing Percentage of Total Cash and Investments of the Company

					Percent of
	Principal		Fair		Cash and
Investment	Amount		Value		Investments

Debt Investments (78.77%)
*Bank Debt (47.16%) ⁽¹⁾*
Accounting, Tax Preparation, Bookkeeping, and Payroll Services (0.18%)
NCO Group, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 5.5%,
2.5% LIBOR Floor, due 11/15/13	$	705,163	$	695,761		0.18	%

Business Support Services (4.91%)
STG-Fairway Acquisitions, Inc., Senior Secured 2nd Lien Term Loan, 12.5%,
due 12/29/15	$	18,820,923		19,169,110		4.92	%

Commercial and Industrial Machinery and Equipment Rental and Leasing (2.67%)
AerCap Holdings N.V., Secured 1st Lien Term Loan, 10.25%, due 12/3/15 - (Netherlands)	$	10,411,593		10,411,591		2.67	%

Communications Equipment Manufacturing (2.37%)
Mitel US Holdings, Inc., 2nd Lien Term Loan, LIBOR + 7%, due 8/16/15	$	9,951,762		9,230,260		2.37	%

Data Processing, Hosting, and Related Services (1.92%)
The Telx Group, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 6.5%,
1.25% LIBOR Floor, due 9/22/17	$	7,481,250		7,481,250		1.92	%

Electric Power Generation, Transmission and Distribution (0.01%)
La Paloma Generating Company, Residual Bank Debt Claim ⁽³⁾	$	1,830,453		51,436		0.01	%

Electronic Shopping and Mail-Order Houses (3.59%)
Shopzilla, Inc., Senior Secured 2nd Lien Term Loan, 13%, due 6/1/14	$	13,723,983		14,002,946		3.59	%

Grocery Stores (3.92%)
Bashas, Inc., Senior Secured 1st Lien FILO Term Loan, LIBOR + 7.5%,
1.5% LIBOR Floor, due 10/1/13	$	15,000,000		15,262,500		3.92	%

Machine Shops; Turned Product; and Screw, Nut, and Bolt Manufacturing (1.23%)
Precision Partners Holdings, 1st Lien Delayed Draw Term Loan, Prime + 6.5%,
4.5% Prime Floor, due 10/1/13	$	289,734		283,940		0.07	%
Precision Partners Holdings, 1st Lien Term Loan, Prime + 6.5%, 4.5% Prime Floor,
due 10/1/13	$	4,600,740		4,508,724		1.16	%
Total Machine Shops; Turned Product; and Screw, Nut, and Bolt Manufacturing				4,792,664

Motion Picture and Video Industries (4.26%)
CKX Entertainment, Inc., Senior Secured 1st Lien Term Loan, 9%, due 6/21/17	$	9,462,231		9,239,869		2.37	%
CKX Entertainment, Inc., Senior Secured 2nd Lien Term Loan, 13.5%, due 6/21/18	$	7,569,785		7,384,325		1.89	%
Total Motion Picture and Video Industries				16,624,194

Motor Vehicle Parts Manufacturing (2.82%)
Diversified Machine, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 7.75%,
1.5% LIBOR Floor, due 12/1/16	$	11,000,000		11,000,000		2.82	%

TCP Capital Corp.

Consolidated Statement of Investments (Continued)

December 31, 2011

Showing Percentage of Total Cash and Investments of the Company

					Percent of
	Principal		Fair		Cash and
Investment	Amount		Value		Investments

Debt Investments (continued)
Other Financial Investment Activities (1.60%)
Marsico Capital Management, Senior Secured 1st Lien Term Loan, LIBOR + 5%,
due 12/14/14	$	19,338,970	$	6,252,927		1.60	%

Radio and Television Broadcasting (5.09%)
Encompass Digital Media, Inc., 1st Lien Term Loan, LIBOR + 6%, 1.75% LIBOR Floor,
due 2/28/16	$	2,713,867		2,648,734		0.68	%
Encompass Digital Media, Inc., 2nd Lien Term Loan, 16.5%, due 8/28/16	$	16,453,486		16,700,288		4.28	%
Hubbard Radio, LLC, Senior Secured 2nd Lien Term Loan, LIBOR + 7.25%,
1.5% LIBOR Floor, due 4/11/18	$	500,000		497,500		0.13	%
Total Radio and Television Broadcasting				19,846,522

Resin, Synthetic Rubber, and Artificial Synthetic Fibers and Filaments
Manufacturing (3.86%)
Gundle/SLT Environmental, Inc., Senior Secured 2nd Lien Term Loan,
LIBOR + 9.5% Cash + 2% PIK, 1.5% LIBOR Floor, due 11/27/16	$	15,110,056		15,034,505		3.86	%

Scheduled Air Transportation (3.38%)
United Air Lines, Inc., Aircraft Secured Mortgage (N510UA), 20%, due 9/26/16 ⁽²⁾	$	477,297		624,066		0.16	%
United Air Lines, Inc., Aircraft Secured Mortgage (N512UA), 20%, due 10/26/16 ⁽²⁾	$	479,793		630,208		0.16	%
United Air Lines, Inc., Aircraft Secured Mortgage (N536UA), 16%, due 8/21/14 ⁽²⁾	$	374,009		414,963		0.11	%
United Air Lines, Inc., Aircraft Secured Mortgage (N545UA), 16%, due 7/17/15 ⁽²⁾	$	487,311		563,575		0.14	%
United Air Lines, Inc., Aircraft Secured Mortgage (N585UA), 20%, due 10/25/16 ⁽²⁾	$	563,348		739,958		0.19	%
United Air Lines, Inc., Aircraft Secured Mortgage (N659UA), 12%, due 3/28/16 ⁽²⁾	$	4,594,240		5,014,613		1.29	%
United Air Lines, Inc., Aircraft Secured Mortgage (N661UA), 12%, due 5/4/16 ⁽²⁾	$	4,709,310		5,192,014		1.33	%
Total Scheduled Air Transportation				13,179,397

Software Publishers (2.44%)
Blackboard, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 6%, 1.5% LIBOR Floor,
due 9/23/18	$	10,000,000		9,525,000		2.44	%

Support Activities for Mining (0.06%)
Trico Shipping AS, 1st Lien Term Loan A, LIBOR + 8.5%, 1.5% LIBOR Floor,
due 5/13/14 - (Norway)	$	228,803		228,803		0.06	%
Trico Shipping AS, 1st Lien Term Loan B, LIBOR + 8.5%, 1.5% LIBOR Floor,
due 5/13/14 - (Norway)	$	402,714		-		-
Total Support Activities for Mining				228,803

TCP Capital Corp.

Consolidated Statement of Investments (Continued)

December 31, 2011

Showing Percentage of Total Cash and Investments of the Company

					Percent of
	Principal		Fair		Cash and
Investment	Amount		Value		Investments

Debt Investments (continued)
Wired Telecommunications Carriers (2.84%)
Bulgaria Telecom Company AD, 1st Lien Tranche B Term Loan,
EURIBOR + 2.75%, due 8/9/15 - (Bulgaria) ⁽⁴⁾	€	2,084,507	$	1,864,193		0.48	%
Integra Telecom Holdings, Inc., 1st Lien Term Loan, LIBOR + 7.25%,
2% LIBOR Floor, due 4/15/15	$	1,564,438		1,332,380		0.34	%
NEF Telecom Company BV, 1st Lien Tranche C Term Loan,
EURIBOR + 3.5%, due 8/9/16 - (Netherlands) ⁽⁴⁾	€	4,927,730		4,167,407		1.07	%
NEF Telecom Company BV, 2nd Lien Tranche D Term Loan,
EURIBOR + 5.5%, due 2/16/17 - (Netherlands) ^{(3), (4)}	€	4,736,002		3,686,069		0.95	%
Total Wired Telecommunications Carriers				11,050,049

Total Bank Debt (Cost $185,948,729)				183,838,915

Other Corporate Debt Securities (31.61%)
Accounting, Tax Preparation, Bookkeeping, and Payroll Services (4.25%)
NCO Group, Inc., Senior Subordinated Notes, 11.875%, due 11/15/14	$	9,655,000		9,172,250		2.35	%
NCO Group, Inc., Senior Unsecured Floating Rate Notes, LIBOR + 4.875%, due 11/15/13	$	7,824,000		7,394,932		1.90	%
Total Accounting, Tax Preparation, Bookkeeping, and Payroll Services				16,567,182

Aerospace Product and Parts Manufacturing (0.36%)
Hawker Beechcraft, Inc., Senior Unsecured Notes, 8.5%, due 4/1/15	$	7,448,000		1,402,706		0.36	%

Architectural, Engineering, and Related Services (2.69%)
Alion Science & Technology Corporation, Senior Secured Notes, 10% Cash + 2% PIK,
due 11/1/14	$	4,687,736		4,267,762		1.09	%
ESP Holdings, Inc., Junior Unsecured Subordinated Promissory Notes, 18% PIK,
due 3/31/15 ^{(2), (5)}	$	6,209,347		6,240,393		1.60	%
Total Architectural, Engineering, and Related Services				10,508,155

Data Processing, Hosting, and Related Services (2.19%)
GXS Worldwide, Inc., Fixed Notes, 9.75%, due 6/15/15	$	1,170,000		1,094,874		0.28	%
The Telx Group, Inc., Senior Unsecured Notes, 10% Cash + 2% PIK, due 9/26/19 ⁽⁵⁾	$	7,539,583		7,464,188		1.91	%
Total Data Processing, Hosting, and Related Services				8,559,062

Full-Service Restaurants (3.18%)
Real Mex Restaurants, Inc., Senior Secured Notes, 14%, due 1/1/13 ⁽³⁾	$	13,161,000		12,410,823		3.18	%

Gambling Industries (1.44%)
Harrah's Operating Company, Inc., 2nd Priority Secured Notes, 10%, due 12/15/18	$	8,169,000		5,595,765		1.44	%

Metal and Mineral (except Petroleum) Merchant Wholesalers (6.02%)
Constellation Enterprises, LLC, Senior Secured 1st Lien Notes, 10.625%, due 2/1/16 ⁽⁵⁾	$	12,500,000		11,823,750		3.03	%
Edgen Murray Corporation, Senior Secured Notes, 12.25%, due 1/15/15	$	13,076,000		11,637,640		2.99	%
Total Metal and Mineral (except Petroleum) Merchant Wholesalers				23,461,390

TCP Capital Corp.

Consolidated Statement of Investments (Continued)

December 31, 2011

Showing Percentage of Total Cash and Investments of the Company

	Principal				Percent of
	Amount		Fair		Cash and
Investment	or Shares		Value		Investments

Debt Investments (continued)
Nonferrous Metal (except Aluminum) Production and Processing (4.66%)
International Wire Group Holdings, Inc., Senior Notes, 11.5% Cash or 12.25% PIK,
due 4/15/15 ^{(2), (5)}	$	18,000,000	$	18,180,000		4.66	%

Oil and Gas Extraction (1.27%)
Geokinetics Holdings, Inc., Senior Secured Notes, 9.75%, due 12/15/14	$	1,342,000		853,848		0.22	%
Saratoga Resources, Inc., Senior Secured Notes, 12.5%, due 7/1/16	$	4,000,000		4,080,000		1.05	%
Total Oil and Gas Extraction				4,933,848

Resin, Synthetic Rubber, and Artificial Synthetic Fibers and Filaments
Manufacturing (2.86%)
AGY Holding Corporation, Senior Secured 2nd Lien Notes, 11%, due 11/15/14	$	18,536,000		11,134,946		2.86	%

Wired Telecommunications Carriers (2.69%)
ITC^DeltaCom, Inc., Senior Secured Notes, 10.5%, due 4/1/16 ⁽⁵⁾	$	8,945,000		9,168,625		2.35	%
NEF Telecom Company BV, Mezzanine Term Loan,
EURIBOR + 4.5% Cash + 7.5% PIK, due 8/16/17 - (Netherlands) ^{(3), (4), (5)}	€	20,523,306		1,330,013		0.34	%
Total Wired Telecommunications Carriers				10,498,638

Total Other Corporate Debt Securities (Cost $155,179,568)				123,252,515

Total Debt Investments (Cost $341,128,297)				307,091,430

Equity Securities (18.45%)
Architectural, Engineering, and Related Services (2.80%)
Alion Science & Technology Corporation, Warrants ⁽³⁾		3,625		147,574		0.04	%
ESP Holdings, Inc., 15% PIK, Preferred Stock ^{(2), (5), (6)}		20,297		3,287,872		0.84	%
ESP Holdings, Inc., Common Stock ^{(2), (3), (5), (6)}		88,670		7,473,887		1.92	%
Total Architectural, Engineering, and Related Services				10,909,333

Business Support Services (0.43%)
STG-Fairway Holdings, LLC, Class A Units ^{(3), (5)}		80,396		1,669,278		0.43	%

Data Processing, Hosting, and Related Services (0.19%)
Anacomp, Inc., Class A Common Stock ^{(2), (3), (5), (7)}		1,255,527		740,761		0.19	%

Depository Credit Intermediation (0.26%)
Doral Financial Corporation, Common Stock ⁽³⁾		1,077,795		1,030,372		0.26	%

Electronic Shopping and Mail-Order Houses (0.31%)
Shop Holding, LLC, Class A Units ^{(3), (5)}		490,037		922,471		0.24	%
Shop Holding, LLC, Warrants to Purchase Class A Units ^{(3), (5)}		326,691		288,328		0.07	%
Total Electronic Shopping and Mail-Order Houses				1,210,799

Industrial Machinery Manufacturing (0.38%)
GSI Group, Inc., Common Stock ^{(3), (5)}		143,869		1,471,780		0.38	%

TCP Capital Corp.

Consolidated Statement of Investments (Continued)

December 31, 2011

Showing Percentage of Total Cash and Investments of the Company

					Percent of
			Fair		Cash and
Investment	Shares		Value		Investments

Equity Securities (continued)
Machine Shops; Turned Product; and Screw, Nut, and Bolt Manufacturing (0.00%)
Precision Holdings, LLC, Class C Membership Interests ^{(3), (5)}		33	$	15,704		-

Nonferrous Metal (except Aluminum) Production and Processing (7.72%)
International Wire Group Holdings, Inc., Common Stock ^{(2), (5), (6)}		1,979,441		30,077,606		7.72	%

Nonmetallic Mineral Mining and Quarrying (1.35%)
EPMC HoldCo, LLC, Membership Units ^{(2), (5), (6)}		1,312,720		5,264,007		1.35	%

Other Amusement and Recreation Industries (0.03%)
Bally Total Fitness Holding Corporation, Common Stock ^{(3), (5)}		6,058		66,032		0.02	%
Bally Total Fitness Holding Corporation, Warrants ^{(3), (5)}		10,924		52,435		0.01	%
Total Other Amusement and Recreation Industries				118,467

Radio and Television Broadcasting (0.88%)
Encompass Digital Media Group, Inc., Common Stock ^{(3), (5)}		183,824		3,437,509		0.88	%

Scheduled Air Transportation (1.86%)
United Air Lines, Inc., Equipment Trust Beneficial Interests (N510UA) ^{(2), (5), (6)}		35		467,137		0.12	%
United Air Lines, Inc., Equipment Trust Beneficial Interests (N512UA) ^{(2), (5), (6)}		35		458,665		0.12	%
United Air Lines, Inc., Equipment Trust Beneficial Interests (N536UA) ^{(2), (5), (6)}		46		686,303		0.18	%
United Air Lines, Inc., Equipment Trust Beneficial Interests (N545UA) ^{(2), (5), (6)}		40		612,589		0.16	%
United Air Lines, Inc., Equipment Trust Beneficial Interests (N585UA) ^{(2), (5), (6)}		35		498,602		0.13	%
United N659UA-767, LLC (N659UA) ^{(2), (5), (6)}		224		2,274,815		0.58	%
United N661UA-767, LLC (N661UA) ^{(2), (5), (6)}		217		2,205,523		0.57	%
Total Scheduled Air Transportation				7,203,634

Semiconductor and Other Electronic Component Manufacturing (0.06%)
AIP/IS Holdings, LLC, Membership Units ^{(3), (5)}		352		229,684		0.06	%

Support Activities for Mining (0.79%)
DeepOcean Group Holding AS, Common Stock - (Norway) ^{(3), (5)}		145,824		3,093,638		0.79	%

Wired Telecommunications Carriers (1.39%)
Integra Telecom, Inc., Common Stock ^{(3), (5)}		1,274,522		5,364,708		1.38	%
Integra Telecom, Inc., Warrants ^{(3), (5)}		346,939		-		-
NEF Kamchia Co-Investment Fund, LP Interest - (Cayman Islands) ^{(3), (4), (5)}		2,455,500		31,826		0.01	%
Total Wired Telecommunications Carriers				5,396,534

Total Equity Securities (Cost $132,663,069)				71,869,106

Total Investments (Cost $473,791,366) ⁽⁸⁾				378,960,536

TCP Capital Corp.

Consolidated Statement of Investments (Continued)

December 31, 2011

Showing Percentage of Total Cash and Investments of the Company

					Percent of
	Principal		Fair		Cash and
Investment	Amount		Value		Investments

Cash and Cash Equivalents (2.78%)
Wells Fargo & Company, Overnight Repurchase Agreement, 0.02%,
Collateralized by Freddie Mac UNNT	$	3,343,399	$	3,343,399		0.86	%
Cash Denominated in Foreign Currencies	CAD	15,078		14,764		-
Cash Denominated in Foreign Currencies	€	3,357,119		4,351,161		1.12	%
Cash Denominated in Foreign Currencies	£	35,597		55,329		0.01	%
Cash Held on Account at Various Institutions	$	3,067,025		3,067,025		0.79	%
Total Cash and Cash Equivalents				10,831,678

Total Cash and Investments			$	389,792,214		100.00	%

Notes to Statement of Investments:

⁽¹⁾

⁽²⁾

Affiliated issuer - as defined under the Investment Company Act of 1940 (ownership of 5% or more of the outstanding voting securities of this issuer).

⁽³⁾

Non-income producing security.

⁽⁴⁾

Principal amount denominated in foreign currency. Amortized cost and fair value converted from foreign currency to US dollars.

⁽⁵⁾

Restricted security.

⁽⁶⁾

Investment is not a controlling position.

⁽⁷⁾

Issuer is a controlled company.

⁽⁸⁾

Includes investments with an aggregate market value of $1,178,213 that have been segregated to collateralize certain unfunded commitments.

Aggregate purchases and aggregate sales of investments, other than government securities, totaled $177,185,947 and $216,916,444, respectively.

Aggregate purchases includes investment assets received as payment in kind. Aggregate sales includes principal paydowns on debt investments.

The total value of restricted securities and bank debt as of December 31, 2011 was $308,737,044, or 79.21% of total cash and investments of the Company.

Swaps at December 31, 2011 were as follows:

Investment	Notional Amount		Fair Value

Euro/US Dollar Cross-Currency Basis Swap, Pay Euros/Receive USD, Expires 5/16/14	$	6,040,944	$	172,424

See accompanying notes.

TCP Capital Corp.

Consolidated Statements of Operations (Unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2012			2011⁽¹⁾			2012			2011⁽¹⁾

Investment income
Interest income:
Unaffiliated issuers	$	8,824,978		$	9,206,641		$	16,977,526		$	19,609,932
Affiliates		1,562,916			1,169,063			3,245,630			1,419,553
Dividend income:
Affiliates		-			5,912,495			1,811,189			12,542,394
Other income:
Unaffiliated issuers		520,580			722,725			520,580			1,418,312
Affiliates		177,984			246,292			345,858			254,403
Total investment income		11,086,458			17,257,216			22,900,783			35,244,594

Operating expenses
Management and advisory fees		1,552,867			1,696,797			3,249,664			3,393,594
Professional fees relating to the Conversion		-			-			411,523			-
Amortization of deferred debt issuance costs		109,771			109,771			219,542			218,335
Legal fees, professional fees and due diligence expenses		270,991			(95,669	)		361,776			18,860
Commitment fees		70,153			37,281			132,361			75,821
Director fees		46,500			43,250			100,000			103,960
Interest expense		9,929			97,475			56,448			195,119
Insurance expense		27,072			29,279			55,963			55,381
Custody fees		23,469			22,638			46,503			45,836
Other operating expenses		54,668			80,617			107,863			144,398
Total operating expenses		2,165,420			2,021,439			4,741,643			4,251,304

Net investment income before income taxes		8,921,038			15,235,777			18,159,140			30,993,290

Excise tax expense		-			-			502,978			-
Net investment income		8,921,038			15,235,777			17,656,162			30,993,290

Net realized and unrealized gain (loss)
Net realized gain (loss):
Investments in unaffiliated issuers		2,928,909			14,603,223			(3,104,104	)		16,951,296
Investments in affiliates		-			3			718,845			238,483
Net realized gain (loss)		2,928,909			14,603,226			(2,385,259	)		17,189,779

Net change in net unrealized appreciation/depreciation		(5,426,269	)		(24,160,135	)		(4,999,802	)		(33,074,076	)
Net realized and unrealized loss		(2,497,360	)		(9,556,909	)		(7,385,061	)		(15,884,297	)

Dividends paid on Series A preferred equity facility		(373,691	)		(371,077	)		(745,183	)		(751,017	)
Net change in accumulated dividends on Series A
preferred equity facility		(23,786	)		(21,262	)		(67,093	)		(14,934	)

Net increase in net assets applicable to common
shareholders resulting from operations	$	6,026,201		$	5,286,529		$	9,458,825		$	14,343,042

Basic and diluted earnings per common share	$	0.28			N/A			N/A			N/A
Basic and diluted weighted average common shares
outstanding		21,475,635			N/A			N/A			N/A

See accompanying notes.

⁽¹⁾ 2011 Consolidated Statement of Operations reflects a portfolio that was prior to the BDC Conversion and had different investment objectives.

TCP Capital Corp.

Consolidated Statements of Changes in Net Assets (Unaudited)

Six Months Ended June 30, 2012

	Common Stock
	Shares			Par Amount			Paid in Capital in Excess of Par			Accumulated Net Investment Income			Accumulated Net Realized Losses			Accumulated Net Unrealized Depreciation			Total Net Assets
Balance at December 31, 2011		418,956		$	419		$	364,742,957		$	13,515,239		$	(45,411,498	)	$	(94,976,243	)	$	237,870,874
Retirement of old common stock in the Conversion		(418,956	)		(419	)		419			-			-			-			-
Issuance of common stock in the Conversion		15,725,635			15,726			(15,726	)		-			-			-			-
Issuance of common stock in public offering		5,750,000			5,750			80,986,005			-			-			-			80,991,755
Net increase in net assets applicable to common shareholders resulting from operations		-			-			-			16,843,886			(2,385,259	)		(4,999,802	)		9,458,825
Dividends paid		-			-			-			(12,701,716	)		-			-			(12,701,716	)
Balance at June 30, 2012		21,475,635		$	21,476		$	445,713,655		$	17,657,409		$	(47,796,757	)	$	(99,976,045	)	$	315,619,738

See accompanying notes.

TCP Capital Corp.

Consolidated Statements of Cash Flows (Unaudited)

	Six months ended June 30,
	2012			2011

Operating activities
Net increase in net assets applicable to common shareholders resulting from operations	$	9,458,825		$	14,343,042
Adjustments to reconcile net increase in net assets applicable to common
shareholders resulting from operations to net cash provided by operating activities:
Net realized loss (gain)		2,385,259			(17,189,779	)
Net change in unrealized appreciation/depreciation		5,193,932			33,143,437
Dividends paid on Series A preferred equity facility		745,183			751,017
Net change in accumulated dividends on Series A preferred equity facility		67,093			14,934
Accretion of original issue discount		(310,141	)		(619,101	)
Net accretion of market discount/premium		(958,708	)		(1,627,613	)
Interest and dividend income paid in kind		(1,149,175	)		(3,264,604	)
Amortization of deferred debt issuance costs		219,542			218,335
Changes in assets and liabilities:
Purchases of investment securities		(164,402,124	)		(102,505,765	)
Proceeds from sales, maturities and paydowns of investments		85,617,208			109,545,338
Decrease (increase) in accrued interest income - unaffiliated issuers		328,752			(3,252	)
Increase in accrued interest income - affiliates		(327,431	)		(264,887	)
Decrease in receivable for investments sold		4,083,716			5,207,452
Decrease (increase) in prepaid expenses and other assets		1,195,151			(1,053,279	)
Increase (decrease) in payable for investments purchased		1,908,878			(3,369,013	)
Increase (decrease) in payable to the Investment Manager		1,804,996			(17,305	)
Decrease in management and advisory fees payable		(565,599	)		-
Decrease (increase) in interest payable		(41,140	)		17,585
Decrease in accrued expenses and other liabilities		(422,551	)		(182,416	)
Net cash provided by (used in) operating activities		(55,168,334	)		33,144,126

Financing activities
Proceeds from draws on credit facility		74,000,000			68,000,000
Principal repayments on credit facility		(86,000,000	)		(50,000,000	)
Final redemption of Series Z preferred equity		-			(24,252	)
Dividends paid on Series A preferred equity facility		(745,183	)		(751,017	)
Dividends paid to common shareholders		(12,701,716	)		(35,200,000	)
Proceeds from common shares sold, net of underwriting and offering costs		80,991,755			-
Net cash provided by (used in) financing activities		55,544,856			(17,975,269	)

Net increase in cash and cash equivalents		376,522			15,168,857
Cash and cash equivalents at beginning of period		10,831,678			7,749,743
Cash and cash equivalents at end of period	$	11,208,200		$	22,918,600

Supplemental cash flow information
Interest payments	$	51,069		$	177,534
Tax payments		502,978			-

See accompanying notes.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2012

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 has 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 while minimizing losses. The Company invests primarily in the debt of middle-market companies, 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. Investment operations are conducted in Special Value Continuation Partners, LP, a Delaware Limited Partnership (the “Partnership”), of which the Company owns 100% of the common limited partner interests. The Partnership has also elected to be treated as a BDC under the 1940 Act. These consolidated financial statements include the accounts of the Company and the Partnership. All significant intercompany transactions and balances have been eliminated in the consolidation.

The Company was formed through the conversion of the Company’s predecessor, Special Value Continuation Fund, LLC (“SVCF”), from a limited liability company to a corporation, leaving the Company as the surviving entity (the “Conversion”). At the time of the Conversion, all limited liability company interests were exchanged for 15,725,635 shares of common stock in the Company. As a result of the Conversion, the books and records of SVCF have become the books and records of the surviving entity. For periods prior to April 2, 2012, the consolidated financial statements and related footnotes reflect the performance of SVCF.

On April 3, 2012, the Company priced its initial public offering (the “Offering”), selling 5,750,000 shares of its common stock at a public offering price of $14.75 per share.

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 Partnership has elected to be treated as a partnership for U.S. federal income tax purposes. The General Partner of the Partnership is SVOF/MM, LLC (“SVOF/MM”), which also serves as the administrator of the Company and the Partnership. The managing member of SVOF/MM is Tennenbaum Capital Partners, LLC (“TCP”), which serves as the Investment Manager to both the Company and the Partnership. Most of the equity interests in the General Partner are owned directly or indirectly by TCP and its employees.

Company management consists of the Investment Manager and the Board of Directors. Partnership management consists of the General Partner and the Board of Directors. The Investment Manager and the General Partner direct and execute the day-to-day operations of the Company and the Partnership, 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 Partnership. The Board of Directors of the Partnership has delegated investment management of the Partnership’s assets to the Investment Manager. Each Board of Directors consists of three persons, two of whom are independent. The Company will appoint an additional independent director prior to April 3, 2013. If the Company or the Partnership has preferred equity interests outstanding, as each currently does, the holders of the preferred interests voting separately as a class are entitled to elect two of the Directors. The remaining directors will be subject to election by holders of the common shares and preferred interests voting together as a single class.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

1. Organization and Nature of Operations (continued)

Preferred Equity

At June 30, 2012, the Partnership had 6,700 Series A preferred limited partner interests (the “Preferred Interests”) issued and outstanding with a liquidation preference of $20,000 per preferred limited interest. The Preferred Interests are redeemable at the option of the Partnership, subject to certain conditions. Additionally, under certain conditions, the Partnership may be required to either redeem certain of the Preferred Interests or repay indebtedness, at the Partnership’s option. Such conditions would include a failure by the Partnership to maintain adequate collateral as required by its credit facility agreement or by the Statement of Preferences of the Preferred Interests or a failure by the Partnership to maintain sufficient asset coverage as required by the 1940 Act. As of June 30, 2012, the Partnership was in full compliance with such requirements.

The Preferred Interests accrue dividends at an annual rate equal to LIBOR plus 0.85% or, in the case of any holders of Preferred Interests that are CP Conduits (as defined in the leveraging documents), the higher of (i) LIBOR plus 0.85% or (ii) the CP Conduit’s cost of funds rate plus 0.85%, subject to certain limitations and adjustments.

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 following is a summary of the significant accounting policies of the Company and the Partnership.

Use of Estimates

The preparation of the financial statements 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 financial statements, as well as the reported amounts of revenues and expenses during the reporting period. Although management believes these estimates and assumptions to be reasonable, actual results could differ from those estimates.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

2. Summary of Significant Accounting Policies (continued)

Investment Valuation

The Company’s investments are generally held by the Partnership. Management values investments held by the Partnership at fair value based upon the principles and methods of valuation set forth in policies adopted by the Partnership’s Board of Directors and in conformity with procedures set forth in the Senior Facility, as defined in Note 4, below, and Statement of Preferences for the Preferred Interests. 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 Investment Manager which together comprise, in total, less than 5% of the capitalization of the Partnership. Investments listed on a recognized exchange or market quotation system, whether U.S. or foreign, are valued for financial reporting purposes as of the last business day of the reporting period using the closing price on the date of valuation. Liquid investments not listed on a recognized exchange or market quotation system are valued using prices provided by a nationally recognized pricing service or by using quotations from broker-dealers. Investments not priced by a pricing service or for which market quotations are either not readily available or are determined to be unreliable are valued using affirmative valuations performed by independent valuation services or, for investments aggregating less than 5% of the total capitalization of the Partnership, directly by the Investment Manager.

Fair valuations of investments are determined under guidelines adopted by the Partnership’s Board of Directors, and are subject to their approval. Generally, to increase objectivity in valuing the Partnership’s investments, the Investment Manager will utilize external measures of value, such as public markets or third-party transactions, whenever possible. The Investment Manager’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 that are valued by the Investment Manager 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.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

Summary of Significant Accounting Policies (continued)

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. The income approach uses valuation techniques to convert future amounts (for example, 2. 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. In following these approaches, the types of factors that may be taken into account include, as relevant: 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, M&A comparables, our principal market and enterprise values, among other factors.

The ranges of unobservable inputs used in the fair value measurement of the Company’s Level 3 investments as of June 30, 2012 were as follows:

EBITDA Multiples	3.8x to 10.0x
Market Yields	5.2% to 16.6%

Significant increases or decreases in any of the above inputs in isolation would result in a significantly lower or higher fair value measurement.

Investments of the Partnership 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 June 30, 2012, the investments of the Partnership 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	$	-	$	3,540,765	$	1,616,692
	2	Other observable market inputs*		33,223,044		77,906,720		-
	3	Independent third-party pricing sources that employ significant unobservable inputs		245,653,900		7,222,515		66,424,472
	3	Investment Manager valuations with significant unobservable inputs		5,984,000		7,615,168		3,131,061
	Total		$	284,860,944	$	96,285,168	$	71,172,225

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

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

2. Summary of Significant Accounting Policies (continued)

Changes in investments categorized as Level 3 during the six months ended June 30, 2012 were as follows:

	Independent Third-Party Valuation
	Bank Debt			Other Corporate Debt			Equity Securities
Beginning balance	$	159,949,811		$	24,061,229		$	68,114,764
Net realized and unrealized losses		(2,048,699	)		(6,049,261	)		(955,334	)
Acquisitions		137,159,282			-			3,068,670
Dispositions		(49,406,494	)		(6,709,453	)		(3,803,628	)
Transfers out of Level 3^†		-			(4,080,000	)		-
Ending balance	$	245,653,900		$	7,222,515		$	66,424,472

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)	$	(2,308,148	)	$	(711,138	)	$	(547,203	)

^† Comprised of one investment that transferred to Level 2 due to increased trading volumes.

	Investment Manager Valuation
	Bank Debt			Other Corporate Debt		Equity Securities
Beginning balance	$	51,436		$	7,464,188	$	1,252,190
Net realized and unrealized gains		-			75,395		479,009
Acquisitions		5,984,000			75,585		1,496,000
Transfers out of Level 3^#		-			-		(147,574	)
Reclassifications within Level 3^##		(51,436	)		-		51,436
Ending balance	$	5,984,000		$	7,615,168	$	3,131,061

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)	$	-		$	75,395	$	479,008

^# Comprised of one investment that transferred to Level 2 due to increased trading volumes.

^## Comprised of claims in the liquidation of a portfolio company that were reclassified as equity.

There were no transfers between Level 1 and 2 during the six months ended June 30, 2012.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

2. Summary of Significant Accounting Policies (continued)

Investment Transactions

The Partnership records investment transactions 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 three months or less.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Partnership’s policy that its custodian take possession of the underlying collateral, the fair value of which is required to exceed the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Partnership may be delayed or limited.

Restricted Investments

The Partnership 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 Statement of Investments. Restricted investments, including any restricted investments in affiliates, are valued in accordance with the investment valuation policies discussed above.

Foreign Investments

The Partnership may invest in instruments traded in foreign countries and denominated in foreign currencies. At June 30, 2012, the Partnership held foreign currency denominated investments comprising approximately 2.3% of the Partnership’s total investments. Such positions were converted at the closing rate in effect at June 30, 2012 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 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.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

2. Summary of Significant Accounting Policies (continued)

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 transactions 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 Partnership has entered into several swap, forward currency and option transactions. All derivatives are recognized as either assets or liabilities in the Statement 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.

Gains and losses from derivative transactions during the six months ended June 30, 2012 were included in net realized and unrealized loss on investments in the Statement of Operations as follows:

Instrument		Realized				Unrealized
Cross currency basis swaps		$	-			$	265,488

Valuations of swaps held at June 30, 2012 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.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

2. Summary of Significant Accounting Policies (continued)

Debt Issuance Costs

Costs of approximately $3.5 million were incurred during 2006 in connection with placing the Partnership’s Senior Facility. These costs were deferred and are being amortized on a straight-line basis over eight years, the estimated life of the Senior Facility. The impact of utilizing the straight-line amortization method versus the effective-interest method is not material to the operations of the Company or the Partnership.

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 earned with respect to capital commitments are generally amortized or accreted into interest income over the life of the respective 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 received upon the early repayment of a loan or debt security are included in interest income.

Certain of the Partnership’s debt investments are purchased at a considerable 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. GAAP generally requires that discounts on the acquisition of corporate bonds, municipal bonds and treasury bonds be amortized using the effective-interest or constant-yield method. GAAP also requires the Partnership to consider the collectability of interest when making accruals. Accordingly, when accounting for purchase discounts, the Partnership recognizes discount accretion income when it is probable that such amounts will be collected.

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 and excise taxes. Accordingly, no provision for income taxes is required in the consolidated financial statements. The Partnership’s income or loss is reported in the partners’ income tax returns. As of June 30, 2012, all tax years of the Company and the Partnership since January 1, 2007 remain subject to examination by federal tax authorities. No such examinations are currently pending.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

2. Summary of Significant Accounting Policies (continued)

During the six months ended June 30, 2012, the Company paid $502,978 in excise taxes related to income earned in 2011.

Cost of the investments (including derivatives) of the Partnership, unrealized appreciation and unrealized depreciation for U.S. federal income tax purposes at June 30, 2012 were as follows:

Unrealized appreciation	$	38,370,081
Unrealized depreciation		(137,933,302	)
Net unrealized depreciation		(99,563,221	)

Cost	$	552,319,470

New Accounting Guidance

In May 2011, the Financial Accounting Standards Board (the “FASB”) issued Accounting Standards Update 2011-04, Fair Value Measurement (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (“ASU 2011-04”). ASU 2011-04 was issued to converge guidance from the FASB and the International Accounting Standards Board on measuring fair value and for disclosing information about fair value measurements. The changes include a consistent definition of the term “fair value” and enhanced disclosure requirements for investments that do not have readily determinable fair values, such as additional quantitative information about significant unobservable inputs and a qualitative discussion about the sensitivity of the fair value measurement to changes in the unobservable inputs. The provisions of ASU 2011-04 were effective for the Company on January 1, 2012. The Company’s adoption of ASU 2011-04 resulted in increased disclosures around fair value but did not impact the measurement of fair value of the Company’s investments.

3. Management and Advisory Fees and Other Expenses

Following the Conversion, 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 and is payable to the Investment Manager quarterly in arrears.

The Company will not incur any incentive compensation until after January 1, 2013. Thereafter, the incentive compensation will equal 20% of net investment income (reduced by preferred dividends) and realized gains (net of any realized and unrealized losses). However, incentive compensation will only be paid to the extent the total performance of the Company exceeds a cumulative 8% annual return since January 1, 2013. The incentive compensation will be payable to the General Partner quarterly in arrears and will be calculated as the difference between cumulative incentive compensation earned since January 1, 2013 and cumulative incentive compensation paid since January 1, 2013.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

3. Management and Advisory Fees and Other Expenses (continued)

Prior to the Conversion, the Investment Manager received an annual management and advisory fee, payable monthly in arrears, equal to 1.0% of the sum of the maximum amount of the Preferred Interests, the maximum amount available under the Senior Facility, the initial value of the contributed general partnership equity and the initial value of the contributed common equity, subject to reduction by the amount of the Senior Facility commitment when the Senior Facility is no longer outstanding, and by the amount of the Preferred Interests when less than $1 million in liquidation preference of preferred securities remains outstanding. In addition to the management fee, the General Partner was entitled to a performance allocation equal to 20% of all cumulative income and gain distributions, subject to an 8% hurdle on undistributed contributed equity with a catch up for the General Partner.

The Company and the Partnership pay all respective expenses incurred in connection with the business of the Company and the Partnership, 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 of the Partnership.

4. Senior Secured Revolving Credit Facility

The Partnership has entered into a credit agreement with certain lenders, which provides for a senior secured revolving credit facility (the “Senior Facility”), pursuant to which amounts may be drawn up to $116 million. The Senior Facility matures July 31, 2014, subject to extension by the lenders at the request of the Partnership for one 12-month period.

Advances under the Senior Facility bear interest at LIBOR plus 0.44% per annum, except in the case of loans from CP Conduits, which bear interest at the higher of LIBOR plus 0.44% or the CP Conduit’s cost of funds plus 0.44%, subject to certain limitations. The weighted-average interest rate on outstanding borrowings at June 30, 2012 was 0.69%. In addition to amounts due on outstanding debt, the Senior Facility accrues commitment fees of 0.20% per annum on the unused portion of the Senior Facility, or 0.25% per annum when less than $46.4 million in borrowings are outstanding. The Senior Facility may be terminated, and any outstanding amounts thereunder may become due and payable, should the Partnership fail to satisfy certain financial or other covenants. As of June 30, 2012, the Partnership was in full compliance with such covenants.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

5. Commitments, Concentration of Credit Risk and Off-Balance Sheet Risk

The Partnership conducts 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 New York area.

In the normal course of business, the Partnership’s investment activities involve executions, settlement and financing of various transactions resulting in receivables from, and payables to, brokers, dealers and the Partnership’s custodian. These activities may expose the Company and the Partnership 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 and the Partnership enter into contracts that contain a variety of indemnifications, and are engaged from time to time in various legal actions. The maximum exposure of the Company and the Partnership under these arrangements and activities is unknown. However, the Company and the Partnership expect the risk of material loss to be remote.

The Consolidated Statement of Investments includes certain revolving loan facilities held by the Partnership with aggregate unfunded balances of $720,556 at June 30, 2012.

6. Related Parties

The Company, the Partnership, the Investment Manager, the General Partner and their members and affiliates may be considered related parties. From time to time, the Partnership advances payments to third parties on behalf of the Company which are reimbursable through deductions from distributions to the Company. At June 30, 2012, the Company had a payable to the Partnership, and the Partnership had a receivable from the Company, in the amount of $1,292, as reflected in the Consolidating Statement of Assets and Liabilities. From time to time, the Investment Manager advances payments to third parties on behalf of the Company and the Partnership and receives reimbursement from the Company and the Partnership. At June 30, 2012, amounts reimbursable to the Investment Manager totaled $2,031,096, as reflected in the Consolidated Statement of Assets and Liabilities.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

7. Stockholders’ Equity and Dividends

The following table summarizes the total shares issued and proceeds received in the public offering of the Company’s common stock net of underwriting discounts and offering costs for the three months ended June 30, 2012.

		Shares Issued				Offering Price Per Share				Proceeds Net of Underwriting and Offering Costs
April 3, 2012 initial public offering			5,750,000			$	14.75			$	80,991,725

The Company used the net proceeds from the above initial public offering to repay outstanding indebtedness and for other general corporate purposes, including funding investments.

The Company’s dividends are recorded on the record date. The following table summarizes the Company’s dividends declared during the three months ended June 30, 2012:

Date Declared

Record Date

Payment Date

Amount Per
Share

Total Amount

April 3, 2012

June 15, 2012

June 29, 2012

0.34

7,301,716

8. Earnings Per Share

The following information sets forth the computation of the net increase in net assets per share resulting from operations for the three months ended June 30, 2012:

	Three months ended June 30, 2012
Net increase in net assets applicable to common shareholders resulting from operations	$	6,026,201
Weighted average shares outstanding		21,475,635
Earnings per share	$	0.28

9. Subsequent Events

On August 9, 2012, the Board of Directors of the Company declared a third quarter cash dividend of $0.35 per share. The third quarter dividend is payable on September 28, 2012 to stockholders of record as of the close of business on September 14, 2012.

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

10. Financial Highlights

The financial highlights shown below show the Company's results of operations for the three or six months ended June 30, 2012 as noted. The beginning NAV per share and the weighted average number of shares are based on the assumption that the number of common shares issued in the Conversion on April 2, 2012 and those sold in the initial public offering on April 3, 2012 had been issued as of the beginning of the period.

	Three Months Ended
	June 30, 2012

Per Common Share
Per share NAV at beginning of period⁽¹⁾	$	14.76

Investment operations:
Net investment income		0.42
Net realized and unrealized gain (loss)		(0.12	)
Dividends on Series A preferred equity facility		(0.02	)
Net change in accumulated dividends on Series A preferred equity facility		-

Total from investment operations		0.28

Distributions to common shareholders from:
Net investment income		(0.34	)
Total distributions to common shareholders		(0.34	)

Per share NAV at end of period	$	14.70

Per share market price at end of period	$	14.46

Total return based on market value ^{(2), (3)}		0.3	%
Total return based on net asset value ⁽³⁾		1.9	%

Shares outstanding at end of period		21,475,635

TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

June 30, 2012

10. Financial Highlights (continued)

	Six Months Ended
	June 30, 2012

Ratios to average common equity: ^{(4), (5)}
Net investment income		13.2	%
Expenses		3.3	%

Ending common shareholder equity	$	315,619,738
Portfolio turnover rate ⁽³⁾		21.6	%
Weighted-average debt outstanding	$	12,741,758
Weighted-average interest rate on debt		0.9	%
Weighted-average number of common shares		21,475,635
Average debt per share	$	0.59

⁽¹⁾Pro forma as of March 31,2012, after giving effect to the Conversion and the offering.

⁽²⁾Total return based on an offering price of 14.75 and assuming dividends are reinvested.

⁽³⁾Not annualized.

⁽⁴⁾Annualized, except for professional fees relating to the Conversion and excise taxes.

Expense ratio excludes excise taxes.

⁽⁵⁾These ratios include interest expense but do not reflect the effect of dividends on the preferred equity facility.

TCP Capital Corp.

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

Six Months Ended June 30, 2012

Security	Value, Beginning of Period		Acquisitions		Dispositions			Value, End of Period

Anacomp, Inc., Class A Common Stock	$	740,761	$	-	$	-		$	1,305,748
Delta Air Lines, Inc., Aircraft Secured Mortgage (N913DL), 8%, due 7/15/18		-		403,947		-			403,947
Delta Air Lines, Inc., Aircraft Secured Mortgage (N918DL), 8%, due 7/15/18		-		490,003		-			490,003
Delta Air Lines, Inc., Aircraft Secured Mortgage (N954DL), 8%, due 9/20/19		-		631,014		-			631,014
Delta Air Lines, Inc., Aircraft Secured Mortgage (N955DL), 8%, due 9/20/19		-		645,523		-			645,523
Delta Air Lines, Inc., Aircraft Secured Mortgage (N956DL), 8%, due 9/20/19		-		646,372		-			646,372
Delta Air Lines, Inc., Aircraft Secured Mortgage (N957DL), 8%, due 9/20/19		-		651,170		-			651,170
Delta Air Lines, Inc., Aircraft Secured Mortgage (N959DL), 8%, due 9/20/19		-		655,930		-			655,930
Delta Air Lines, Inc., Aircraft Secured Mortgage (N960DL), 8%, due 9/20/19		-		675,587		-			675,587
Delta Air Lines, Inc., Aircraft Secured Mortgage (N961DL), 8%, due 9/20/19		-		671,812		-			671,812
Delta Air Lines, Inc., Aircraft Secured Mortgage (N976DL), 8%, due 7/15/18		-		512,643		-			512,643
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N913DL)		-		100,987		-			100,987
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N918DL)		-		122,501		-			122,501
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N954DL)		-		157,753		-			157,753
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N955DL)		-		161,381		-			161,381
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N956DL)		-		161,593		-			161,593
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N957DL)		-		162,792		-			162,792
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N959DL)		-		163,982		-			163,982
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N960DL)		-		168,897		-			168,897
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N961DL)		-		167,953		-			167,953
Delta Air Lines, Inc., Equipment Trust Beneficial Interests (N976DL)		-		128,161		-			128,162
EPMC HoldCo, LLC, Membership Units		5,264,007		-		-			4,581,393
ESP Holdings, Inc., Cumulative Preferred 15%		3,287,872		-		-			3,491,056
ESP Holdings, Inc., Common Stock		7,473,887		-		-			7,055,790
ESP Holdings, Inc., Junior Unsecured Subordinated Promissory Notes, 6% Cash + 10% PIK, due 12/31/19		6,240,393		363,247		-			6,572,593
International Wire Group Holdings, Inc., Common Stock		30,077,606		-		-			30,186,475
International Wire Group Holdings, Inc., Senior Notes, 11.5% Cash or 12.25% PIK, due 4/15/15		18,180,000		-		-			18,630,000
RM Holdco, LLC, Membership Units		-		2,010,777		-			2,010,777
RM Holdco, LLC, Subordinated Convertible Term Loan, 1.12% PIK, due 3/21/18		-		5,061,923		-			5,061,923
RM OpCo, LLC, Senior Secured 1st Lien Term Loan Tranche A, 11%, due 3/19/16		-		3,745,365		-			3,748,607
RM OpCo, LLC, Senior Secured 1st Lien Term Loan Tranche B, 12% Cash + 7% PIK, due 3/19/16		-		5,945,170		-			6,019,219
United Air Lines, Inc., Aircraft Secured Mortgage (N510UA), 20%, due 9/26/16		624,066		-		(31,786	)		596,984
United Air Lines, Inc., Aircraft Secured Mortgage (N512UA), 20%, due 10/26/16		630,208		-		(31,103	)		603,936
United Air Lines, Inc., Aircraft Secured Mortgage (N536UA), 16%, due 8/21/14		414,963		-		(58,610	)		358,293
United Air Lines, Inc., Aircraft Secured Mortgage (N545UA), 16%, due 7/17/15		563,575		-		(52,520	)		516,096
United Air Lines, Inc., Aircraft Secured Mortgage (N585UA), 20%, due 10/25/16		739,958		-		(36,520	)		709,638
United Air Lines, Inc., Aircraft Secured Mortgage (N659UA), 12%, due 3/28/16		5,014,613		-		(430,173	)		4,726,216
United Air Lines, Inc., Aircraft Secured Mortgage (N661UA), 12%, due 5/4/16		5,192,014		-		(417,180	)		4,918,780
United Air Lines, Inc., Equipment Trust Beneficial Interests (N510UA)		467,137		31,786		(17,957	)		477,765
United Air Lines, Inc., Equipment Trust Beneficial Interests (N512UA)		458,665		31,103		(17,663	)		472,470
United Air Lines, Inc., Equipment Trust Beneficial Interests (N536UA)		686,303		58,610		(22,601	)		616,413
United Air Lines, Inc., Equipment Trust Beneficial Interests (N545UA)		612,589		52,520		(23,737	)		615,580
United Air Lines, Inc., Equipment Trust Beneficial Interests (N585UA)		498,602		36,520		(23,388	)		582,805
United N659UA-767, LLC (N659UA)		2,274,815		430,173		(337,356	)		2,767,528
United N661UA-767, LLC (N661UA)		2,205,523		417,180		(331,517	)		2,770,176

Note to 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.

TCP Capital Corp.

Consolidated Schedule of Restricted Securities of Unaffiliated Issuers (Unaudited)

June 30, 2012

Investment	Acquisition Date	Cost

AIP/IS Holdings, LLC, Membership Units	Var. 2009 & 2010	$	-
Bally Total Fitness Holding Corporation, Common Stock	4/30/10		45,186,963
Bally Total Fitness Holding Corporation, Warrants	4/30/10		-
BPA Laboratories, Inc., Senior Secured Notes, 12.25%, due 4/1/17	3/5/12		14,458,200
Constellation Enterprises, LLC, Senior Secured 1st Lien Notes, 10.625%, due 2/1/16	1/20/11		12,322,875
DeepOcean Group Holding AS, Common Stock	5/13/11		3,477,627
Integra Telecom, Inc., Common Stock	11/19/09		8,433,884
Integra Telecom, Inc., Warrants	11/19/09		19,920
La Paloma Generating Company, Residual Claim	2/2/05		1,580,126
ITC^DeltaCom, Inc., Senior Secured Notes, 10.5%, due 4/1/16	4/9/10		8,753,309
NEF Kamchia Co-Investment Fund, LP Interest	7/31/07		3,367,227
NEF Telecom Company BV, Mezzanine Term Loan, EURIBOR + 4.5% Cash + 7.5% PIK, due 8/16/17	8/29/07		26,162,416
Precision Holdings, LLC, Class C Membership Interests	Var. 2010 & 2011		1,396
Shop Holding, LLC, Class A Units	6/2/11		462,576
Shop Holding, LLC, Warrants to Purchase Class A Units	6/2/11		-
STG-Fairway Holdings, LLC, Class A Units	12/30/10		1,100,348
The Telx Group, Inc., Senior Unsecured Notes, 10% Cash + 2% PIK, due 9/26/19	9/26/11		7,427,281

TCP Capital Corp

Consolidating Statement of Assets and Liabilities (Unaudited)

June 30, 2012

				Special Value
	TCP			Continuation						TCP
	Capital Corp.			Partners, LP						Capital Corp.
	Standalone			Standalone			Eliminations			Consolidated
Assets
Investments:
Unaffiliated issuers	$	-		$	335,442,072		$	-		$	335,442,072
Investment in subsidiary		317,251,268			-			(317,251,268	)		-
Controlled companies		-			1,305,748			-			-
Other affiliates		-			115,570,517			-			116,876,265
Total investments		317,251,268			452,318,337			(317,251,268	)		452,318,337

Cash and cash equivalents		-			11,208,200			-			11,208,200
Accrued interest income		-			6,287,481			-			6,287,481
Receivable for investment securities sold		-			213,554			-			213,554
Deferred debt issuance costs		-			917,972			-			917,972
Unrealized appreciation on swaps		-			437,912			-			437,912
Receivable from parent		-			1,292			(1,292	)		-
Prepaid expenses and other assets		40,807			529,322			-			570,129
Total assets		317,292,075			471,914,070			(317,252,560	)		471,953,585

Liabilities
Credit facility payable		-			17,000,000			-			17,000,000
Payable for investment securities purchased		-			2,176,789			-			2,176,789
Payable to the Investment Manager		1,538,278			492,818			-			2,031,096
Management and advisory fees payable		-			-			-			-
Interest payable		-			34,528			-			34,528
Payable to subsidiary		1,292			-			(1,292	)		-
Accrued expenses and other liabilities		132,766			425,616			-			558,382
Total liabilities		1,672,337			20,129,750			(1,292	)		21,800,795

Preferred equity facility
Series A preferred limited partner interests		-			134,000,000			-			134,000,000
Accumulated dividends on Series A preferred equity facility		-			533,052			-			533,052
Total preferred limited partner interests		-			134,533,052			-			134,533,052

Net assets	$	315,619,738		$	317,251,268		$	(317,251,268	)	$	315,619,738

Composition of net assets
Common stock	$	21,476		$	-		$	-		$	21,476
Additional paid-in capital		445,713,655			441,328,969			(441,328,969	)		445,713,655
Accumulated deficit		(130,115,393	)		(124,077,701	)		124,077,701			(130,115,393	)
Net assets	$	315,619,738		$	317,251,268		$	(317,251,268	)	$	315,619,738

TCP Capital Corp.

Consolidating Statement of Operations (Unaudited)

Six Months Ended June 30, 2012

	TCP			Special Value Continuation						TCP
	Capital Corp.			Partners, LP						Capital Corp.
	Standalone			Standalone			Eliminations			Consolidated
Investment income
Interest income:
Unaffiliated issuers	$	-		$	16,977,526		$	-		$	16,977,526
Affiliates		-			3,245,630			-			3,245,630
Dividend income:
Affiliates		-			1,811,189			-			1,811,189
Other income:
Affiliates		-			345,858			-			345,858
Total interest and related investment income		-			22,900,783			-			22,900,783

Operating expenses
Management and advisory fees		1,292			3,248,372			-			3,249,664
Professional fees relating to the Conversion		133,333			278,190			-			411,523
Amortization of deferred debt issuance costs		-			219,542			-			219,542
Legal fees, professional fees and due diligence expenses		120,844			240,932			-			361,776
Commitment fees		-			132,361			-			132,361
Director fees		33,333			66,667			-			100,000
Interest expense		-			56,448			-			56,448
Insurance expense		18,578			37,385			-			55,963
Custody fees		1,750			44,753			-			46,503
Other operating expenses		16,068			91,795			-			107,863
Total expenses		325,198			4,416,445			-			4,741,643

Net investment income before income taxes		(325,198	)		18,484,338			-			18,159,140

Excise tax expense		502,978			-			-			502,978

Net investment income		(828,176	)		18,484,338			-			17,656,162

Net realized and unrealized gain (loss)
Net realized gain (loss):
Investments in unaffiliated issuers		-			(3,104,104	)		-			(3,104,104	)
Investments in affiliates		-			718,845			-			718,845
Net realized loss		-			(2,385,259	)		-			(2,385,259	)
Net change in unrealized appreciation/depreciation		10,287,001			(4,999,802	)		(10,287,001	)		(4,999,802	)
Net realized and unrealized gain (loss)		10,287,001			(7,385,061	)		(10,287,001	)		(7,385,061	)

Dividends paid on Series A preferred equity facility		-			(745,183	)		-			(745,183	)
Net change in accumulated dividends on Series A preferred equity facility		-			(67,093	)		-			(67,093	)

Net increase in net assets resulting from operations	$	9,458,825		$	10,287,001		$	(10,287,001	)	$	9,458,825

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. For periods prior to April 2, 2012, the consolidated financial statements and related footnotes reflect the performance of Special Value Continuation Fund, LLC which was formed on July 17, 2006. In addition, 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 “Company,” “TCPC,” “TCP Capital,” “we,” “us,” or “our”). 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;