How to save a .json error message in TWebCopy

I am using:
C++B XE4 Pro 32 bit VCL platform

I am trying to grab the error message returned from the API call below:

When I place this API call in a web browser (I am using Chrome) I get a .json file displayed as seen below.

{ "quandl_error": { "code": "QEAx01", "message": "We could not recognize your API key. Please check your API key and try again." } }

When I place this call into TWebCopy it does not save the .json error file. I also can't see the .json error message in the two WebCopy error events below. These only display the HTTP error code.  

WebCopy1Error(TObject *Sender, int ErrorCode){ }

WebCopy1ErrorInfo(TObject *Sender, int ErrorCode, UnicodeString ErrorInfo){ }

Is there any way I can access this .json error message response from the API using TWebCopy? 

Looking at performing the HTTP request from the browser, we see a HTTP error 400:

HTTP/1.1 400 Bad Request 

TWebCopy as such also gets this HTTP 400 error and therefore reports this as error. TWebCopy only stores the response data when HTTP returns a 200 code (success)

I understand. I will put in a feature request for TWebCopy to save an error log file when the Http return code is other than 200.