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TCP owned a $1.29 billion portfolio; on August 4, 2026 it sold 95% of a retained…

2026-08-08 · 15:53 UTC ·@LeylaKuni ·1 min read

Brief

TCP sold 95% of the CLO equity slice it retained (the vehicle containing ~$523M of loans) to Pantheon on August 4, 2026 at ~5% below loan fair value. TCP had securitized $535.8M of loans on May 27; discounting assets but not the related debt tranches amplified losses on the levered equity piece, producing a $57M (10.4%) NAV drop.

Why it matters

TCP owned a $1.29 billion portfolio; on August 4, 2026 it sold 95% of a retained securitization slice that held roughly $523 million of loans (about 48% of its debt portfolio) to Pantheon Ventures at approximately a 5% discount to loan fair value, triggering a $57 million (10.4%) NAV decline.

Key details

  • On May 27, 2026 TCP had placed $535.8 million of loans into a CLO and retained an equity slice while senior investment‑grade tranches were sold to outside investors; the 5% haircut was applied to the loan assets on sale while the corresponding debt tranches weren’t discounted, magnifying the loss on the levered equity slice and explaining the NAV hit.
Source evidence

MATH PROBLEM OF THE DAY

TCP owns a $1.29 billion portfolio.

On August 4, 2026, it sells 95% of a vehicle holding $523 million of loans (~roughly 48% of its debt portfolio) to Pantheon Ventures

The loans are sold at roughly a 5% discount to fair value.

Question: How does that transaction reduce TCP’s NAV by $57 million, or 10.4%?
Show your work.

Let's start with figuring out what exactly was sold.

And no, "whole loans" is not the right answer.

On May 27, 2026, TCP took $535.8 million of loans on its books (TCP’s assets, not the borrowings of the fund) and packaged them into a securitization (a CLO) -

  • the chart below is from the SEC filings, I highlighted the slice of the securitization TCP kept.

The senior, investment-grade slices of the pool were sold to outside investors.

So what was sold to Pantheon is 95% of the slice TCP retained. The loans (assets) and corresponding debt (IG securities) were simply de-consolidated from the TCP balance sheet.

The 5% discount was applied to the loan fair value (assets inside the securitization). The debt tranches don't get discounted, of course.

From here, we can calculate fun things like
- discount on the equity slice,
- see how cash flows between December 31 and August 4 were allocated,
- and what this transaction cost shareholders

The rest of the story covers the math, what this means for the remaining portfolio, and how a drop in value of assets is magnified on levered things. It's a fun one (link in comments)