UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
 _______________________ FORM 10-Q _______________________ (Mark One)x

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD
ENDED SEPTEMBER 30, 2017  ̈

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934 COMMISSION FILE NUMBER:
0-50398 _______________________ TICC CAPITAL CORP. (Exact name of registrant as specified in its charter) _______________________ MARYLAND

20-0188736(State or other jurisdiction of
incorporation or organization)

(I.R.S. Employer
Identification No.) 8 SOUND SHORE DRIVE,
SUITE 255
GREENWICH, CONNECTICUT 06830 (Address of principal executive office) (203)
983-5275 (Registrant’s telephone number, including area code) _______________________ 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 (the “Exchange Act”)
during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), 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 (§232.405 of this chapter)
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, a non-accelerated filer,
or an emerging growth company. See definitions of “large
accelerated filer”, “accelerated filer”,
“smaller reporting company,” and “emerging growth
company” in Rule 12b-2 of the Exchange Act. (Check one): Large accelerated filer

 ̈

Accelerated filer

xNon-accelerated filer

 ̈

Smaller Reporting company

 ̈Emerging growth company

 ̈ If an emerging growth company, indicate by check mark if the
registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting
standards provided pursuant to Section 13(a) of the Exchange Act.
 ̈ Indicate by check mark whether the registrant is a shell company
(as defined in Rule 12b-2 of the Exchange Act). Yes  ̈ No
x Indicate the number of shares outstanding of each of the
issuer’s classes of common stock, as of the latest
practicable date. The number of shares of the issuer’s common
stock, $0.01 par value, outstanding as of November 1, 2017 was
51,479,409.
  TICC CAPITAL
CORP. TABLE OF
CONTENTS PART I. FINANCIAL INFORMATION

1Item 1.

Financial Statements (Unaudited)

1Consolidated Statements of Assets and Liabilities as of September 30, 2017 and December 31, 2016

1Consolidated Schedule of Investments as of September 30, 2017

2Consolidated Schedule of Investments as of December 31, 2016

9Consolidated Statements of Operations for the three and nine months ended September 30, 2017 and 2016

17Consolidated Statements of Changes in Net Assets for the nine months ended September 30, 2017 and for the year ended December 31, 2016

18Consolidated Statements of Cash Flows for the nine months ended September 30, 2017 and 2016

19Notes to Consolidated Financial Statements

20Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

51Item 3.

Quantitative and Qualitative Disclosures About Market Risk

74Item 4.

Controls and Procedures

74PART II. OTHER INFORMATION

II-1Item 1.

Legal Proceedings

II-1Item 1A.

Risk Factors

II-1Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

II-1Item 3.

Defaults Upon Senior Securities

II-1Item 4.

Mine Safety Disclosures

II-1Item 5.

Other Information

II-1Item 6.

Exhibits

II-2SIGNATURES

II-3 i PART I — FINANCIAL
INFORMATION ITEM 1. FINANCIAL
STATEMENTS (UNAUDITED) TICC CAPITAL
CORP. CONSOLIDATED STATEMENTS
OF ASSETS AND LIABILITIES
(unaudited) September 30, 2017

December 31, 2016ASSETSNon-affiliated/non-control investments (cost:
$432,803,519 @ 9/30/17; $616,542,612 @ 12/31/16)

$
406,516,270


$
578,297,069Affiliated
investments (cost: $9,812,378 @ 9/30/17; $7,497,229 @ 12/31/16)


15,214,283



11,626,007Cash and cash equivalents


119,601,494



8,261,698Restricted cash


—



3,451,636Interest and distributions receivable


4,562,096



9,682,672Securities sold not settled


2,950,000



7,406Other assets


1,516,032



1,130,018Total assets

$
550,360,175


$
612,456,506LIABILITIESAccrued interest payable

$
2,966,060


$
1,731,111Base management fee and net investment income
incentive fee payable to affiliate


2,571,494



3,673,381Securities purchased not settled


5,015,000



—Accrued expenses


759,194



1,089,043Notes payable – TICC CLO 2012-1 LLC, net
of discount and deferred
issuance costs


—



125,853,720Convertible senior notes payable due 2017, net
of deferred issuance costs


94,497,384



94,116,7536.50% unsecured notes due 2024, net of deferred
issuance costs


62,258,316



—Total liabilities


168,067,448



226,464,008COMMITMENTS AND CONTINGENCIES (Note 13)NET
ASSETSCommon stock, $0.01 par value, 100,000,000
shares authorized; 51,479,409 and 51,479,409 shares issued and
outstanding, respectively


514,794



514,794Capital in excess of par value


558,822,643



558,822,643Net unrealized depreciation on
investments


(20,885,344
)


(34,116,765)Accumulated net realized losses


(107,505,733
)


(98,364,284)Distributions in excess of net investment
income


(48,653,633
)


(40,863,890)Total net assets


382,292,727



385,992,498Total liabilities and net assets

$
550,360,175


$
612,456,506Net asset value per common share

$
7.43


$
7.50 See Accompanying Notes. 1 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2017
(unaudited) COMPANY/INVESTMENT(1)

PRINCIPAL

                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net
                                         AssetsSenior
                                         Secured NotesAerospace
                                         and DefenseNovetta,
                                         LLCfirst
                                         lien senior secured notes, 6.34% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(15)

$
5,600,250

$
5,548,448

$
5,397,241Total
                                         Aerospace and Defense




$
5,548,448

$
5,397,241

1.4
%Business
                                         ServicesImagine!
                                         Print Solutionssecond
                                         lien senior secured notes, 10.09% (LIBOR + 8.75%), (1.00% floor) due March 30, 2022(4)(5)(15)

$
15,000,000

$
14,851,246

$
14,700,000Polycom,
                                         Inc.second
                                         lien senior secured notes, 11.24% (LIBOR + 10.00%), (1.00% floor) due September 27, 2024(4)(5)(17)


13,000,000


12,756,478


13,000,000Premiere
                                         Global Services, Inc.senior
                                         secured notes, 7.78% (LIBOR + 6.50%), (1.00% floor) due December 8, 2021(4)(5)(6)(14)(15)


15,819,410


14,607,301


15,305,279second
                                         lien senior secured notes, 10.74% (LIBOR + 9.50%), (1.00% floor) due June 6, 2022(4)(5)(14)(17)


10,000,000


9,728,198


9,875,000Total
                                         Business Services




$
51,943,223

$
52,880,279

13.8
%Consumer
                                         ServicesJackson
                                         Hewitt Tax Service, Inc.first
                                         lien senior secured notes, 8.31% (LIBOR + 7.00%), (1.00% floor) due July 30, 2020(4)(5)(6)(15)

$
19,601,471

$
19,296,154

$
18,817,412Total
                                         Consumer Services




$
19,296,154

$
18,817,412

4.9
%Diversified
                                         InsuranceAmeriLife
                                         Group LLCfirst
                                         lien senior secured notes, 5.99% (LIBOR + 4.75%), (1.00% floor) due July 10, 2022(4)(5)(6)(17)

$
15,447,791

$
15,329,320

$
15,196,764Total
                                         Diversified Insurance




$
15,329,320

$
15,196,764

4.0
%EducationEdmentum,
                                         Inc. (F/K/A “Plato, Inc.”)first
                                         lien senior secured notes, 5.81% (LIBOR + 4.50%), (1.00% floor) Cash, 2.00% PIK due June 10,
                                         2019(3)(4)(5)(6)(15)

$
6,013,256

$
5,989,356

$
4,517,459Total
                                         Education




$
5,989,356

$
4,517,459

1.2
%Financial
                                         IntermediariesFirst
                                         American Payment Systemssecond
                                         lien senior secured notes, 11.73% (LIBOR + 10.50%), (1.00% floor) due July 6, 2024(4)(5)(6)(17)

$
1,500,000

$
1,457,823

$
1,477,500Harbortouch
                                         Paymentssecond
                                         lien senior secured notes, 10.74% (LIBOR + 9.50%), (1.00% floor) due October 11, 2024(4)(5)(6)(17)


12,000,000


11,793,754


12,000,000Total
                                         Financial Intermediaries




$
13,251,577

$
13,477,500

3.5
% (continued on next
page) See Accompanying Notes. 2 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
September 30, 2017
(unaudited) COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net
                                         AssetsSenior
                                         Secured Notes – (continued)HealthcareKeystone
                                         Acquisition Corp.first
                                         lien senior secured notes, 6.58% (LIBOR + 5.25%), (1.00% floor) due May 1, 2024(4)(5)(6)(15)

$
3,000,000

$
2,941,950

$
2,996,250second
                                         lien senior secured notes, 10.58% (LIBOR + 9.25%), (1.00% floor) due May 1, 2025(4)(5)(6)(15)


10,000,000


9,803,106


9,887,500Total
                                         Healthcare




$
12,745,056

$
12,883,750

3.4
%IT
                                         ConsultingUnitek
                                         Global Services, Inc.first
                                         lien senior secured tranche B term loan, 9.84% (LIBOR + 8.50%), (1.00% floor) due January 13,
                                         2019(4)(5)(15)

$
2,638,748

$
2,624,774

$
2,665,135Total
                                         IT Consulting




$
2,624,774

$
2,665,135

0.7
%LogisticsCapstone
                                         Logistics Acquisition, Inc.first
                                         lien senior secured notes, 5.74% (LIBOR + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(17)

$
10,573,496

$
10,554,997

$
10,467,761Total
                                         Logistics




$
10,554,997

$
10,467,761

2.7
%Printing
                                         and PublishingMerrill
                                         Communications, LLCfirst
                                         lien senior secured notes, 6.56% (LIBOR + 5.25%), (1.00% floor ) due June 01, 2022(4)(5)(6)(15)

$
12,730,561

$
12,638,574

$
12,794,214Total
                                         Printing and Publishing




$
12,638,574

$
12,794,214

3.3
%SoftwareECI
                                         Software Solutionssecond
                                         lien senior secured notes, 9.33% (LIBOR + 8.00%), (1.00% floor) due September 29, 2025(4)(5)(15)

$
15,000,000

$
14,895,056

$
14,962,500Help/Systems
                                         Holdings, Inc.second
                                         lien senior secured notes 10.83% (LIBOR + 9.50%), (1.00% floor) due October 8, 2022(4)(5)(15)


10,000,000


9,707,916


9,791,700Total
                                         Software




$
24,602,972

$
24,754,200

6.5
%Telecommunications
                                         ServicesAricent
                                         Technologies, Inc.second
                                         lien senior secured notes, 9.74% (LIBOR + 8.50%),                                          (1.00% floor) due April 14, 2022(4)(5)(17)

$
14,000,000

$
14,008,377

$
14,052,500Birch
                                         Communications, Inc.first
                                         lien senior secured notes, 8.55% (LIBOR + 7.25%), (1.00% floor) due July 15, 2020(4)(5)(6)(15)


21,475,095


20,826,313


18,253,831Global
                                         Tel Link Corpsecond
                                         lien senior secured notes, 9.08% (LIBOR + 7.75%), (1.25% floor) due November 23, 2020(4)(5)(15)


13,000,000


12,919,938


12,935,000 (continued on next
page) See Accompanying Notes. 3 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
September 30, 2017
(unaudited) COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsSenior
                                         Secured Notes – (continued)Telecommunications
Services – (continued)Securus
                                         Technologies, Inc.first
                                         lien senior secured notes, 4.75% (LIBOR + 3.50%), (1.25% floor) due April 30, 2020(4)(5)(6)(17)

$
5,638,392

$
5,614,900

$
5,638,392second
                                         lien senior secured notes, 9.00% (LIBOR + 7.75%), (1.25% floor) due April 30, 2021(4)(5)(15)


6,400,000


6,382,803


6,405,312Total
                                         Telecommunication Services




$
59,752,331

$
57,285,035

15.0
%Total
                                         Senior Secured Notes




$
234,276,782

$
231,136,750

60.4
%Subordinated
                                         DebtIT
                                         ConsultingUnitek
                                         Global Services, Inc.Holdco
                                         PIK Debt Cash 0.00%, 15.00% PIK, due July 13, 2019(3)(5)

$
750,317

$
748,183

$
757,820Total
                                         IT Consulting




$
748,183

$
757,820

0.2
%Total
                                         Subordinated Debt




$
748,183

$
757,820

0.2
%Collateralized
                                         Loan Obligation – Debt InvestmentsStructured
                                         FinanceCatamaran
                                         CLO 2012-1 Ltd.CLO
                                         secured class F notes, 7.52% (LIBOR + 6.25%), due December 20, 2023(4)(5)(11)(12)(15)

$
1,250,000

$
1,182,662

$
1,218,750Jamestown
                                         CLO V Ltd.CLO
                                         secured class F notes, 7.15% (LIBOR + 5.85%), due
                                         January 17, 2027(4)(5)(11)(12)(15)


4,000,000


3,288,787


3,262,800Total
                                         Structured Finance




$
4,471,449

$
4,481,550

1.2
%Total
                                         Collateralized Loan Obligation – Debt Investments




$
4,471,449

$
4,481,550

1.2
%Collateralized
                                         Loan Obligation – Equity InvestmentsStructured
                                         FinanceAMMC
                                         CLO XI, Ltd.CLO
                                         subordinated notes, estimated yield 12.24% due October 30, 2023(9)(11)(12)(19)

$
6,000,000

$
3,766,347

$
3,000,000AMMC
                                         CLO XII, Ltd.CLO
                                         subordinated notes, estimated yield 4.05% due May 10, 2025(9)(11)(12)(19)


12,921,429


6,678,484


5,427,000Anchorage
                                         Capital 6 CLO, Ltd.CLO
                                         subordinated notes, estimated yield 16.58% due July 15, 2030(9)(11)(12)(19)


5,000,000


3,366,362


3,256,696Ares
                                         XXV CLO Ltd.CLO
                                         subordinated notes, estimated yield 0.00% due January 17, 2024(9)(10)(11)(12)(19)


15,500,000


317,125


—Ares
                                         XXVI CLO Ltd.CLO
                                         subordinated notes, estimated yield 4.29% due April 15, 2025(9)(11)(12)(19)


17,630,000


8,496,368


6,701,691 (continued on next
page) See Accompanying Notes. 4 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
September 30, 2017
(unaudited) COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsCollateralized
                                         Loan Obligation — Equity Investments – (continued)Structured
Finance – (continued)Carlyle
                                         Global Market Strategies CLO 2013-2, Ltd.CLO
                                         subordinated notes, estimated yield 9.82% due April 18, 2025(9)(11)(12)(19)

$
9,250,000

$
5,932,670

$
5,593,861Catamaran
                                         CLO 2012-1 Ltd.CLO
                                         subordinated notes, estimated yield 2.37% due December 20, 2023(9)(11)(12)(19)


23,000,000


9,521,922


4,140,000Cedar
                                         Funding II CLO, Ltd.CLO
                                         subordinated notes, estimated yield 15.32% due March 09, 2025(9)(11)(12)(19)


18,000,000


13,658,689


13,140,000Cedar
                                         Funding VI CLO, Ltd.CLO
                                         subordinated notes, estimated yield 14.88% due October 20, 2028(9)(11)(12)(19)


7,700,000


7,008,964


7,007,000CIFC
                                         Funding 2012-1, Ltd.CLO
                                         subordinated notes, estimated yield 0.00% due August 14, 2024(9)(10)(11)(12)(19)


12,750,000


213,307


133,875CIFC
                                         Funding 2014-3, Ltd.CLO
                                         subordinated notes, estimated yield 15.10% due July 22, 2026(9)(11)(12)(19)


10,000,000


6,996,163


6,400,000Eaton
                                         Vance 2015-1, Ltd.CLO
                                         subordinated notes, estimated yield 13.62% due October 20, 2026(9)(11)(12)(19)


7,500,000


5,109,292


5,475,000Galaxy
                                         XVII CLO, Ltd.CLO
                                         subordinated notes, estimated yield 24.75% due April 25, 2025(9)(11)(12)(19)


2,000,000


900,698


860,000GoldenTree
                                         Loan Opportunities VII, Ltd.CLO
                                         subordinated notes, estimated yield 19.39% due April 25, 2025(9)(11)(12)(19)


4,670,000


2,621,693


2,568,500Hull
                                         Street CLO Ltd.CLO
                                         subordinated notes, estimated yield -1.14% due October 18, 2026(9)(11)(12)(19)


5,000,000


2,941,954


1,350,000Ivy
                                         Hill Middle Market Credit Fund VII, Ltd.CLO
                                         subordinated notes, estimated yield 17.21% due October 20, 2025(9)(11)(12)(19)


14,000,000


11,434,840


10,151,717Jamestown
                                         CLO V Ltd.CLO
                                         subordinated notes, estimated yield 18.20% due January 17, 2027(9)(11)(12)(19)


8,000,000


4,933,371


3,200,000 (continued on next
page) See Accompanying Notes. 5 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
September 30, 2017
(unaudited) COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsCollateralized
                                         Loan Obligation — Equity Investments – (continued)Structured
Finance – (continued)KVK
                                         CLO 2013-2, Ltd.CLO
                                         subordinated notes, estimated yield 37.81% due January 15, 2026(9)(11)(12)(19)

$
14,200,000

$
6,739,198

$
5,467,000Madison
                                         Park Funding XIX, Ltd.CLO
                                         subordinated notes, estimated yield 13.63% due January 22, 2028(9)(11)(12)(19)


5,422,500


5,315,388


5,585,175Marea
                                         CLO, Ltd.CLO
                                         subordinated notes, estimated yield 0.00% due October 15, 2023(9)(10)(11)(12)(19)


16,217,000


2,664,610


—Mountain
                                         Hawk III CLO, Ltd.CLO
                                         M notes due April 18, 2025(11)(12)(13)


2,389,676


—


109,020Regatta
                                         V Funding, Ltd.CLO
                                         subordinated notes, estimated yield 18.78% due October 25, 2026(9)(11)(12)(19)


3,000,000


1,826,552


1,800,000Steele
                                         Creek CLO 2014-1, Ltd.CLO
                                         subordinated notes, estimated yield 18.97% due August 21, 2026(9)(11)(12)(19)


6,000,000


4,294,553


4,320,000Telos
                                         CLO 2013-3, Ltd.CLO
                                         subordinated notes, estimated yield 20.20% due July 17, 2026(9)(11)(12)(19)


14,447,790


9,146,221


7,946,285Telos
                                         CLO 2013-4, Ltd.CLO
                                         subordinated notes, estimated yield 26.48% due July 17, 2024(9)(11)(12)(19)


11,350,000


6,941,608


6,578,091Telos
                                         CLO 2014-5, Ltd.CLO
                                         subordinated notes, estimated yield 21.10% due April 17, 2025(9)(11)(12)(19)


28,500,000


18,448,186


16,898,211Venture
                                         XIV, Ltd.CLO
                                         subordinated notes, estimated yield 19.47% due August 28, 2029(9)(11)(12)(19)


5,250,000


3,214,363


2,835,000Venture
                                         XVII, Ltd.CLO
                                         subordinated notes, estimated yield 20.20% due July 15, 2026(9)(11)(12)(19)


6,200,000


4,219,279


3,728,873Venture
                                         XXIV CLO, Ltd.CLO
                                         subordinated notes, estimated yield 16.14% due October 20, 2028(9)(11)(12)(19)


3,750,000


3,346,166


3,262,500Vibrant
                                         CLO V, Ltd.CLO
                                         subordinated notes, estimated yield 18.98% due January 20, 2029(9)(11)(12)(19)


13,475,000


11,990,357


11,588,500 (continued on next
page) See Accompanying Notes. 6 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
September 30, 2017
(unaudited) COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT/SHARES

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsCollateralized
                                         Loan Obligation — Equity Investments – (continued)Structured
Finance – (continued)West
                                         CLO 2014-1, Ltd.CLO
                                         subordinated notes, estimated yield 24.57% due July 18, 2026(9)(11)(12)(19)

$
13,500,000

$
9,068,058

$
9,180,000Windriver
                                         2012-1 CLO, Ltd.CLO
                                         subordinated notes, estimated yield 11.02% due January 17, 2024(9)(11)(12)(19)


7,500,000


4,831,741


4,057,494Zais
                                         CLO 6, Ltd.CLO
                                         subordinated notes, estimated yield 20.32% due July 15, 2029(9)(11)(12)(19)


10,500,000


9,425,570


10,185,000CLO
                                         Equity Side Letter Related Investments(11)(12)(13)





125,000


1,616,116Total
                                         Structured Finance




$
195,495,102

$
173,562,605

45.4
%Total
                                         Collateralized Loan Obligation – Equity Investments




$
195,495,102

$
173,562,605

45.4
%Common
                                         StockIT
                                         ConsultingUnitek
                                         Global Servicescommon
                                         equity(7)(10)


1,244,188

$
684,960

$
622,094Total
                                         IT Consulting




$
684,960

$
622,094

0.2
%Total
                                         Common Stock




$
684,960

$
622,094

0.2
%Preferred
                                         EquityIT
                                         ConsultingUnitek
                                         Global Services, Inc.Series
                                         A Senior Preferred Equity(7)


3,002,455

$
2,762,421

$
3,122,553Series
                                         A Preferred Equity(7)


5,706,866


3,677,000


8,046,681Total
                                         IT Consulting




$
6,439,421

$
11,169,234

2.9
%Total
                                         Preferred Equity




$
6,439,421

$
11,169,234

2.9
%WarrantsIT
                                         ConsultingUnitek
                                         Global Services, Inc.Warrants
                                         to purchase common stock(7)


159,795

$
—

$
—Total
                                         IT Consulting




$
—

$
—

0.0
%Total
                                         Warrants




$
—

$
—

0.0
%Other
                                         InvestmentsSoftwareAlgorithmic
                                         Implementations, Inc. (d/b/a “Ai Squared”)Earnout
                                         payments(7)(20)




$
500,000

$
500Total
                                         Software




$
500,000

$
500

0.0
%Total
                                         Other Investments




$
500,000

$
500

0.0
%Total
                                         Investments in Securities(8)




$
442,615,897

$
421,730,553

110.3
% (continued on next
page) See Accompanying Notes. 7 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
September 30, 2017
(unaudited) COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsCash
                                         EquivalentsFirst
                                         American Government Obligations Fund(21)



$
119,601,494

$
119,601,494Total
                                         Cash Equivalents



$
119,601,494

$
119,601,494

31.3
%Total
                                         Investments in Securities and Cash Equivalents



$
562,217,391

$
541,332,047

141.6
% ____________ (1) Other than
Unitek Global Services, Inc., of which we are deemed to be an
“affiliate,” we do not “control” and are
not an “affiliate” of any of our portfolio companies,
each as defined in the Investment Company Act of 1940 (the
“1940 Act”). In general, under the 1940 Act, we would
be presumed to “control” a portfolio company if we
owned 25% or more of its voting securities and would be an
“affiliate” of a portfolio company if we owned 5% or
more of its voting securities. (2) Fair value
is determined in good faith by the Board of Directors of the
Company. (3) Portfolio
includes $6,763,573 of principal amount of debt investments which
contain a PIK provision at September 30, 2017. (4) Notes bear
interest at variable rates. (5) Cost value
reflects accretion of original issue discount or market
discount. (6) Cost value
reflects repayment of principal. (7) Non-income
producing at the relevant period end. (8) Aggregate
gross unrealized appreciation for federal income tax purposes is
$12,832,544; aggregate gross unrealized depreciation for federal
income tax purposes is $76,038,143. Net unrealized depreciation is
$63,205,599 based upon a tax cost basis of $484,936,152. (9) Cost value
reflects accretion of effective yield less any cash distributions
received or entitled to be received from CLO equity
investments. (10) The CLO equity investment was optionally redeemed. Refer to “Note 3. Summary of Significant Accounting Policies.” (11) Indicates assets that the Company believes do not represent
“qualifying assets” under Section 55(a) of the 1940 Act
Qualifying assets must represent at least 70% of the
Company’s total assets at the time of acquisition of any
additional non-qualifying assets. As of September 30, 2017, the Company
held qualifying assets that represented 67.3% of its total
assets (12) Investment not domiciled in the United States. (13) Fair value represents discounted cash flows associated with
fees earned from CLO equity investments (14) Aggregate investments represent greater than 5% of net
assets. (15) The principal balance outstanding for this debt investment, in
whole or in part, is indexed to 90-day LIBOR. (16) The principal balance outstanding for this debt investment, in
whole or in part, is indexed to 1-year LIBOR. (17) The principal balance outstanding for this debt investment, in
whole or in part, is indexed to 30-day LIBOR. (18) The principal balance outstanding for this debt investment, in
whole or in part, is indexed to 180-day LIBOR. (19) The CLO subordinated notes and income notes are considered
equity positions in the CLO funds. Equity investments are entitled
to recurring distributions which are generally equal to the
remaining cash flow of the payments made by the underlying
fund’s securities less contractual payments to debt holders
and fund expenses. The estimated yield indicated is based upon a
current projection of the amount and timing of these recurring
distributions and the estimated amount of repayment of principal
upon expected redemption. Such projections are periodically
reviewed and adjusted, and the estimated yield may not ultimately
be realized. (20) Represents the earnout payments related to the sale of
Algorithmic Implementations, Inc. (d/b/a “Ai
Squared”). (21) Represents cash equivalents held in money market accounts as
of September  30, 2017. See Accompanying Notes. 8 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2016 COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net
                                         AssetsSenior
                                         Secured NotesAerospace
                                         and DefenseNovetta,
                                         LLCfirst
                                         lien senior secured notes, 6.00% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(10)(15)

$
5,643,000

$
5,586,051

$
5,466,656Total
                                         Aerospace and Defense




$
5,586,051

$
5,466,656

1.4
%Business
                                         ServicesBMC
                                         Software Finance, Inc.first
                                         lien senior secured notes, 5.00% (LIBOR + 4.00%), (1.00% floor) due September 10, 2020(4)(5)(6)(10)(15)

$
4,676,389

$
4,687,172

$
4,664,698ConvergeOne
                                         Holdings Corp.first
                                         lien senior secured notes, 6.375% (LIBOR + 5.375%), (1.00% floor) due June 17, 2020(4)(5)(6)(10)(15)


9,609,828


9,609,610


9,561,779second
                                         lien senior secured notes, 10.00% (LIBOR + 9.00%), (1.00% floor) due June 17, 2021(4)(5)(10)(15)


3,000,000


2,978,478


2,940,000Polycom,
                                         Inc.first
                                         lien senior secured notes, 7.50% (LIBOR + 6.50%), (1.00% floor) due September 27, 2023(4)(5)(14)(17)


6,769,583


6,497,271


6,803,431second
                                         lien senior secured notes, 11.00% (LIBOR + 10.00%), (1.00% floor) due September 27, 2024(4)(5)(14)(17)


13,000,000


12,744,436


12,870,000Premiere
                                         Global Services, Inc.senior
                                         secured notes, 7.50% (LIBOR + 6.50%), (1.00% floor) due December 8, 2021(4)(5)(6)(10)(15)


14,436,090


13,060,236


14,048,192second
                                         lien senior secured notes, 10.50% (LIBOR + 9.50%), (1.00% floor) due June 6, 2022(4)(5)(17)


5,000,000


4,804,450


4,800,000Source
                                         Hov, LLCfirst
lien senior secured notes, 7.75% (LIBOR + 6.75%), (1.00% floor) due
October 31,2019(4)(5)(6)(10)(14)(17)


16,537,500


16,195,897


14,883,750second
                                         lien senior secured notes, 11.50% (LIBOR + 10.50%), (1.00% floor) due April 30, 2020(4)(5)(10)(14)(17)


15,000,000


14,586,122


9,723,750Total
                                         Business Services




$
85,163,672

$
80,295,600

20.8
%Computer
                                         HardwareStratus
                                         Technologies, Inc.first
                                         lien senior secured notes, 6.00% (LIBOR + 5.00%), (1.00% floor) due April 28, 2021(4)(5)(6)(10)(17)

$
7,975,000

$
7,911,297

$
7,855,375Total
                                         Computer Hardware




$
7,911,297

$
7,855,375

2.0
%Consumer
                                         ServicesJackson
                                         Hewitt Tax Service, Inc.first
                                         lien senior secured notes, 8.00% (LIBOR + 7.00%), (1.00% floor) due July 30, 2020(4)(5)(6)(10)(15)

$
17,640,000

$
17,387,178

$
16,912,350Total
                                         Consumer Services




$
17,387,178

$
16,912,350

4.4
% (continued on next
page) See Accompanying Notes. 9 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
DECEMBER 31, 2016 COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net
                                         AssetsSenior
                                         Secured Notes – (continued)Diversified
                                         InsuranceAmeriLife
                                         Groupfirst
                                         lien senior secured notes, 5.75% (LIBOR + 4.75%), (1.00% floor) due July 10, 2022(4)(5)(6)(10)(16)

$
15,620,604

$
15,486,217

$
15,151,986Total
                                         Diversified Insurance




$
15,486,217

$
15,151,986

3.9
%EducationEdmentum,
                                         Inc. (F/K/A “Plato, Inc.”)first
                                                               lien senior secured notes, 5.50% (LIBOR + 4.50%), (1.00% floor) Cash, 2.00% PIK due June 10,
                                                               2019(3)(4)(5)(6)(10)(15)

$
5,966,443

$
5,931,165

$
4,285,875Total
                                         Education




$
5,931,165

$
4,285,875

1.1
%Financial
                                         IntermediariesFirst
                                         American Payment Systemssecond
                                         lien senior secured notes, 10.75% (LIBOR + 9.50%), (1.25% floor) due April 12, 2019(4)(5)(6)(10)(17)

$
13,982,241

$
13,870,396

$
13,982,241Harbortouch
                                         Paymentssecond
                                         lien senior secured notes, 10.50% (LIBOR + 9.50%), (1.00% floor) due October 11, 2024(4)(5)(6)(10)(15)


12,000,000


11,777,359


11,820,000NAB
                                         Holdings, LLCfirst
                                         lien senior secured notes, 4.75% (LIBOR + 3.75%), (1.00% floor) due May 21, 2021(4)(5)(6)(10)(15)


9,262,559


9,214,580


9,262,559Total
                                         Merchant Services, Inc.first
                                         lien senior secured notes, 6.50% (LIBOR + 5.50%), (1.00% floor) due December 5, 2020(4)(5)(6)(10)(18)


12,224,081


12,135,248


11,888,285Total
                                         Financial Intermediaries




$
46,997,583

$
46,953,085

12.2
%IT
                                         ConsultingUnitek
                                         Global Services, Inc.first
                                         lien senior secured tranche B term loan, 8.50% (LIBOR + 4.50%), (1.00% floor) due January 13,
                                         2019(4)(5)(10)(15)

$
2,638,748

$
2,617,067

$
2,665,135Total
                                         IT Consulting




$
2,617,067

$
2,665,135

0.7
%LogisticsCapstone
                                         Logistics Acquisition, Inc.first
                                         lien senior secured notes, 5.50% (LIBOR + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(10)(17)

$
10,727,817

$
10,704,694

$
10,584,815Total
                                         Logistics




$
10,704,694

$
10,584,815

2.7
% (continued on next
page) See Accompanying Notes. 10 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
DECEMBER 31, 2016 COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsSenior
                                         Secured Notes – (continued)Printing
                                         and PublishingiEnergizer
                                         Limitedfirst
                                         lien senior secured notes, 7.25% (LIBOR + 6.00%), (1.25% floor) due May 01, 2019(4)(5)(6)(10)(11)(12)(17)

$
4,694,081

$
4,621,686

$
4,647,140Merrill
                                         Communications, LLCfirst
                                         lien senior secured notes, 6.25% (LIBOR + 5.25%), 
                                         (1.00% floor ) due June 01, 2022(4)(5)(6)(10)(14)(15)


23,682,442


23,447,282


23,504,824Novitex
                                         Enterprise Solutions (F/K/A “Pitney Bowes Management Services, Inc.”)first
                                         lien senior secured notes, 8.00% (LIBOR + 6.75%), (1.25% floor) due July 07, 2020(4)(5)(6)(10)(18)


15,165,400


15,098,034


14,520,871Innovairre
                                         Holding Company LLC(F/K/A” RBS Holding Company”)first
                                         lien senior secured notes, 5.00% (LIBOR + 4.00%), (1.00% floor) due August 2, 2019(4)(5)(6)(15)


11,839,379


11,578,162


11,602,591Recorded
                                         Books, Inc. (F/K/A “VolumeHoldings, Inc.”)senior
                                         secured notes, 5.50% (LIBOR + 4.50%), (1.00% floor) due July 31, 2021(4)(5)(6)(10)(15)


8,720,058


8,684,453


8,632,857Total
                                         Printing and Publishing




$
63,429,617

$
62,908,283

16.3
%SoftwareHelp/Systems
                                         Holdings, Inc.senior
                                         secured notes, 6.25% (LIBOR + 5.25%), (1.00% floor) due October 18, 2021(4)(5)(6)(10)(15)

$
8,910,000

$
8,760,042

$
8,887,725second
                                         lien senior secured notes 10.50% (LIBOR + 9.50%), (1.00% floor) due October 8, 2022(4)(5)(15)


10,000,000


9,676,019


9,500,000Total
                                         Software




$
18,436,061

$
18,387,725

4.8
%Telecommunications
                                         ServicesAricent
                                         Technologies, Inc.first
                                         lien senior secured notes, 5.50% (LIBOR + 4.50%), (1.00% floor) due April 14, 2021(4)(5)(6)(10)(14)(18)

$
8,775,262

$
8,731,896

$
8,533,942second
                                         lien senior secured notes, 9.50% (LIBOR + 8.50%), (1.00% floor) due April 14, 2022(4)(5)(10)(14)(18)


14,000,000


14,008,442


12,040,000Birch
                                         Communications, Inc.first
                                         lien senior secured notes, 8.25% (LIBOR + 7.25%), (1.00% floor) due July 18, 2020(4)(5)(6)(10)(14)(15)


22,386,525


21,592,757


19,700,142Global
                                         Tel Link Corpfirst
                                         lien senior secured notes, 5.00% (LIBOR + 3.75%), (1.25% floor) due May 23, 2020(4)(5)(6)(15)


1,983,163


1,975,704


1,969,539second
                                         lien senior secured notes, 9.00% (LIBOR + 7.75%), (1.25% floor) due November 23, 2020(4)(5)(10)(15)


13,000,000


12,903,392


12,593,750 (continued on next
page) See Accompanying Notes. 11 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
DECEMBER 31, 2016 COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsSenior
                                         Secured Notes – (continued)Telecommunications
Services – (continued)Electric
                                         Lightwave Holdings, Inc. (F/K/A “Integra Telecom Holdings, Inc.”)first
                                         lien senior secured notes, 5.25% (LIBOR + 4.00%), (1.25% floor) due August 14, 2020(4)(5)(6)(10)(14)(15)

$
5,180,526

$
5,159,932

$
5,189,592second
                                                                            lien senior secured notes, 9.75% (LIBOR + 8.50%), (1.25% floor) due February 14,
                                                                            2021(4)(5)(6)(10)(14)(15)


10,806,404


10,857,480


10,786,196Securus
                                         Technologies, Inc.first
                                         lien senior secured notes, 4.75% (LIBOR + 3.50%), (1.25% floor) due April 30, 2020(4)(5)(6)(15)


5,824,573


5,792,824


5,795,450second
                                         lien senior secured notes, 9.00% (LIBOR + 7.75%), (1.25% floor) due April 30, 2021(4)(5)(10)(15)


6,400,000


6,379,907


6,256,000U.S.
                                         Telepacific Corp.first
                                         lien senior secured notes, 6.00% (LIBOR + 5.00%), (1.00% floor) due November 25, 2020 (4)(5)(6)(10)(15)


9,778,733


9,708,848


9,756,340Total
                                         Telecommunication Services




$
97,111,182

$
92,620,951

24.0
%TravelTravel
                                         Leaders Group, LLCfirst
                                         lien senior secured notes, 7.00% (LIBOR + 6.00%), (1.00% floor) due December 07, 2020(4)(5)(6)(10)(15)

$
8,926,197

$
8,790,059

$
8,926,197Total
                                         Travel




$
8,790,059

$
8,926,197

2.3
%Total
                                         Senior Secured Notes




$
385,551,843

$
373,014,033

96.6
%Subordinated
                                         DebtIT
                                         ConsultingUnitek
                                         Global Services, Inc.Holdco
                                         PIK Debt Cash 0.00%, 15.00% PIK, due July 13, 2019(3)(5)(10)

$
671,053

$
668,162

$
677,764Total
                                         IT Consulting




$
668,162

$
677,764

0.2
%Total
                                         Subordinated Debt




$
668,162

$
677,764

0.2
%Collateralized
                                         Loan Obligation – Debt InvestmentsStructured
                                         FinanceTelos
                                         CLO 2013-3, Ltd.CLO
                                         secured class F notes, 6.38% (LIBOR + 5.50%), due January 17, 2024(4)(5)(11)(12)(15)

$
3,000,000

$
2,804,247

$
2,700,000Total
                                         Structured Finance




$
2,804,247

$
2,700,000

0.7
%Total
                                         Collateralized Loan Obligation – Debt Investments




$
2,804,247

$
2,700,000

0.7
% (continued on next
page) See Accompanying Notes. 12 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
DECEMBER 31, 2016 COMPANY/INVESTMENT(1)

PRINCIPAL
AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsCollateralized
                                         Loan Obligation – Equity InvestmentsStructured
                                         FinanceACAS
                                         CLO 2012-1, Ltd.CLO
                                         subordinated notes, estimated yield 121.87% due September 20, 2023(9)(11)(12)(19)

$
6,000,000

$
2,993,455

$
3,240,000ALM
                                         X, Ltd.CLO
                                         preference shares, estimated yield 24.92% due January 15, 2025(9)(11)(12)(19)


3,801,000


2,503,234


2,599,034AMMC
                                         CLO XI, Ltd.CLO
                                         subordinated notes, estimated yield 45.48% due October 30, 2023(9)(11)(12)(19)


6,000,000


3,698,795


3,600,000AMMC
                                         CLO XII, Ltd.CLO
                                         subordinated notes, estimated yield 20.03% due May 10, 2025(9)(11)(12)(19)


12,921,429


7,298,625


5,943,857Ares
                                         XXV CLO Ltd.CLO
                                         subordinated notes, estimated yield 10.48% due January 17, 2024(9)(11)(12)(19)


15,500,000


9,799,870


8,370,000Ares
                                         XXVI CLO Ltd.CLO
                                         subordinated notes, estimated yield 13.02% due April 15, 2025(9)(11)(12)(19)


17,630,000


9,247,832


7,833,790Ares
                                         XXIX CLO Ltd.CLO
                                         subordinated notes, estimated yield 9.16% due April 17, 2026(9)(11)(12)(19)


12,750,000


8,897,649


7,355,511Atlas
                                         Senior Loan Fund III, Ltd.CLO
                                         subordinated notes, estimated yield 19.61% due August 18, 2025(9)(11)(12)(19)


8,000,000


4,295,766


4,540,000Benefit
                                         Street Partners CLO II, Ltd.CLO
                                         subordinated notes, estimated yield 12.25% due July 15, 2024(9)(11)(12)(19)


23,450,000


19,654,575


16,855,411Carlyle
                                         Global Market Strategies CLO 2013-2, Ltd.CLO
                                         subordinated notes, estimated yield 18.27% due April 18, 2025(9)(11)(12)(19)


9,250,000


6,122,479


5,599,429Catamaran
                                         CLO 2012-1 Ltd.CLO
                                         subordinated notes, estimated yield -6.86% due December 20, 2023(9)(11)(12)(19)


23,000,000


11,239,113


5,750,000Cedar
                                         Funding II CLO, Ltd.CLO
                                         subordinated notes, estimated yield 17.80% due March 09, 2025(9)(11)(12)(19)


18,750,000


13,853,409


13,125,000 (continued on next
page) See Accompanying Notes. 13 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
DECEMBER 31, 2016 COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsCollateralized
                                         Loan Obligation – Equity Investments –(continued)Structured
Finance – (continued)CIFC
                                         Funding 2012-1, Ltd.CLO
                                         subordinated notes, estimated yield 23.01% due August 14, 2024(9)(11)(12)(19)

$
12,750,000

$
7,066,122

$
6,757,500GoldenTree
                                         Loan Opportunities VII, Ltd.CLO
                                         subordinated notes, estimated yield 27.89% due
                                         April 25, 2025(9)(11)(12)(19)


4,670,000


2,749,405


3,269,000Halcyon
                                         Loan Advisors Funding 2014-2 Ltd.CLO
                                         subordinated notes, estimated yield 5.87% due
                                         April 28, 2025(9)(11)(12)(19)


8,000,000


5,020,677


3,700,000Hull
                                         Street CLO Ltd.CLO
                                         subordinated notes, estimated yield 12.76% due October 18, 2026(9)(11)(12)(19)


5,000,000


3,218,541


2,400,000Ivy
                                         Hill Middle Market Credit Fund VII, Ltd.CLO
                                         subordinated notes, estimated yield 11.54% due October 20, 2025(9)(11)(12)(19)


14,000,000


11,572,127


10,590,431Jamestown
                                         CLO V Ltd.CLO
                                         subordinated notes, estimated yield 7.42% due January 17, 2027(9)(11)(12)(19)


8,000,000


4,890,961


4,000,000KVK
                                         CLO 2012-2, Ltd.CLO
                                         subordinated notes, estimated yield 62.66% due February 10, 2025(9)(11)(12)(19)


5,000,000


1,949,974


2,250,000KVK
                                         CLO 2013-2, Ltd.CLO
                                         subordinated notes, estimated yield 37.69% due January 15, 2026(9)(11)(12)(19)


14,000,000


5,725,139


6,160,000Madison
                                         Park Funding XIX, Ltd.CLO
                                         subordinated notes, estimated yield 15.62% due January 22, 2029(9)(11)(12)(19)


5,422,500


5,417,070


5,856,300Marea
                                         CLO, Ltd.CLO
                                         subordinated notes, estimated yield 8.00% due October 15, 2023(9)(11)(12)(19)


16,217,000


10,050,816


6,109,956Mountain
                                         Hawk III CLO, Ltd.CLO
                                         income notes, estimated yield 7.50% due April 18, 2025(9)(11)(12)(19)


17,200,000


10,236,812


6,657,469CLO
                                         M notes due April 18, 2025(11)(12)(13)


2,389,676


—


288,747Regatta
                                         V Funding, Ltd.CLO
                                         subordinated notes, estimated yield 23.73% due October 25, 2026(9)(11)(12)(19)


3,000,000


1,745,162


1,830,000 (continued on next
page) See Accompanying Notes. 14 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
DECEMBER 31, 2016 COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT/SHARES

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsCollateralized
                                         Loan Obligation – Equity Investments –(continued)Structured
Finance – (continued)Shackleton
                                         2013-IV CLO, Ltd.CLO
                                         subordinated notes, estimated yield 10.06% due January 13, 2025(9)(11)(12)(19)

$
24,400,000

$
16,014,950

$
12,503,876Telos
                                         CLO 2013-3, Ltd.CLO
                                         subordinated notes, estimated yield 20.89% due January 17, 2024(9)(11)(12)(19)


10,416,666


7,191,952


5,572,916Telos
                                         CLO 2013-4, Ltd.CLO
                                         subordinated notes, estimated yield 31.09% due July 17, 2024(9)(11)(12)(19)


11,350,000


7,010,740


6,881,917Telos
                                         CLO 2014-5, Ltd.CLO
                                         subordinated notes, estimated yield 23.21% due April 17, 2025(9)(11)(12)(19)


10,500,000


7,454,218


6,286,825Windriver
                                         2012-1 CLO, Ltd.CLO
                                         subordinated notes, estimated yield 31.72% due January 15, 2026(9)(11)(12)(19)


7,500,000


4,929,958


5,257,464York
                                         CLO-1, Ltd.CLO
                                         subordinated notes, estimated yield 16.27% due January 22, 2027(9)(11)(12)(19)


22,850,000


16,741,765


18,051,500CLO
                                         equity side letter related investments(11)(12)(13)





—


1,588,172Total
                                         Structured Finance




$
228,591,191

$
200,824,105

52.0
%Total
                                         Collateralized Loan Obligation – Equity Investments




$
228,591,191

$
200,824,105

52.0
%Common
                                         StockIT
                                         ConsultingUnitek
                                         Global Servicescommon
                                         equity(7)(10)


815,266


535,000


864,182Total
                                         IT Consulting




$
535,000

$
864,182

0.2
%Telecommunications
                                         ServicesElectric
                                         Lightwave Holdings, Inc.(F/K/A “Integra Telecom Holdings, Inc.”)common
                                         stock(7)(14)


775,846


1,712,398


4,150,776Total
                                         Telecommunications Services




$
1,712,398

$
4,150,776

1.1
%Total
                                         Common Stock




$
2,247,398

$
5,014,958

1.3
%Preferred
                                         EquityIT
                                         ConsultingUnitek
                                         Global Services, Inc.Series
                                         A Preferred Equity(7)(10)


5,706,866


3,677,000


7,418,926Total
                                         IT Consulting




$
3,677,000

$
7,418,926

1.9
%Total
                                         Preferred Equity




$
3,677,000

$
7,418,926

1.9
% (continued on next
page) See Accompanying Notes. 15 TICC CAPITAL CORP.
CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
DECEMBER 31, 2016 COMPANY/INVESTMENT(1)

PRINCIPAL
                                         AMOUNT

COST

FAIR
                                         VALUE(2)

%
                                         of Net AssetsOther
                                         InvestmentsSoftwareAlgorithmic
                                         Implementations, Inc.(d/b/a “Ai Squared”)Earnout
                                         payments(7)(20)



$
500,000

$
273,290Total
                                         Software



$
500,000

$
273,290

0.1
%Total
                                         Other Investments



$
500,000

$
273,290

0.1
%Total
                                         Investments in Securities(8)



$
624,039,841

$
589,923,076

152.8
%Cash
                                         EquivalentsFirst
                                         American Government Obligations Fund(21)



$
8,261,698

$
8,261,698Total
                                         Cash Equivalents



$
8,261,698

$
8,261,698

2.2
%Total
                                         Investments in Securities and Cash Equivalents



$
632,301,539

$
598,184,774

155.0
% ____________ (1) Other than
Unitek Global Services, Inc., of which we are deemed to be an
“affiliate,” we do not “control” and are
not an “affiliate” of any of our portfolio companies,
each as defined in the Investment Company Act of 1940 (the
“1940 Act”). In general, under the 1940 Act, we would
be presumed to “control” a portfolio company if we
owned 25% or more of its voting securities and would be an
“affiliate” of a portfolio company if we owned 5% or
more of its voting securities. (2) Fair value
is determined in good faith by the Board of Directors of the
Company. (3)
Portfolio includes $6,637,496
of principal amount of debt investments which contain a PIK
provision at December 31, 2016. (4) Notes bear
interest at variable rates. (5) Cost value
reflects accretion of original issue discount or market
discount. (6) Cost value
reflects repayment of principal. (7) Non-income
producing at the relevant period end. (8) Aggregate
gross unrealized appreciation for federal income tax purposes is
$16,039,914; aggregate gross unrealized depreciation for federal
income tax purposes is $93,938,149. Net unrealized depreciation is
$77,903,235 based upon a tax cost basis of $667,826,311. (9) Cost value
reflects accretion of effective yield less any cash distributions
received or entitled to be received from CLO equity
investments. (10) All or a portion of this investment represents TICC CLO 2012-1
LLC collateral. (11) Indicates assets that the Company believes do not represent
“qualifying assets” under Section 55(a) of the 1940 Act
Qualifying assets must represent at least 70% of the
Company’s total assets at the time of acquisition of any
additional non-qualifying assets. As of December 31, 2016, the
Company held qualifying assets that represented 65.9% of its total
assets (12) Investment not domiciled in the United States. (13) Fair value represents discounted cash flows associated with
fees earned from CLO equity investments (14) Aggregate investments represent greater than 5% of net
assets. (15) The principal balance outstanding for this debt investment, in
whole or in part, is indexed to 90-day LIBOR. (16) The principal balance outstanding for this debt investment, in
whole or in part, is indexed to 1-year LIBOR. (17) The principal balance outstanding for this debt investment, in
whole or in part, is indexed to 30-day LIBOR. (18) The principal balance outstanding for this debt investment, in
whole or in part, is indexed to 180-day LIBOR. (19) The CLO subordinated notes and income notes are considered
equity positions in the CLO funds. Equity investments are entitled
to recurring distributions which are generally equal to the
remaining cash flow of the payments made by the underlying
fund’s securities less contractual payments to debt holders
and fund expenses. The estimated yield indicated is based upon a
current projection of the amount and timing of these recurring
distributions and the estimated amount of repayment of principal
upon expected redemption. Such projections are periodically
reviewed and adjusted, and the estimated yield may not ultimately
be realized. (20) Represents the earnout payments related to the sale of
Algorithmic Implementations, Inc. (d/b/a “Ai
Squared”). (21)
Represents cash equivalents held in a money market account as of December 31, 2016. See Accompanying Notes. 16 TICC CAPITAL
CORP. CONSOLIDATED STATEMENTS
OF OPERATIONS
(unaudited) Three
                                         Months
                                                                                 Ended 
September 30, 2017

Three
                                         Months 
Ended 
September 30, 2016

Nine
                                         Months 
Ended 
September 30, 2017

Nine
                                         Months
 Ended
 September 30, 2016INVESTMENT
                                         INCOMEFrom
                                         non-affiliated/non-control investments:Interest
                                         income – debt investments

$
5,306,698


$
8,570,131


$
19,096,102


$
25,405,967Income
                                         from securitization vehicles and investments


8,086,059



8,635,834



26,081,676



22,538,250Commitment,
                                         amendment fee income and other income


1,007,230



805,128



2,517,401



1,654,954Total
                                         investment income from non-affiliated/non-control investments


14,399,987



18,011,093



47,695,179



49,599,171From
                                         affiliated investments:Interest
                                         income – debt investments


97,710



84,699



280,151



244,411Total
                                         investment income from affiliated investments


97,710



84,699



280,151



244,411From
                                         control investments:Interest
                                         income – debt investments


—



—



—



567,219Total
                                         investment income from control investments


—



—



—



567,219Total
                                         investment income


14,497,697



18,095,792



47,975,330



50,410,801OPERATING
                                         EXPENSESCompensation
                                         expense


237,686



189,205



676,059



609,345Base
                                         management fee


2,004,391



2,630,334



6,456,566



8,747,819Professional
                                         fees


720,500



2,157,751



2,062,734



5,365,284Interest
                                         expense


3,701,533



4,407,246



11,135,451



13,200,127General
                                         and administrative


501,464



1,749,408



1,718,627



3,439,292Total
                                         operating expenses before incentive fee


7,165,574



11,133,944



22,049,437



31,361,867Net
                                         investment income incentive fee


564,370



422,828



2,827,991



1,666,594Total
                                         operating expenses


7,729,944



11,556,772



24,877,428



33,028,461Net
                                         investment income


6,767,753



6,539,020



23,097,902



17,382,340Net
                                         change in unrealized appreciation/(depreciation) on investmentsNon-Affiliate/non-control
                                         investments


1,884,023



39,813,458



12,643,254



60,144,518Affiliated
                                         investments


666,278



2,520,646



588,167



4,623,812Control
                                         investments


—



—



—



5,750,000Total
                                         net change in unrealized appreciation/(depreciation) on investments


2,550,301



42,334,104



13,231,421



70,518,330Net
                                         realized lossesNon-Affiliated/non-control
                                         investments


(1,066,399
)


(5,312,519
)


(5,992,111
)


(10,190,122
)Control
                                         investments


—



—



—



(3,000,000
)Extinguishment
                                         of debt


(2,235,636
)


(647,842
)


(3,149,338
)


(647,842
)Total
                                         net realized losses


(3,302,035
)


(5,960,361
)


(9,141,449
)


(13,837,964
)Net
                                         increase in net assets resulting from operations

$
6,016,019


$
42,912,763


$
27,187,874


$
74,062,706Net
                                         increase in net assets resulting from net investment income per common share:Basic

$
0.13


$
0.13


$
0.45


$
0.33Diluted

$
0.13


$
0.13


$
0.45


$
0.33Net
                                         increase in net assets resulting from operations per common share:Basic

$
0.12


$
0.83


$
0.53


$
1.42Diluted

$
0.12


$
0.72


$
0.53


$
1.28Weighted
                                         average shares of common stock outstanding:Basic


51,479,409



51,479,409



51,479,409



51,985,537Diluted


59,727,707



61,512,561



59,727,707



62,018,689Distributions
                                         per share

$
0.20


$
0.29


$
0.60


$
0.87 See Accompanying Notes. 17 TICC CAPITAL
CORP. CONSOLIDATED STATEMENTS
OF CHANGES IN NET ASSETS
(unaudited) Nine Months
 Ended 
September 30, 2017

Year Ended 
December 31, 2016Increase in net assets from
operations:Net investment income

$
23,097,902


$
26,778,293Net realized losses


(9,141,449
)


(17,022,170)Net change in unrealized
appreciation/(depreciation) on investments


13,231,421



100,605,640Net increase in net assets resulting from
operations


27,187,874



110,361,763Distributions to shareholdersDistributions from net investment
income


(30,887,645
)


(54,740,084)Tax return of capital distributions


—



(4,976,030)Total distributions to shareholders


(30,887,645
)


(59,716,114)Capital share transactions:Repurchase of common stock


—



(25,587,862)Net decrease in net assets from capital share
transactions


—



(25,587,862)Total increase in net assets


(3,699,771
)


25,057,787Net assets at beginning of period


385,992,498



360,934,711Net assets at end of period (including over
distributed net investment income of $48,653,633 and $40,863,890,
respectively)

$
382,292,727


$
385,992,498Capital share activity:Shares repurchased


—



(4,917,026)Net decrease in capital share
activity


—



(4,917,026) See Accompanying Notes. 18 TICC CAPITAL
CORP. CONSOLIDATED STATEMENTS
OF CASH FLOWS
(unaudited) Nine Months 
Ended 
September 30, 2017

Nine Months
 Ended
 September 30, 2016CASH FLOWS FROM OPERATING ACTIVITIESNet increase in net assets resulting from
operations

$
27,187,874


$
74,062,706Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by
operating activities:Accretion of discounts on investments


(827,744
)


(801,620
)Accretion of discount on notes payable and
deferred debt issuance costs


811,412



1,048,149Increase in investments due to PIK


(169,989
)


(160,574
)Payment of original discount on TICC CLO 2012-1
LLC


(3,575,888
)


(446,479
)Purchases of investments


(163,032,724
)


(126,274,776
)Repayments of principal and reductions to debt
cost


158,996,792



101,641,129Proceeds from the sale of investments


151,193,037



98,789,204Net realized losses


9,141,449



13,837,964Reductions to CLO equity cost


31,344,870



30,289,507Net change in unrealized
appreciation/(depreciation) on investments


(13,231,421
)


(70,518,330
)Decrease in interest and distributions
receivable


5,120,576



2,120,070Increase in other assets


(386,014
)


(780,551
)Increase in accrued interest payable


1,234,949



2,187,090Decrease in base management fee and net
investment income incentive fee payable


(1,101,887
)


(1,142,739
)Decrease in accrued expenses


(329,849
)


(356,147
)Net cash provided by operating
activities


202,375,443



123,494,603CASH FLOWS FROM INVESTING ACTIVITIESChange in restricted cash


3,451,636



(6,030,598
)Net cash used in investing activities


3,451,636



(6,030,598
)CASH FLOWS FROM FINANCING ACTIVITIESDistributions paid (net of stock issued under
distribution reinvestment plan of $0, and $0,
respectively)


(30,887,645
)


(44,787,083
)Repayment of original proceeds of notes payable
– TICC CLO 2012-1 LLC


(125,705,930
)


(35,553,521
)Proceeds from issuance of 6.50% unsecured
notes


64,370,225



—Deferred debt issuance costs


(2,263,933
)


—Repurchase of common stock


—



(25,587,862
)Net cash used in financing activities


(94,487,283
)


(105,928,466
)Net increase in cash and cash
equivalents


111,339,796



11,535,539Cash and cash equivalents, beginning of
period


8,261,698



23,181,677Cash and cash equivalents, end of
period

$
119,601,494


$
34,717,216SUPPLEMENTAL DISCLOSURESCash paid for interest

$
9,089,091


$
9,964,889NON-CASH ACTIVITIESSecurities sold not settled

$
2,950,000


$
34,224,734Securities purchased not settled

$
5,015,000


$
6,720,000Non-cash investment restructuring

$
—


$
11,613,301 See Accompanying Notes. 19 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 1. UNAUDITED
INTERIM FINANCIAL STATEMENTS Interim consolidated financial statements of TICC Capital Corp.
(“TICC” and, together with its subsidiaries, the
“Company”) are prepared in accordance with generally
accepted accounting principles in the United States of America
(“GAAP”) for interim financial information and pursuant
to the requirements for reporting on Form 10-Q and Article 10 of
Regulation S-X. Accordingly, certain disclosures accompanying
annual financial statements prepared in accordance with GAAP are
omitted. In the opinion of management, all adjustments, consisting
of normal recurring accruals, necessary for the fair statement of
consolidated financial results for the interim periods have been
included. The current period’s consolidated results of
operations are not necessarily indicative of results that may be
achieved for the year. The interim consolidated financial
statements and notes thereto should be read in conjunction with the
consolidated financial statements and notes thereto included in the
Company’s Form 10-K for the year ended December 31, 2016, as
filed with the Securities and Exchange Commission
(“SEC”). NOTE 2.
ORGANIZATION TICC was incorporated under the General Corporation Laws of the
State of Maryland on July 21, 2003 and is a non-diversified,
closed-end investment company. TICC has elected to be regulated as
a business development company (“BDC”) under the
Investment Company Act of 1940, as amended (the “1940
Act”). In addition, TICC has elected to be treated for tax
purposes as a regulated investment company (“RIC”),
under Subchapter M of the Internal Revenue Code of 1986, as amended
(the “Code”). The Company’s investment objective
is to maximize its total return, by investing primarily in
corporate debt securities. TICC’s investment activities are managed by TICC Management,
LLC (“TICC Management”). TICC Management is an
investment adviser registered under the Investment Advisers Act of
1940, as amended. TICC Management is owned by BDC Partners, LLC
(“BDC Partners”), its managing member and a related
party, and Charles M. Royce, a member of our Board of Directors who
holds a minority, non-controlling interest in TICC Management.
Under the investment advisory agreement with TICC Management (the
“Investment Advisory Agreement”), TICC has agreed to
pay TICC Management an annual base management fee based on its
gross assets as well as an incentive fee based on its performance.
For further details please refer to “Note 8. Related Party
Transactions.” The Company’s consolidated operations include the activities
of its wholly-owned subsidiary, TICC CLO 2012-1 LLC (“2012
Securitization Issuer” or “TICC CLO 2012-1”).
TICC CLO 2012-1 was formed for the purpose of enabling the Company
to obtain debt financing and is operated solely for the investment
activities of the Company. TICC CLO 2012-1 effectively ceased
operations on August 25, 2017, as the notes payable by TICC CLO
2012-1 were repaid in full. Refer to “Note 6.
Borrowings” for additional information on the
Company’s borrowings and TICC CLO 2012-1. NOTE 3. SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES BASIS OF
PRESENTATION The accompanying consolidated financial statements include the
accounts of the Company and its wholly-owned subsidiary, TICC CLO
2012-1. All inter-company accounts and transactions have been
eliminated in consolidation. The Company follows the accounting and reporting guidance in
Financial Accounting Standards Board (“FASB”)
Accounting Standards Codification (“ASC”) Topic 946,
Financial Services
— Investment Companies. Certain prior period figures
have been reclassified from those originally published in quarterly
and annual reports to conform to the current period presentation
for comparative purposes. 20 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 3. SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES (continued) USE OF
ESTIMATES The consolidated financial statements have been prepared in
accordance with GAAP, which requires management to make estimates
and assumptions that affect the amounts reported in the
consolidated financial statements and accompanying notes. Actual
results may differ from those estimates. In the normal course of business, the Company may enter into
contracts that contain a variety of representations and provide
indemnifications. The Company’s maximum exposure under these
arrangements is unknown as this would involve future claims that
may be made against the Company that have not yet occurred.
However, based upon experience, the Company expects the risk of
loss to be remote. CONSOLIDATION As provided under Regulation S-X and ASC Topic 946-810,
Consolidation,
the Company will generally not consolidate its investment in a
company other than a wholly-owned investment company or a
controlled operating company whose business consists of providing
services to the Company. TICC CLO 2012-1 would be considered an
investment company but for the exceptions under Sections 3(c)(1)
and 3(c)(7) under the 1940 Act, and was established solely for the
purpose of allowing the Company to borrow funds for the purpose of
making investments. The Company owns all of the equity in this
entity and controls the decision making power that drives its
economic performance. Accordingly, the Company consolidates its
wholly-owned subsidiary in its financial statements, and follows
the accounting and reporting guidance in ASC 946-810. CASH, CASH EQUIVALENTS
AND RESTRICTED CASH Cash and cash equivalents consist of demand deposits and cash held
in a money market fund which contain investments with original
maturities of three months or less. The Company places its cash and
cash equivalents with financial institutions and, at times, cash
held in bank accounts may exceed the Federal Deposit Insurance
Corporation insured limit. Cash equivalents are classified as Level
1 assets and are included on the Company’s Consolidated
Schedule of Investments. Cash equivalents are carried at cost or
amortized cost which approximates fair value. As of December 31, 2016, restricted cash represents the cash held
by the trustee of the 2012 Securitization Issuer. The amounts are
held by the trustee for payment of interest expense and operating
expenses of the entity, principal repayments on borrowings, or new
investments, based upon the terms of the respective indenture, and
are not available for general corporate purposes. There was no
restricted cash as of September 30, 2017 as TICC CLO 2012-1
effectively ceased operations on August 25, 2017. INVESTMENT
VALUATION The Company fair values its investment portfolio in accordance with
the provisions of ASC 820, Fair Value
Measurement and Disclosure. Estimates made in the
preparation of TICC’s consolidated financial statements
include the valuation of investments and the related amounts of
unrealized appreciation and depreciation of investments recorded.
TICC believes that there is no single definitive method for
determining fair value in good faith. As a result, determining fair
value requires that judgment be applied to the specific facts and
circumstances of each portfolio investment while employing a
consistently applied valuation process for the types of investments
TICC makes. ASC 820-10 clarified the definition of fair value and requires
companies to expand their disclosure about the use of fair value to
measure assets and liabilities in interim and annual periods
subsequent to initial recognition. ASC 820-10 defines fair value as
the price that would be received to sell an asset or paid to
transfer a liability in an orderly transaction between market
participants at the measurement date. ASC 820-10 also establishes a
three-tier fair value hierarchy, which prioritizes the inputs used
in measuring fair value. These tiers include: Level 1, defined as
observable inputs such as quoted 21 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 3. SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES (continued) prices in active markets; Level 2, which includes inputs such as
quoted prices for similar securities in active markets and quoted
prices for identical securities in markets that are not active; and
Level 3, defined as unobservable inputs for which little or no
market data exists, therefore requiring an entity to develop its
own assumptions. TICC considers the attributes of current market
conditions on an on-going basis and has determined that due to the
general illiquidity of the market for its investment portfolio,
whereby little or no market data exists, all of TICC’s
investments are based upon “Level 3” inputs as of
September 30, 2017. TICC’s Board of Directors determines the value of its
investment portfolio each quarter. In connection with that
determination, members of TICC Management’s portfolio
management team prepare a quarterly analysis of each portfolio
investment using the most recent portfolio company financial
statements, forecasts and other relevant financial and operational
information. Since March 2004, TICC has engaged third-party
valuation firms to provide assistance in valuing certain of its
syndicated loans and bilateral investments, including related
equity investments, although TICC’s Board of Directors
ultimately determines the appropriate valuation of each such
investment. Changes in fair value, as described above, are recorded
in the Consolidated Statement of Operations as Net change in
unrealized appreciation/(depreciation). Syndicated Loans In accordance with ASC 820-10, TICC’s valuation procedures
specifically provide for the review of indicative quotes supplied
by the large agent banks that make a market for each security.
However, the marketplace from which TICC obtains indicative bid
quotes for purposes of determining the fair value of its syndicated
loan investments has shown attributes of illiquidity as described
by ASC 820-10. During such periods of illiquidity, when TICC
believes that the non-binding indicative bids received from agent
banks for certain syndicated investments that we own may not be
determinative of their fair value or when no market indicative
quote is available, TICC may engage third-party valuation firms to
provide assistance in valuing certain syndicated investments that
TICC owns. In addition, TICC Management prepares an analysis of
each syndicated loan, including a financial summary, covenant
compliance review, recent trading activity in the security, if
known, and other business developments related to the portfolio
company. All available information, including non-binding
indicative bids which may not be determinative of fair value, is
presented to the Valuation Committee to consider in its
determination of fair value. In some instances, there may be
limited trading activity in a security even though the market for
the security is considered not active. In such cases the Valuation
Committee will consider the number of trades, the size and timing
of each trade, and other circumstances around such trades, to the
extent such information is available, in its determination of fair
value. The Valuation Committee will evaluate the impact of such
additional information, and factor it into its consideration of the
fair value that is indicated by the analysis provided by
third-party valuation firms, if any. Collateralized Loan Obligations — Debt and Equity TICC has acquired a number of debt and equity positions in
collateralized loan obligation (“CLO”) investment
vehicles and CLO warehouse investments. These investments are
special purpose financing vehicles. In valuing such investments,
TICC considers the indicative prices provided by a recognized
industry pricing service as a primary source, and the implied yield
of such prices, supplemented by actual trades executed in the
market at or around period-end, as well as the indicative prices
provided by the broker who arranges transactions in such investment
vehicles. TICC also considers those instances in which the record
date for an equity distribution payment falls on the last day of
the period, and the likelihood that a prospective purchaser would
require a downward adjustment to the indicative price representing
substantially all of the pending distribution. Additional factors
include any available information on other relevant transactions
including firm bids and offers in the market and information
resulting from bids-wanted-in-competition. In addition, TICC
considers the operating metrics of the specific investment vehicle,
including compliance with collateralization tests, defaulted and
restructured securities, and payment defaults, if any. TICC
Management or the Valuation Committee may request an additional
analysis by a third-party firm to assist in the valuation process
of CLO investment vehicles. All information is presented to
TICC’s Board of Directors for its determination of fair value
of these investments. 22 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 3. SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES (continued) Bilateral Investments (Including Equity) Bilateral investments for which market quotations are readily
available are valued by an independent pricing agent or market
maker. If such market quotations are not readily available, under
the valuation procedures approved by TICC’s Board of
Directors, upon the recommendation of the Valuation Committee, a
third-party valuation firm will prepare valuations for each of
TICC’s bilateral investments that, when combined with all
other investments in the same portfolio company, (i) have a value
as of the previous quarter of greater than or equal to 2.5% of its
total assets as of the previous quarter, and (ii) have a value as
of the current quarter of greater than or equal to 2.5% of its
total assets as of the previous quarter, after taking into account
any repayment of principal during the current quarter. In addition,
in those instances where a third-party valuation is prepared for a
portfolio investment which meets the parameters noted in (i) and
(ii) above, the frequency of those third-party valuations is based
upon the grade assigned to each such security under its credit
grading system as follows: Grade 1, at least annually; Grade 2, at
least semi-annually; Grades 3, 4, and 5, at least quarterly.
Bilateral investments which do not meet the parameters in (i) and
(ii) above are not required to have a third-party valuation and, in
those instances, a valuation analysis will be prepared by TICC
Management. TICC Management also retains the authority to seek, on
TICC’s behalf, additional third party valuations with respect
to TICC’s bilateral portfolio securities, TICC’s
syndicated loan investments, and CLO investment vehicles.
TICC’s Board of Directors retains ultimate authority as to
the third-party review cycle as well as the appropriate valuation
of each investment. INVESTMENT
INCOME Interest Income Interest income is recorded on an accrual basis using the
contractual rate applicable to each debt investment and includes
the accretion of market discounts and/or original issue discount
(“OID”) and amortization of market premiums. Discounts
from and premiums to par value on securities purchased are
accreted/amortized into interest income over the life of the
respective security using the effective yield method. The amortized
cost of investments represents the original cost adjusted for the
accretion of discounts and amortization of premiums, if any. Generally, when interest and/or principal payments on a loan become
past due, or if the Company otherwise does not expect the borrower
to be able to service its debt and other obligations, the Company
will place the loan on non-accrual status and will generally cease
recognizing interest income on that loan for financial reporting
purposes until all principal and interest have been brought current
through payment or due to restructuring such that the interest
income is deemed to be collectible. The Company generally restores
non-accrual loans to accrual status when past due principal and
interest is paid and, in the Company’s judgment, is likely to
remain current. As of September 30, 2017 and as of December 31,
2016, the Company had no investments that were on non-accrual
status. Interest income also includes a payment-in-kind (“PIK”)
provision on certain investments in TICC’s portfolio. Refer
to the section below, “Payment-In-Kind,” for a
description of the PIK provision and its impact on interest
income. Payment-In-Kind TICC has debt investments in its portfolio which contain a
contractual PIK provision. Certain PIK investments offer issuers
the option at each payment date of making payments in cash or
additional securities. PIK interest computed at the contractual
rate is accrued into income and added to the principal balance on
the capitalization date. Upon capitalization, PIK investments are
subject to the fair value estimates associated with their
respective related investments. A PIK investment on non-accrual
status is restored to accrual status once it becomes probable that
PIK will be realized. To maintain its status as a RIC, at least 90%
of this income must be paid out to stockholders in the form of
distributions, even though TICC has not collected any cash. Amounts
necessary to pay these distributions may come from available cash
or the liquidation of certain investments. 23 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 3. SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES (continued) Income from Securitization Vehicles and Investments Income from investments in the equity class securities of CLO
vehicles (typically income notes or subordinated notes) is recorded
using the effective interest method in accordance with the
provisions of ASC 325-40, based upon an effective yield to the
expected redemption utilizing estimated cash flows, including those
CLO equity investments that have not made their inaugural
distribution for the relevant period end. The Company monitors the
expected residual payments, and effective yield is determined and
updated periodically, as needed. Accordingly, investment income
recognized on CLO equity securities in the GAAP Consolidated
Statement of Operations differs from both the tax-basis investment
income and from the cash distributions actually received by the
Company during the period. Commitment, Amendment Fee Income and Other Income Commitment, amendment fee income and other income includes
prepayment, amendment, and other fees earned by the Company’s
loan investments, distributions from fee letters and success fees
associated with portfolio investments. Distributions from fee
letters are based upon a percentage of the collateral
manager’s fees, and are recorded as other income when earned.
The Company may also earn success fees associated with its
investments in certain securitization vehicles or “CLO
warehouse facilities,” which are contingent upon a repayment
of the warehouse by a permanent CLO securitization structure; such
fees are earned and recognized when the repayment is completed. DEFERRED DEBT ISSUANCE
COSTS Deferred debt issuance costs consist of fees and expenses incurred
in connection with the closing or amending of credit facilities and
debt offerings, and are capitalized at the time of payment. These
costs are amortized using the straight line method over the terms
of the respective credit facilities and debt securities. This
amortization expense is included in Interest expense in the
Company’s Consolidated Statement of Operations. Upon early
termination of debt, or a credit facility, the remaining balance of
unamortized fees related to such debt is accelerated into Realized
Losses on Extinguishment of Debt on the Company’s Consolidated
Statement of Operations. Deferred offering costs are presented on
the balance sheet as a direct deduction from the related debt
liability. EQUITY OFFERING
COSTS Equity offering costs consist of fees and expenses incurred in
connection with the registration and public offer and sale of the
Company’s common stock, including legal, accounting and
printing fees. These costs are deferred at the time of incurrence
and are subsequently charged as a reduction to capital when the
offering takes place or as shares are issued. Deferred costs are
periodically reviewed and expensed if the related registration is
no longer active. SHARE
REPURCHASES From time to time, the Company’s Board of Directors may
authorize a share repurchase program under which shares are
purchased in open market transactions. Since the Company is
incorporated in the State of Maryland, state law requires share
repurchases to be accounted for as a share retirement. The cost of
repurchased shares is charged against capital on the settlement
date. OTHER ASSETS Other assets consist of funds held in escrow from sales of
investments, prepaid expenses associated primarily with insurance
costs, other receivables and deferred equity offering costs. At
September 30, 2017, funds held in escrow totaled approximately
$739,000, related to the sale of the Company’s investment in
Ai Squared during the quarter ended June 30, 2016. The funds are
expected to be released from escrow to the company during the
fourth quarter of 2017, net of settlement 24 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 3. SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES (continued) of any indemnity claims and expenses related to the transaction.
Prepaid expenses, other receivables and deferred equity offering
costs totaled approximately $777,000 as of September 30, 2017. U.S. FEDERAL INCOME
TAXES The Company intends to operate so as to qualify to be taxed as a
RIC under Subchapter M of the Code and, as such, to not be subject
to U.S. federal income tax on the portion of its taxable income and
gains distributed to stockholders. To qualify for RIC tax
treatment, TICC is required to distribute at least 90% of its
investment company taxable income annually, meet diversification
requirements quarterly and file Form 1120-RIC, as defined by the
Code. Because U.S. federal income tax regulations differ from GAAP,
distributions in accordance with tax regulations may differ from
net investment income and realized gains recognized for financial
reporting purposes. Differences may be permanent or temporary.
Permanent differences are reclassified among capital accounts in
the financial statements to reflect their tax character. Temporary
differences arise when certain items of income, expense, gain or
loss are recognized at some time in the future. Differences in
classification may also result from the treatment of short-term
gains as ordinary income for tax purposes. The Company recognizes the tax benefits of uncertain tax positions
only when the position is more likely than not to be sustained,
assuming examination by tax authorities. Through September 30,
2017, management has analyzed the Company’s tax positions and
concluded that no liability for unrecognized tax benefits should be
recorded related to uncertain tax positions expected to be taken in
the Company’s 2017 tax returns. The Company identifies its
major tax jurisdictions as U.S Federal and Connecticut State;
however, the Company is not aware of any tax position for which it
is reasonably possible that the total amounts of unrecognized tax
benefits will change materially in the next 12 months. For tax purposes, the cost basis of the portfolio investments at
September 30, 2017 and December 31, 2016 was approximately
$484,936,152 and $667,826,311, respectively. SECURITIES
TRANSACTIONS Securities transactions are recorded on trade date. Realized gains
and losses on investments sold are recorded on the basis of
specific identification. Distributions received on CLO equity investments which were
optionally redeemed for which the cost basis has been reduced to zero
are recorded as realized gains. 25 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 4. FAIR
VALUE The Company’s assets measured at fair value on a recurring
basis as of September 30, 2017 were as follows: Fair Value Measurements as of Reporting Date
UsingAssets ($ in millions)

Quoted Prices in Active Markets for Identical
Assets
(Level 1)

Significant Other Observable Inputs
(Level 2)

Significant Unobservable Inputs
(Level 3)

TotalSenior Secured Notes

$
—

$
—

$
231.1

$
231.1Subordinated Debt


—


—


0.8


0.8CLO Debt


—


—


4.5


4.5CLO Equity


—


—


173.6


173.6Equity and Other Investments


—


—


11.8


11.8Total Investments at fair value


—


—


421.7


421.7Cash and cash equivalents


119.6


—


—


119.6Total assets at fair value(1)

$
119.6

$
—

$
421.7

$
541.3 ____________ (1) Totals may
not sum due to rounding. The Company’s assets measured at fair value on a recurring
basis as of December 31, 2016 were as follows: Fair Value Measurements as of Reporting Date
UsingAssets ($ in millions)

Quoted Prices in Active Markets for Identical
Assets
(Level 1)

Significant Other Observable Inputs
(Level 2)

Significant Unobservable Inputs
(Level 3)

TotalSenior Secured Notes

$
—

$
4.7

$
368.3

$
373.0Subordinated Debt


—


—


0.7


0.7CLO Debt


—


—


2.7


2.7CLO Equity


—


—


200.8


200.8Equity and Other Investments


—


—


12.7


12.7Total Investments at fair value


—


4.7


585.2


589.9Cash and cash equivalents


8.3


—


—


8.3Total assets at fair value

$
8.3

$
4.7

$
585.2

$
598.2 Significant
Unobservable Inputs for Level 3 Investments The following tables provide quantitative information about the
Company’s Level 3 fair value measurements as of September 30,
2017 and December 31, 2016, respectively. The Company’s
valuation policy, as described above, establishes parameters for
the sources and types of valuation analysis, as well as the
methodologies and inputs that the Company uses in determining fair
value. If the Valuation Committee or TICC Management determines
that additional techniques, sources or inputs are appropriate or
necessary in a given situation, such additional work will be
undertaken. The tables, therefore, 26 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 4. FAIR VALUE
(continued) are not all-inclusive, but provide information on the significant
Level 3 inputs that are pertinent to the Company’s fair value
measurements. The weighted average calculations in the table below
are based on principal balances for all debt related calculations
and CLO equity. Quantitative Information about Level 3
 Fair
Value MeasurementsAssets ($ in millions)

Fair Value
as of
 September 30,
2017

Valuation
Techniques/
 Methodologies

Unobservable
Input

    Range/Weighted
 Average(8)
    
Impact to
 Fair Value 
from an 
Increase in 
Input(10)Senior Secured Notes

$
181.8

Market quotes

NBIB(1)

    75.1% – 100.5%/98.1%
    
NA46.6

Recent transactions

Actual trade/payoff(6)

    85.0% – 100.0%/92.6%
    
NA2.7

Enterprise value(7)/

Market multiples(2)

    5.5x – 6.0x/ncm(4)
    
IncreaseDiscounted cash flow(5)

Discount rate(3)

    6.2% – 7.8%/ncm(4)
    
DecreaseSubordinated Debt


0.8

Enterprise value(7)/

Market multiples(2)

    5.5x – 6.0x/ncm(4)
    
IncreaseDiscounted cash flow(5)

Discount rate(3)

    6.3% – 10.0%/ncm(4)
    
DecreaseCLO Debt


4.5

Market quotes

NBIB(1)

    81.6% – 97.5% /85.4(4)
    
NACLO Equity


147.5

Market quotes

NBIB(1)

    1.1% – 103.0%/48.6%
    
NA17.3

Discounted cash flow(5)

Discount rate(3)(5)

    10.6% – 17.5%/12.7%
    
Decrease8.7

Recent transactions

Actual trade/payoff(6)

    38.5%
– 87.0%/48.6%
    
NAEquity Shares


11.8

Enterprise value(7)/

EBITDA(2)

    $35.5/ncm(4)
    
IncreaseDiscounted cash flow(5)

Market multiples(2)

    5.5x – 6.0x/ncm(4)
    
IncreaseOther investments


—

Other

Discount rate(3)

    10.9%/ncm(4)
    
DecreaseTotal Fair Value for Level 3
Investments(9)

$
421.7 ____________ (1) The Company
generally uses prices provided by an independent pricing service,
or broker or agent bank non-binding indicative bid prices
(“NBIB”) on or near the valuation date as the primary
basis for the fair value determinations for syndicated notes, and
CLO debt and equity investments, which may be adjusted for pending
equity distributions as of valuation date. These bid prices are
non-binding, and may not be determinative of fair value. Each bid
price is evaluated by the Valuation Committee in conjunction with
additional information compiled by TICC Management, including
financial performance, recent business developments, and, in the
case of CLO debt and equity investments, performance and covenant
compliance information as provided by the independent trustee. (2) EBITDA, or
earnings before interest expense, taxes, depreciation and
amortization, is an unobservable input which is generally based on
most recently available twelve month financial statements provided
by the portfolio company. Market multiples, also an unobservable
input, represent an estimation of where market participants might
value an enterprise based upon information available for comparable
companies in the market. (3) Discount
rate represents the rate at which future cash flows are discounted
to calculate a present value, reflecting market assumptions for
risk. (4) The
calculation of weighted average for a range of values, for multiple
investments within a given asset category, is not considered to
provide a meaningful representation (“ncm”). (5) The Company
will calculate the fair value of certain CLO equity investments
based upon the net present value of expected contractual payment
streams discounted using estimated market yields for the equity
tranche of the respective CLO vehicle. TICC will also consider
those investments in which the record date for an equity
distribution payment falls on the last day of the period, and the
likelihood that a prospective purchaser would require an adjustment
to the transaction price representing substantially all of the
pending distribution. (6) Prices
provided by independent pricing services are evaluated in
conjunction with actual trades and payoffs and, in certain cases,
the value represented by actual trades or payoffs may be more
representative of fair value as determined by the Valuation
Committee. 27 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 4. FAIR VALUE
(continued) (7) For the
corporate debt investments and equity investments, third-party
valuation firms evaluate the financial and operational information
of the portfolio companies that the Company provides to them, as
well as independent market and industry information that they
consider appropriate in forming an opinion as to the fair value of
the Company’s securities. In those instances where the
carrying value and/or internal credit rating of the investment does
not require the use of a third-party valuation firm, a valuation is
prepared by TICC Management, which may include liquidation analysis
or which may utilize a subsequent transaction to provide an
indication of fair value. (8) Weighted
averages are calculated based on fair value of investments. (9)Totals may not sum due to rounding. (10) The impact on the fair value measurement of an increase in each unobservable input is in isolation. 
The discount rate is the rate used to discount future cash flows in a discounted cash flow calculation. An increase in the discount
rate, in isolation, would result in a decrease in a fair value measurement. Market/EBITDA multiples refer to the input (often derived
from the value of a comparable company) that is multiplied by the historic and/or expected EBITDA of a company in order to estimate
the company’s value. An increase in the Market/EBITDA multiple, in isolation, net of adjustments, would result in an increase
in a fair value measurement. Quantitative Information about Level 3 
Fair
Value MeasurementsAssets ($ in millions)

Fair Value
as of
December 31,
2016

Valuation
Techniques/
 Methodologies

Unobservable
Input

    Range/Weighted
 Average(8)
    
Impact to 
Fair Value 
from an 
Increase 
in Input(9)Senior Secured Notes

$
309.5

Market quotes

NBIB(1)

    64.8% – 100.5%/94.5%
    
NA11.8

Yield Analysis

NBIB(1)

    97.3%/ncm(4)
    
NADiscount Margin

    6.4%/ncm(4)
    
Decrease32.7

Recent transactions

Actual trade/payoff(6)

    96.0% – 100.0%/99.3%
    
NA14.3

Market quotes/

NBIB(1)

    98.0% – 101.0%/98.5%
    
NAEnterprise value(7)

EBITDA multiples(2)

    4.5x – 6.25x/ncm(4)
    
IncreaseSubordinated Debt


0.7

Market quotes/

NBIB(1)

    101.0%/ncm(4)
    
NAEnterprise value(7)

EBITDA multiples(2)

    4.5x – 5.0x/ncm(4)
    
IncreaseCLO Debt


2.7

Market quotes

NBIB(1)

    90.0%/ncm(4)
    
NACLO Equity


155.8

Market quotes

NBIB(1)

    25.0% – 108.0%/55.7%
    
NA1.9

Discounted cash flow(5)

Discount rate(3)(5)

    13.1% – 16.0%/13.9%
    
Decrease43.1

Recent transactions

Actual trade/payoff(6)

    38.7% – 71.9%/56.2%
    
NAEquity Shares


12.4

Enterprise value(7)/

EBITDA(2)

    $35. 2 – 170.7/ncm(4)
    
IncreaseDiscounted cash flow(5)

Market multiples(2)

    4.5x – 9.5x/ncm(4)
    
IncreaseDiscount rates(3)

    20.0%/ncm(4)
    
DecreaseOther investments


0.3

Other

Discount rates(3)

    10.9%/ncm(4)
    
DecreaseTotal Fair Value for Level 3
Investments

$
585.2 ____________ (1) The Company
generally uses prices provided by an independent pricing service,
or broker or agent bank non-binding indicative bid prices
(“NBIB”) on or near the valuation date as the primary
basis for the fair value determinations for syndicated notes, and
CLO debt and equity investments, which may be adjusted for pending
equity distributions as of valuation date. These bid prices are
non-binding, and may not be determinative of fair value. Each bid
price is evaluated by the Valuation Committee in conjunction with
additional information compiled by TICC Management, including
financial performance, recent business developments, and, in the
case of CLO debt and equity investments, performance and covenant
compliance information as provided by the independent trustee. 28 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 4. FAIR VALUE
(continued) (2) EBITDA is an
unobservable input which is generally based on most recently
available twelve month financial statements provided by the
portfolio company. Market multiples, also an unobservable input,
represent an estimation of where market participants might value an
enterprise based upon information available for comparable
companies in the market. (3) Discount
rate represents the rate at which future cash flows are discounted
to calculate a present value, reflecting market assumptions for
risk. (4) The
calculation of weighted average for a range of values, for multiple
investments within a given asset category, is not considered to
provide a meaningful representation (“ncm”). (5) The Company
will calculate the fair value of certain CLO equity investments
based upon the net present value of expected contractual payment
streams discounted using estimated market yields for the equity
tranche of the respective CLO vehicle. TICC will also consider
those investments in which the record date for an equity
distribution payment falls on the last day of the period, and the
likelihood that a prospective purchaser would require an adjustment
to the transaction price representing substantially all of the
pending distribution. (6) Prices
provided by independent pricing services are evaluated in
conjunction with actual trades and payoffs and, in certain cases,
the value represented by actual trades or payoffs may be more
representative of fair value as determined by the Valuation
Committee. (7) For the
corporate debt investments and equity investments, third-party
valuation firms evaluate the financial and operational information
of the portfolio companies that the Company provides to them, as
well as independent market and industry information that they
consider appropriate in forming an opinion as to the fair value of
the Company’s securities. In those instances where the
carrying value and/or internal credit rating of the investment does
not require the use of a third-party valuation firm, a valuation is
prepared by TICC Management, which may include liquidation analysis
or which may utilize a subsequent transaction to provide an
indication of fair value. (8) Weighted
averages are calculated based on fair value of investments. (9)   The impact on the fair value measurement of an increase in each unobservable input is in isolation. 
The discount rate is the rate used to discount future cash flows in a discounted cash flow calculation. An increase in the discount
rate, in isolation, would result in a decrease in a fair value measurement. Market/EBITDA multiples refer to the input (often derived
from the value of a comparable company) that is multiplied by the historic and/or expected EBITDA of a company in order to estimate
the company’s value. An increase in the Market/EBITDA multiple, in isolation, net of adjustments, would result in an increase
in a fair value measurement. Financial Instruments
Disclosed, But Not Carried, At Fair Value The following table presents the carrying value and fair value of
the Company’s financial liabilities disclosed, but not
carried, at fair value as of September 30, 2017 and the level of
each financial liability within the fair value hierarchy: ($ in thousands)

Carrying
Value

Fair
Value(2)(3)

Level 1

Level 2

Level 32017 Convertible Notes(1)


94,497


94,956


—


—


94,9566.50% Unsecured Notes(1)


62,258


66,791


—


66,791


—Total(4)

$
156,756

$
161,747

$
—

$
66,791

$
94,956 ____________ (1) Carrying
value is net of deferred debt issuance costs. Deferred debt
issuance costs associated with the 2017 Convertible Notes (the
“Convertible Notes”) totaled $45 at September 30, 2017.
Deferred debt issuance costs associated with the 6.50% Unsecured
Notes totaled approximately $2,112 at September 30, 2017. (2) For the
Convertible Notes, fair value is based upon the mid-point between
the bid and ask prices. (3) For the
6.50% Unsecured Notes due 2024 (the “6.50% Unsecured
Notes”), the fair value is based upon the closing price on
the last day of the quarter. The 6.50% Unsecured Notes are listed
on the NASDAQ Global Select Market (trading symbol TICCL). (4) Totals may
not sum due to rounding. 29 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 4. FAIR VALUE
(continued) The following table presents the carrying value and fair value of
the Company’s financial liabilities disclosed, but not
carried, at fair value as of December 31, 2016 and the level of
each financial liability within the fair value hierarchy: ($ in thousands)

Carrying
Value

Fair
Value(3)

Level 1

Level 2

Level 3TICC CLO 2012-1 LLC Class A-1 Notes, net of
discount(1)

$
64,788


$
65,282

$
—

$
—

$
65,282TICC CLO 2012-1 LLC Class B-1 Notes, net of
discount(1)


19,633



20,025


—


—


20,025TICC CLO 2012-1 LLC Class C-1 Notes, net of
discount(1)


22,375



23,058


—


—


23,058TICC CLO 2012-1 LLC Class D-1 Notes, net of
discount(1)


20,290



21,210


—


—


21,210TICC CLO 2012-1 LLC deferred debt issuance
costs(2)


(1,232
)


—


—


—


—Sub-total TICC CLO 2012-1, LLC Notes(1)(2)


125,854



129,575


—


—


129,5752017 Convertible Notes(2)(4)


94,117



96,906


—


—


96,906Total

$
219,971


$
226,481

$
—

$
—

$
226,481 ____________ (1) Carrying
value is net of discount. (2) Carrying
value is net of deferred debt issuance costs. Deferred debt
issuance costs associated with the outstanding TICC CLO 2012-1
notes are aggregated at the CLO level, and not by class. Deferred
debt issuance costs associated with the Convertible Notes totaled
$425 at December 31, 2016. (3) For the TICC
CLO 2012-1 notes, fair value is based upon the bid price provided
by the placement agent at the measurement date; for the Convertible
Notes, fair value is based upon the mid-point between the bid and
ask prices. (4) Includes
rounding adjustments to reconcile period balances. 30 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 4. FAIR VALUE
(continued) A reconciliation of the fair value of investments for the three
months ended September 30, 2017, utilizing significant unobservable
inputs, is as follows: ($ in millions)

Senior Secured Notes

Subordinated Debt

CLO
Debt

CLO
Equity

Equity/ Other Investments

Total(3)Balance as of June 30, 2017

$
258.8


$
0.7

$
4.2


$
179.6


$
11.4

$
454.8Realized gains/(losses) on investments included in
earnings


0.7



—


0.2



(2.0
)


—


(1.1
)Unrealized (depreciation)/appreciation included
in earnings


1.7



0.1


(0.2
)


0.6



0.4


2.6Accretion of discount


0.2



—


—



—



—


0.2Purchases(1)


16.9



—


3.3



11.0



—


31.2Repayments and Sales(1)


(47.3
)


—


(3.0
)


(12.6
)


—


(62.9
)Reductions to CLO Equity cost value(2)


—



—


—



(3.2
)


—


(3.2)Payment in Kind income(1)


0.1



—


—



—



—


0.1Transfers in and/or (out) of level 3


—



—


—



—



—


—Balance as of September 30, 2017(3)

$
231.1


$
0.7

$
4.5


$
173.6


$
11.8

$
421.7The amount of total gains or losses for the
period included in earnings attributable to the change in
unrealized gains or losses relating to TICC’s Level 3 assets
still held at the reporting date and reported within the net change
in unrealized gains or losses on investments in the Company’s
Statement of Operations(1)

$
2.8


$
—

$
(0.2
)

$
(2.1
)

$
0.4

$
0.9 ____________ (1) Includes
rounding adjustments to reconcile period balances. (2) Reduction to
cost value on TICC’s CLO equity investments represents the
difference between distributions received, or entitled to be
received, for the quarter ended September 30, 2017, of
approximately $11.3 million and the effective yield interest income
of approximately $8.1 million. (3) Totals may
not sum due to rounding. 31 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 4. FAIR VALUE
(continued) A reconciliation of the fair value of investments for the nine
months ended September 30, 2017, utilizing significant unobservable
inputs, is as follows: ($ in millions)

Senior Secured Notes

Subordinated Debt

CLO
Debt

CLO
Equity

Equity/ Other Investments

TotalBalance as of December 31, 2016

$
368.3


$
0.7

$
2.7


$
200.8


$
12.7


$
585.2Realized gains/(losses) on investments included in
earnings


2.1



—


0.2



(10.8
)


2.5



(6.0
)Unrealized (depreciation)/appreciation included
in earnings


9.3



0.1


0.1



5.9



(2.2
)


13.2Accretion of discount


0.8



—


—



—



—



0.8Purchases(1)


53.6



—


4.5



107.0



3.0



168.1Repayments and Sales(1)


(203.2
)


—


(3.0
)


(98.0
)


(4.2
)


(308.4
)Reductions to CLO Equity cost value(2)


—



—


—



(31.4
)


—



(31.4)Payment in Kind income(1)


0.2



—


—



—



—



0.2Transfers in and/or (out) of level 3


—



—


—



—



—



—Balance as of September 30, 2017(3)

$
231.1


$
0.8

$
4.5


$
173.6


$
11.8


$
421.7The amount of total gains or losses for the
period included in earnings attributable to the change in
unrealized gains or losses relating to TICC’s Level 3 assets
still held at the reporting date and reported within the net change
in unrealized gains or losses on investments in the Company’s
Statement of Operations(1)

$
2.6


$
—

$
0.1


$
(4.7
)

$
0.3


$
(1.7
) ____________ (1) Includes
rounding adjustments to reconcile period balances. (2) Reduction to
cost value on TICC’s CLO equity investments represents the
difference between distributions received, or entitled to be
received, for the nine months ended September 30, 2017, of
approximately $57.5 million and the effective yield interest income
of approximately $26.1 million. (3) Totals may
not sum due to rounding. 32 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 4. FAIR VALUE
(continued) A reconciliation of the fair value of investments for the year
ended December 31, 2016, utilizing significant unobservable inputs,
is as follows: ($ in millions)

Senior Secured Notes

Subordinated Debt

CLO
Debt

CLO
Equity

Equity/ Other Investments

TotalBalance as of December 31, 2015

$
444.5


$
0.6

$
2.1


$
179.0


$
8.8


$
635.0Realized (losses)/gains included in
earnings


(3.7
)


—


1.7



(9.2
)


(3.0
)


(14.2
)Unrealized appreciation included in
earnings(1)


19.0



—


0.5



73.6



6.4



99.5Accretion of discount


0.8



—


0.3



—



—



1.1Purchases


95.7



—


6.7



68.6



0.5



171.5Repayments and Sales(1)


(188.2
)


—


(8.6
)


(77.0
)


—



(273.8
)Reductions to CLO Equity Cost Value(2)


—



—


—



(34.2
)


—



(34.2
)Payment in Kind income


0.2



0.1


—



—



—



0.3Transfers in and/or (out) of level 3


—



—


—



—



—



—Balance as of December 31, 2016

$
368.3


$
0.7

$
2.7


$
200.8


$
12.7


$
585.2The amount of total gains or losses for the
period included in earnings attributable to the change in
unrealized gains or losses relating to our Level 3 assets still
held at the reporting date and reported within the net change in
unrealized gains or losses on investments in our Statement of
Operations(1)

$
9.9


$
—

$
0.5


$
50.7


$
3.5


$
64.6 ____________ (1) Includes
rounding adjustments to reconcile period balances. (2) Reduction to
cost value on the Company’s CLO equity investments represents
the difference between distributions received, or entitled to be
received, of approximately $66.7 million and the effective yield
interest income of approximately $32.5 million. The following table shows the fair value of our portfolio of
investments by asset class as of September 30, 2017 and December
31, 2016: September 30, 2017

December 31, 2016($ in millions)

Investments at Fair Value

Percentage of Total Portfolio

Investments at Fair Value

Percentage of Total PortfolioSenior Secured Notes

$
231.1

54.7
%

$
373.0

63.2
%Subordinated Debt


0.8

0.2
%


0.7

0.1
%CLO Debt


4.5

1.1
%


2.7

0.5
%CLO Equity


173.6

41.2
%


200.8

34.0
%Equity and Other Investments


11.8

2.8
%


12.7

2.2
%Total(1)

$
421.7

100.0
%

$
589.9

100.0
% ____________ (1) Totals may
not sum due to rounding. 33 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 5. CASH, CASH
EQUIVALENTS AND RESTRICTED CASH At September 30, 2017 and December 31, 2016, respectively, cash,
cash equivalents and restricted cash were as follows: September 30, 2017

December 31, 2016Cash

$
—

$
—Cash Equivalents


119,601,494


8,261,698Total Cash and Cash Equivalents

$
119,601,494

$
8,261,698Restricted Cash

$
—

$
3,451,636 For further details regarding the composition of cash, cash
equivalents and restricted cash refer to “Note 3. Summary of
Significant Accounting Policies.” NOTE 6.
BORROWINGS In accordance with the 1940 Act, with certain limited exceptions,
the Company is only allowed to borrow amounts such that its asset
coverage, as defined in the 1940 Act, is at least 200% immediately
after such borrowing. As of September 30, 2017, the Company’s
asset coverage for borrowed amounts was 504.2%. The following are the Company’s outstanding principal
amounts, carrying values and fair values of the Company’s
borrowings as of September 30, 2017 and December 31, 2016. Fair
values of the Company’s notes payable are based upon the bid
price provided by the placement agent at the measurement date: September 30, 2017

December 31, 2016($ in thousands)

Principal Amount

Carrying Value

Fair
Value

Principal Amount

Carrying Value

Fair
ValueTICC CLO 2012-1 LLC Class A-1 Notes

$
—

$
—


$
—

$
65,282

$
64,788
(1)

$
65,282TICC CLO 2012-1 LLC Class B-1 Notes


—


—



—


20,000


19,633
(1)


20,025TICC CLO 2012-1 LLC Class C-1 Notes


—


—



—


23,000


22,375
(1)


23,058TICC CLO 2012-1 LLC Class D-1 Notes


—


—



—


21,000


20,290
(1)


21,210TICC CLO 2012-1 LLC deferred issuance
costs


—


—



—


—


(1,232
)


—Sub-total TICC CLO 2012-1, LLC Notes


—


—



—


129,282


125,854



129,5752017 Convertible Notes


94,542


94,497
(2)


94,956


94,542


94,117
(2)


96,9066.50% Unsecured Notes


64,370


62,258
(2)


66,791


—


—



—Total(3)

$
158,912

$
156,756


$
161,747

$
223,824

$
219,971


$
226,481 ____________ (1) Represents
the aggregate principal amount outstanding less the unaccreted
discount. As of December 31, 2016, the total unaccreted discount
for the 2023 Class A Notes, the 2023 Class B Notes, the 2023 Class
C Notes and the 2023 Class D Notes was approximately $494, $367,
$625 and $710, respectively. (2) Represents
the aggregate principal amount outstanding less the unamortized
deferred issuance costs. As of September 30, 2017, the total
unamortized deferred issuance costs for the Convertible Notes and
6.50% Unsecured Notes was approximately $45 and $2,112,
respectively. As of December 31, 2016, the total unamortized
deferred issuance costs for the Convertible Notes was approximately
$425. (3) Totals may
not sum due to rounding. The weighted average stated interest rate and weighted average
maturity on all of the Company’s debt outstanding as of
September 30, 2017 were 7.09% and 2.7 years, respectively, and as
of December 31, 2016 were 5.56% and 4.2 years, respectively. 34 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 6. BORROWINGS
(continued) The table below summarizes
the components of interest expense for the three months ended
September 30, 2017 and 2016: Three Months Ended
September 30, 2017

Three Months Ended
September 30, 2016($ in thousands)

Stated Interest Expense

Note Discount

Amortization of Deferred Debt Issuance
Costs

Total

Stated Interest Expense

Note Discount

Amortization of Deferred Debt Issuance
Costs

TotalTICC CLO 2012-1 LLC
Class A-1 Notes

$
42.1

$
1.6

$
—

$
43.7

$
1,019.2

$
46.0

$
—

$
1,065.2TICC CLO 2012-1 LLC
Class B-1 Notes


143.3


8.4


—


151.7


216.1


13.7


—


229.8TICC CLO 2012-1 LLC
Class C-1 Notes


208.7


14.1


—


222.8


322.0


22.9


—


344.9TICC CLO 2012-1 LLC
Class D-1 Notes


222.6


15.9


—


238.5


347.6


25.8


—


373.4TICC CLO 2012-1
amortization of deferred debt


—


—


16.1


16.1


—


—


81.6


81.6Convertible
Notes


1,772.7


—


128.2


1,900.9


2,156.3


—


156.0


2,312.36.50% Unsecured
Notes


1,046.0


—


81.8


1,127.8


—


—


—


—Total

$
3,435.4

$
40.0

$
226.1

$
3,701.5

$
4,061.2

$
108.4

$
237.6

$
4,407.2 The table below summarizes
the components of interest expense for the nine months ended
September 30, 2017 and 2016: Nine Months Ended
September 30, 2017

Nine Months Ended
September 30, 2016($ in thousands)

Stated Interest Expense

Note Discount

Amortization of Deferred Debt Issuance
Costs

Total

Stated Interest Expense

Note Discount

Amortization of Deferred Debt Issuance
Costs

TotalTICC CLO 2012-1 LLC
Class A-1 Notes

$
623.8

$
25.4

$
—

$
649.2

$
3,089.1

$
145.3

$
—

$
3,234.4TICC CLO 2012-1 LLC
Class B-1 Notes


600.0


35.4


—


635.4


629.2


40.7


—


669.9TICC CLO 2012-1 LLC
Class C-1 Notes


878.4


59.4


—


937.8


943.2


68.1


—


1,011.3TICC CLO 2012-1 LLC
Class D-1 Notes


939.7


67.0


—


1,006.7


1,021.5


76.5


—


1,098.0TICC CLO 2012-1
amortization of deferred debt


—


—


91.7


91.7


—


—


253.0


253.0Convertible
Notes


5,318.0


—


380.5


5,698.5


6,468.9


—


464.6


6,933.56.50% Unsecured
Notes


1,964.2


—


152.0


2,116.2


—


—


—


—Total

$
10,324.1

$
187.2

$
624.2

$
11,135.5

$
12,151.9

$
330.6

$
717.6

$
13,200.1 The aggregate accrued interest which remained payable as of
September 30, 2017 and December 31, 2016 was approximately $3.0
million and $1.7 million, respectively. TICC CLO 2012-1
LLC On August 23, 2012, the
Company completed a $160 million debt securitization financing
transaction, consisting of $120 million in secured notes and $40
million of the 2012 subordinated notes. On February 25, 2013 and
May 28, 2013, TICC CLO 2012-1 issued additional secured notes
totaling an aggregate of $120 million and 2012 subordinated notes
totaling 35 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 6. BORROWINGS
(continued) an aggregate of $40 million,
which 2012 subordinated notes were purchased by TICC under the
“accordion” feature of the debt securitization which
allowed, under certain circumstances and subject to the
satisfaction of certain conditions, for an increase in the amount
of secured and subordinated notes. It is not necessary that the
Company own all or any of the notes permitted by this feature,
which may affect the accounting treatment of the debt
securitization financing transaction. On August 25, 2016, November
25, 2016, February 27, 2017, and May 25, 2017, the Securitization
Issuer repaid approximately $36.0 million, approximately $74.7
million, approximately $24.5 million, and approximately $31.4
million of the class A-1 notes, respectively. On August 25, 2017,
the Securitization Issuer repaid, in full, the remaining secured
notes (classes A-1, B-1, C-1 and D-1) outstanding of approximately
$73.4 million. Management is in the process of winding down TICC
CLO 2012-1. In connection with the August 25, 2016 repayment of approximately
$36.0 million of the Class A-1 notes, the Company incurred debt
extinguishment costs of approximately $648,000, which consisted of
approximately $287,000 in accelerated note discount expense and
approximately $361,000 in accelerated deferred debt issuance
costs. In connection with the November 25, 2016 repayment of approximately
$74.7 million of the Class A-1 notes, the Company incurred debt
extinguishment costs of approximately $1,296,000, which consisted
of approximately $574,000 in accelerated note discount expense and
approximately $722,000 in accelerated deferred debt issuance
costs. In connection with the February 27, 2017 repayment of approximately
$24.5 million of the Class A-1 notes, the Company incurred debt
extinguishment costs of approximately $409,000, which consisted of
approximately $181,000 in accelerated note discount expense and
approximately $228,000 in accelerated deferred debt issuance
costs. In connection with the May 25, 2017 repayment of approximately
$31.4 million of the Class A-1 notes, the Company incurred debt
extinguishment costs of approximately $505,000, which consisted of
approximately $224,000 in accelerated note discount expense and
approximately $281,000 in accelerated deferred debt issuance
costs. In connection with the August 25, 2017 repayment of approximately
$73.4 million of the Class A-1, B-1, C-1 and D-1 notes, the Company
incurred debt extinguishment costs of approximately $2.2 million,
which consisted of approximately $1.6 million in accelerated note
discount expense and approximately $0.6 million in accelerated
deferred debt issuance costs. The accelerated note discount expense and accelerated deferred debt
issuance costs are recorded within Realized Losses on Extinguishment
of Debt in the Consolidated Statement of Operations. The following table sets
forth the components of interest expense, effective annualized
average interest rates, and cash paid for interest of the Class
A-1, B-1, C-1 and D-1 for the three and nine months ended September
30, 2017 and 2016, respectively: TICC
CLO 2012-1 LLC ($ in thousands)

Three
Months Ended September 30, 2017

Three
Months Ended September 30, 2016

Nine
Months Ended September 30, 2017

Nine
Months Ended September 30, 2016Stated interest expense

$
616.7


$
1,904.9


$
3,041.9


$
5,683.0Amortization of deferred issuance
costs


16.1



81.6



91.7



253.0Note discount expense


40.0



108.4



187.2



330.6Total interest expense

$
672.8


$
2,094.9


$
3,320.8


$
6,266.6Effective annualized average interest
rate


5.98
%


3.70
%


5.33
%


3.56
%Cash paid for interest

$
1,031.6


$
1,960.0


$
3,591.2


$
5,652.4 Effective January 1, 2017 and
through February 27, 2017, the interest charged under the
securitization was based on three-month LIBOR, which was 0.930%.
Effective February 28, 2017 and through May 25, 2017, the interest
charged under the securitization was based on three-month LIBOR,
which was approximately 1.052%. Effective May 26, 2017 and through
August 25, 2017, the interest charged under the securitization was
based on three-month LIBOR, which was approximately
1.189%. 36 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 6. BORROWINGS
(continued) Effective January 1, 2016 and through February 24, 2016, the
interest charged under the securitization was based on three-month
LIBOR, which was 0.393%. Effective February 25, 2016 and through
May 25, 2016, the interest charged under the securitization was
based on three-month LIBOR, which was approximately 0.629%.
Effective May 26, 2016 and through August 25, 2016, the interest
charged under the securitization was based on three-month LIBOR,
which was approximately 0.662%. Effective August 26, 2016 and
through September 30, 2016, the interest charged under the
securitization was based on three-month LIBOR, which was
approximately 0.825%. The interest rate, spread over LIBOR, cash paid for interest and
stated interest expense of each of the Class A-1, B-1, C-1 and D-1
Notes for the three and nine months ended September 30, 2017,
respectively, are as follows: Three Months Ended September 30, 2017

Nine Months Ended September 30, 2017TICC CLO 2012-1 LLC ($ in thousands)

Stated Interest Rate

LIBOR Spread (basis points)

Cash Paid for Interest

Stated Interest Expense

Cash Paid for Interest

Stated Interest ExpenseClass A-1 Notes

2.93867
%

175

$
70.5

$
42.1

$
803.6

$
623.8Class B-1 Notes

4.68867
%

350


239.6


143.3


691.0


600.0Class C-1 Notes

5.93867
%

475


349.1


208.7


1,012.7


878.4Class D-1 Notes

6.93867
%

575


372.4


222.6


1,083.9


939.7Total(1)






$
1,031.6

$
616.7

$
3,591.2

$
3,041.9 ____________ (1) Totals may
not sum due to rounding. The interest rate, spread over LIBOR, cash paid for interest and
stated interest expense of each of the Class A-1, B-1, C-1 and D-1
Notes for the three and nine months ended September 30, 2016,
respectively, are as follows: Three Months Ended September 30, 2016

Nine Months Ended September 30, 2016TICC CLO 2012-1 LLC ($ in thousands)

Stated Interest Rate

LIBOR Spread (basis points)

Cash Paid for Interest

Stated Interest Expense

Cash Paid for Interest

Stated Interest ExpenseClass A-1 Notes

2.57544
%

175

$
1,085.0

$
1,019.2

$
3,095.8

$
3,089.1Class B-1 Notes

4.32544
%

350


212.7


216.1


618.2


629.2Class C-1 Notes

5.57544
%

475


318.1


322.0


929.8


943.2Class D-1 Notes

6.57544
%

575


344.1


347.6


1,008.7


1,021.6Total(1)






$
1,960.0

$
1,904.9

$
5,652.4

$
5,683.2 ____________ (1) Totals may
not sum due to rounding. TICC serves as collateral manager to the 2012 Securitization Issuer
under a collateral management agreement. TICC is entitled to a
deferred fee for its services as collateral manager. The deferred
fee is eliminated in consolidation. 6.50% Unsecured Notes
Due 2024 On April 12, 2017, the Company completed an underwritten public
offering of approximately $64.4 million in aggregate principal
amount of 6.50% unsecured notes due 2024. The 6.50% Unsecured Notes
will mature on March 30, 2024, and may be redeemed in whole or in
part at any time or from time to time at the Company’s option
on or after March 30, 2020. The 37 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 6. BORROWINGS
(continued) 6.50% Unsecured Notes will bear interest at a rate of 6.50% per
year payable quarterly on March 30, June 30, September 30, and
December 30 of each year, commencing June 30, 2017. The aggregate accrued interest payable on the 6.50% Unsecured Notes
at September 30, 2017 was approximately $11,600. As of September
30, 2017, the Company had unamortized deferred debt issuance costs
of approximately $2.1 million relating to these notes. This amount
is being amortized and is included in Interest expense in the
Consolidated Statements of Operations over the term of the 6.50%
Unsecured Notes. The following table sets forth the components of interest expense,
effective annualized average interest rates and cash paid for
interest of the 6.50% Unsecured Notes for the three and nine months
ended September 30, 2017: 6.50%
Unsecured Notes ($ in thousands)

Three
Months Ended September 30, 2017

Nine
Months Ended September 30, 2017Stated interest expense

$
1,046.0


$
1,964.2Amortization of deferred issuance
costs


81.8



152.0Total interest expense

$
1,127.8


$
2,116.2Effective annualized average interest
rate


6.95
%


6.98%Cash paid for interest

$
1,046.0


$
1,952.6 The 6.50% Unsecured Notes are TICC’s general, unsecured
obligations and rank equal in right of payment with all of
TICC’s existing and future senior, unsecured indebtedness and
senior in right of payment to any of its subordinated indebtedness.
As a result, the 6.50% Unsecured Notes will be effectively
subordinated to TICC’s existing and future secured
indebtedness to the extent of the value of the assets securing such
indebtedness and structurally subordinated to any existing and
future liabilities and other indebtedness of its subsidiary. Convertible
Notes On September 26, 2012, the Company issued $105.0 million aggregate
principal amount of senior unsecured notes due November 2017, and
an additional $10.0 million aggregate principal amount of the
Convertible Notes was issued on October 22, 2012 pursuant to the
exercise of the initial purchasers’ option to purchase
additional Convertible Notes. On December 2, 2016 and December 16,
2016, the Company repurchased $12.0 million and approximately $8.5
million of the Convertible Notes, respectively. At September 30,
2017, approximately $94.5 million aggregate principal amount of the
Convertible Notes remained outstanding. The Convertible Notes bear
interest at a rate of 7.50% per year, payable semi-annually in
arrears on May 1 and November 1 of each year. The Convertible Notes
are convertible into shares of TICC’s common stock based on
an initial conversion rate of 87.2448 shares of its common stock
per $1,000 principal amount of Convertible Notes, which is
equivalent to an initial conversion price of approximately $11.46
per share of common stock. The conversion price for the Convertible
Notes will be reduced for quarterly cash distributions paid to
common shares to the extent that the quarterly distribution exceeds
$0.29 per share, subject to adjustment. TICC does not have the
right to redeem the Convertible Notes prior to maturity. The
aggregate accrued interest payable on the Convertible Notes as of
September 30, 2017 was approximately $3.0 million. Deferred debt
issuance costs represent fees and other direct incremental costs
incurred in connection with the Convertible Notes. As of September
30, 2017, the Company had unamortized deferred debt issuance costs
of approximately $45,000 relating to these notes. This amount
is being amortized and is included in Interest expense in the
Consolidated Statements of Operations over the term of the
Convertible Notes. 38 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 6. BORROWINGS
(continued) The following table sets forth the components of interest expense,
effective annualized average interest rates and cash paid for
interest of the Convertible Notes for the three and nine months
ended September 30, 2017 and 2016, respectively: 2017
Convertible Notes ($ in thousands)

Three
Months Ended September 30, 2017

Three
Months Ended September 30, 2016

Nine
Months Ended September 30, 2017

Nine Months Ended September 30,
2016Stated interest expense

$
1,772.7


$
2,156.3


$
5,318.0


$
6,468.8Amortization of deferred issuance
costs


128.2



156.0



380.5



464.7Total interest expense

$
1,900.9


$
2,312.3


$
5,698.5


$
6,933.5Effective annualized average interest
rate


7.98
%


7.98
%


8.06
%


8.03
%Cash paid for interest

$
—


$
—


$
3,545.3


$
4,312.5 The Convertible Notes are
TICC’s general, unsecured obligations and rank equal in right
of payment with all of TICC’s existing and future senior,
unsecured indebtedness and senior in right of payment to any of its
subordinated indebtedness. As a result, the Convertible Notes are
effectively subordinated to TICC’s existing and future
secured indebtedness to the extent of the value of the assets
securing such indebtedness and structurally subordinated to any
existing and future liabilities and other indebtedness of its
subsidiary. For details regarding the maturity of the Convertible
Notes refer to “Note 18. Subsequent Events.” NOTE 7. EARNINGS PER
SHARE The following table sets forth the computation of basic and diluted
net increase in net assets resulting from investment income per
share for the three and nine months ended September 30, 2017 and
2016, respectively: Three
Months Ended September 30, 2017

Three
Months Ended September 30, 2016

Nine
Months Ended September 30, 2017

Nine
Months Ended September 30, 2016Net
increase in net assets resulting from net investment income per
common share – basic:Net investment income

$
6,767,753

$
6,539,020

$
23,097,902

$
17,382,340Weighted average common shares outstanding
– basic


51,479,409


51,479,409


51,479,409


51,985,537Net
increase in net assets resulting from net investment income per
common share – basic

$
0.13

$
0.13

$
0.45

$
0.33Net
increase in net assets resulting from net investment income per
common share – diluted:Net investment income, before
adjustments

$
6,767,753

$
6,539,020

$
23,097,902

$
17,382,340Adjustments for interest on convertible notes,
deferred issuance costs, and related impact on base management fees
and incentive fees(1)


—


—


—


—Net investment income, as adjusted(1)

$
6,767,753

$
6,539,020

$
23,097,902

$
17,382,340Weighted average common shares outstanding
– basic


51,479,409


51,479,409


51,479,409


51,985,537Share adjustments for dilutive effect of
convertible notes(1)


—


—


—


—Weighted average common shares
outstanding – diluted(1)


51,479,409


51,479,409


51,479,409


51,985,537Net
increase in net assets resulting from net investment income per
common share – diluted(1)

$
0.13

$
0.13

$
0.45

$
0.33 39 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 7. EARNINGS PER
SHARE (continued) The following table sets forth the computation of basic and diluted
net increase in net assets resulting from operations per share for
the three and nine months ended September 30, 2017 and 2016: Three
Months Ended September 30, 2017

Three
Months Ended September 30, 2016

Nine
Months Ended September 30, 2017

Nine
Months Ended September 30, 2016Net
increase in net assets resulting from operations per common share
– basic:Net increase in net assets resulting from
operations

$
6,016,019

$
42,912,763

$
27,187,874

$
74,062,706Weighted average common shares outstanding
– basic


51,479,409


51,479,409


51,479,409


51,985,537Net
increase in net assets resulting from operations per common share
– basic

$
0.12

$
0.83

$
0.53

$
1.42Net
increase in net assets resulting from operations per common share
– dilutedNet increase in net assets resulting from
operations, before adjustments

$
6,016,019

$
42,912,763

$
27,187,874

$
74,062,706Adjustments
                                         for interest on convertible senior notes, base management fees, deferred issuance costs
                                         and incentive fees(1)


—


1,446,266


4,215,831


5,555,309Net increase in net assets resulting from
operations, as adjusted(1)

$
6,016,019

$
44,359,029

$
31,403,705

$
79,618,015Weighted average common shares outstanding
– basic


51,479,409


51,479,409


51,479,409


51,985,537Adjustments for dilutive effect of convertible
notes(1)


—


10,033,152


8,248,298


10,033,152Weighted average common shares outstanding
– diluted(1)


51,479,409


61,512,561


59,727,707


62,018,689Net
increase in net assets resulting from operations per common share
– diluted(1)(2)

$
0.12

$
0.72

$
0.53

$
1.28 ____________ (1) Due to the anti-dilutive effect on the computation of diluted
earnings per share for the three and nine months ended September 30, 2017 and 2016 for net increase in net assets resulting
from net investment income and for the three months ended September 30, 2017 for net increase in net assets resulting from
operations, the adjustments for interest on the Convertible Notes, base management fees, deferred issuance costs and net
investment income incentive fees, as well as share adjustments for dilutive effect of the Convertible Notes, were excluded
from the respective period’s diluted earnings per share computation. The following table represents the respective
adjustments which were not made due to the anti-dilutive effect on the computation of diluted change in net assets resulting
from net investment income per common share and the diluted change in net assets resulting from operations per common share
for the three and nine months ended September 30, 2017 and 2016: (2)   Net increase in net assets resulting from operations per share for the nine months ended September 30, 2017 resulted in a
diluted effect before rounding adjustments. 40 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 7. EARNINGS PER
SHARE (continued) Three
Months Ended September 30, 2017

Three
Months Ended September 30, 2016

Nine
Months Ended September 30, 2017

Nine
Months Ended September 30, 2016Net
increase in net assets resulting from net investment income per
common share – diluted:Adjustments for interest on convertible notes,
deferred issuance costs, and related impact on base management fees
and incentive fees

$
1,177,683

$
1,446,266

$
4,215,831

$
5,555,309Share
adjustments for dilutive effect of convertible
notes


8,248,298


10,033,152


8,248,298


10,033,152Net
increase in net assets resulting from operations per common share
– diluted:Adjustments for interest on convertible notes,
deferred issuance costs, and related impact on base management fees
and incentive fees

$
1,177,683

$
—

$
—

$
—Share
adjustments for dilutive effect of convertible
notes


8,248,298


—


—


— NOTE 8. RELATED PARTY
TRANSACTIONS TICC pays TICC Management a fee for its services under the
Investment Advisory Agreement consisting of two components —
a base management fee (the “Base Fee”) and an incentive
fee. The cost of both the Base Fee payable to TICC Management and
any incentive fees earned by TICC Management are ultimately borne
by TICC’s common stockholders. Base Management Fee Through March 31, 2016, the Base Fee was calculated at an annual
rate of 2.00%. Effective April 1, 2016, the Base Fee is calculated
at an annual rate of 1.50%. The Base Fee is payable quarterly in
arrears, and is calculated based on the average value of
TICC’s gross assets at the end of the two most recently
completed calendar quarters, and appropriately adjusted for any
equity or debt capital raises, repurchases or redemptions during
the current calendar quarter (however, no Base Fee will be payable
on the cash proceeds received by the Company in connection with any
share or debt issuances until such proceeds have been invested in
accordance with TICC’s investment objective). Accordingly,
the Base Fee will be payable regardless of whether the value of the
Company’s gross assets has decreased during the quarter. The
Base Fee for any partial quarter will be appropriately
prorated. The following table represents the Base Fee for the three and nine
months ended September 30, 2017 and 2016, respectively: Three
Months Ended September 30, 2017

Three
Months Ended September 30, 2016

Nine
Months Ended September 30, 2017

Nine
Months Ended September 30, 2016Base management fee

$
2,004,391

$
2,630,334

$
6,456,566

$
8,747,819 The Base management fee payable to TICC Management as of September
30, 2017 and December 31, 2016 was $2,004,391 and $2,544,576,
respectively. 41 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 8. RELATED PARTY
TRANSACTIONS (continued) Incentive Fee The incentive fee has two parts: the “Net Investment Income
Incentive Fee” and the “Capital Gains Incentive
Fee”. The Net Investment Income Incentive fee is calculated
and payable quarterly in arrears based on the amount by which (x)
the “Pre-Incentive Fee Net Investment Income” for the
immediately preceding calendar quarter exceeds (y) the
“Preferred Return Amount” for the current calendar
quarter. For this purpose, “Pre-Incentive Fee Net Investment
Income” means interest income, dividend income and any other
income (including any accrued income that we have not yet received
in cash and any other fees such as commitment, origination,
structuring, diligence and consulting fees or other fees that we
receive from portfolio companies) accrued during the calendar
quarter, minus TICC’s operating expenses accrued during the
calendar quarter (including the Base Fee, expenses payable under a
separate agreement with BDC Partners (the “Administration
Agreement”), and any interest expense and dividends paid on
any issued and outstanding preferred stock, but excluding the
incentive fee). “Pre-Incentive Fee Net Investment
Income” includes, in the case of investments with a deferred
interest feature (such as OID, debt instruments with PIK interest
and zero coupon securities), accrued income that the Company has
not yet received in cash. TICC Management is not under any
obligation to reimburse TICC for any part of the incentive fee it
received that was based on accrued income that it never received as
a result of a default by an entity on the obligation that resulted
in the accrual of such income. “Pre-Incentive Fee Net
Investment Income” does not include any realized gains,
realized losses, unrealized appreciation or depreciation on
investments, or gain/loss on extinguishment of debt. Given that
this portion of the incentive fee is payable without regard to any
gain, loss or unrealized depreciation on investments or gain/loss
on extinguishment of debt that may occur during the quarter, this
portion of TICC Management’s incentive fee may also be
payable notwithstanding a decline in net asset value that
quarter. Effective April 1, 2016, a “Preferred Return Amount” is
calculated on a quarterly basis by multiplying 1.75% by the
Company’s net asset value at the end of the immediately
preceding calendar quarter. The Net Investment Income Incentive fee
is then calculated as follows: (a) no Net Investment Income
Incentive Fee is payable to TICC Management in any calendar quarter
in which the “Pre-Incentive Fee Net Investment Income”
does not exceed the “Preferred Return Amount”; (b) 100%
of the “Pre-Incentive Fee Net Investment Income” for
such quarter, if any, that exceeds the “Preferred Return
Amount” but is less than or equal to a “Catch-Up
Amount” determined on a quarterly basis by multiplying
2.1875% by TICC’s net asset value at the end of such calendar
quarter; and (c) for any quarter in which the “Pre-Incentive
Fee Net Investment Income” exceeds the “Catch-Up
Amount,” the Net Investment Income Incentive fee will be 20%
of the amount of the “Pre-Incentive Fee Net Investment
Income” for such quarter. There is no accumulation of amounts
from quarter to quarter for the “Preferred Return
Amount,” and accordingly there is no claw back of amounts
previously paid to TICC Management if the “Pre-Incentive Fee
Net Investment Income” for subsequent quarters is below the
quarterly “Preferred Return Amount,” and there is no
delay of payment of incentive fees to TICC Management if the
“Pre-Incentive Fee Net Investment Income” for prior
quarters is below the quarterly “Preferred Return
Amount” for the quarter for which the calculation is being
made. In addition, effective April 1, 2016, the calculation of the
Company’s Net Investment Income Incentive Fee is subject to a
total return requirement, which provides that a Net Investment
Income Incentive Fee will not be payable to TICC Management except
to the extent 20% of the “cumulative net increase in net
assets resulting from operations” (which is the amount, if
positive, of the sum of the “Pre-Incentive Fee Net Investment
Income,” realized gains and losses and unrealized
appreciation and depreciation on investments) during the calendar
quarter for which such fees are being calculated and the eleven
(11) preceding quarters (or if shorter, the number of quarters
since April 1, 2016) exceeds the cumulative Net Investment Income
Incentive Fees accrued and/or paid for such eleven (11) preceding
quarters (or if shorter, the number of quarters since April 1,
2016). Under the revised fee structure, under no circumstances will
the aggregate fees earned from April 1, 2016 by TICC Management in
any quarterly period be higher than the aggregate fees that would
have been earned prior to the adoption of these changes. From January 1, 2005 through March 31, 2016, the
“Pre-Incentive Fee Net Investment Income,” which was
expressed as a rate of return on the value of our net assets at the
end of the immediately preceding calendar quarter, was compared to
one-fourth of an annual hurdle rate that was determined as of the
immediately preceding December 31st
by adding 5.00% to 42 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 8. RELATED PARTY
TRANSACTIONS (continued) the interest rate then payable on the most recently issued
five-year U.S. Treasury Notes, up to a maximum annual hurdle rate
of 10.00%. The annual hurdle rate used to calculate the
“Pre-Incentive Fee Net Investment Income” for the
quarters ended September 30, 2017 and September 30, 2016 was 6.93%
and 6.76%, respectively. The following table represents the Net Investment Income Incentive
fees for each of the quarters ended September 30, 2017 and 2016,
respectively: Three
Months
Ended
September 30, 2017

Three
Months
Ended
September 30, 2016

Nine
Months
Ended
September 30, 2017

Nine
Months
Ended
September 30, 2016Net investment
income incentive fee

$
564,370

$
422,828

$
2,827,991

$
1,666,594 The Net Investment Income Incentive Fee payable to TICC Management
as of September 30, 2017 and December 31, 2016 was approximately
$567,103 and $1,128,805, respectively. The Capital Gains Incentive Fee is determined and payable in
arrears as of the end of each calendar year (or upon termination of
the Investment Advisory Agreement, as of the termination date), and
equals 20% of the Company’s “Incentive Fee Capital
Gains,” which consists of its realized capital gains for each
calendar year, computed net of all realized capital losses and
unrealized capital depreciation on investments for that calendar
year. For accounting purposes only, in order to reflect the
theoretical capital gains incentive fee that would be payable for a
given period as if all unrealized gains on investments were
realized, the Company will accrue a Capital Gains Incentive Fee
based upon net realized gains on investments (excluding
gains/losses on extinguishment of debt) and unrealized depreciation
on investments for that calendar year (in accordance with the terms
of the Investment Advisory Agreement), plus unrealized appreciation
on investments held at the end of the period. It should be noted
that a fee so calculated and accrued would not necessarily be
payable under the Investment Advisory Agreement, and may never be
paid based upon the computation of Capital Gains Incentive Fees in
subsequent periods. Amounts paid under the Investment Advisory
Agreement will be consistent with the formula reflected in the
Investment Advisory Agreement. The amount of Capital Gains Incentive Fee expense related to the
hypothetical liquidation of the portfolio (and assuming no other
changes in realized or unrealized gains and losses) would only
become payable to TICC Management in the event of a complete
liquidation of the Company’s portfolio as of period end and
the termination of the Investment Advisory Agreement on such date.
Also, it should be noted that the Capital Gains Incentive Fee
expense fluctuates with the Company’s overall investment
results. There were no Capital Gains Incentive Fees incurred during the
three and nine months ended September 30, 2017 and 2016. There were
no accrued Capital Gains Incentive Fees payable to TICC Management
as of September 30, 2017 and December 31, 2016. Administration Agreement The Company has also entered into the Administration Agreement with
BDC Partners under which BDC Partners provides administrative
services for TICC. The Company pays BDC Partners an allocable
portion of overhead and other expenses incurred by BDC Partners in
performing its obligations under the Administration Agreement,
including a portion of the rent and the compensation of the Chief
Financial Officer, accounting staff and other administrative
support personnel, which creates potential conflicts of interest
that the Board of Directors must monitor. The Company also
reimburses BDC Partners for the costs associated with the functions
performed by TICC’s Chief Compliance Officer that BDC
Partners pays on the Company’s behalf pursuant to the terms
of an agreement between the Company and Alaric Compliance Services,
LLC. 43 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 8. RELATED PARTY
TRANSACTIONS (continued) TICC Management is controlled by BDC Partners, its managing member.
Charles M. Royce, a member of the Company’s Board of
Directors, holds a minority, non-controlling interest in TICC
Management. BDC Partners manages the business and internal affairs
of TICC Management. Jonathan H. Cohen, the Company’s Chief
Executive Officer, as well as a Director, is the managing member of
BDC Partners. Saul B. Rosenthal, the Company’s President and
Chief Operating Officer, is also the President and Chief Operating
Officer of TICC Management and a member of BDC Partners. Messrs.
Cohen and Rosenthal have an equal equity interest in BDC Partners.
Mr. Royce does not take part in the management or participate in
the operations of TICC Management. For the three months ended September 30, 2017 and 2016, TICC
incurred approximately $237,700 and $189,200, respectively, in
compensation expenses for the services of employees allocated to
the administrative activities of TICC, pursuant to the
Administration Agreement with BDC Partners; for the nine months
ended September 30, 2017 and 2016, TICC incurred approximately
$676,000 and $609,300, respectively. Further, TICC incurred
approximately $24,000 and $27,700 for facility costs allocated
under the Administration Agreement for the three months ended
September 30, 2017 and 2016, respectively; for the nine months
ended September 30, 2017 and 2016, TICC incurred $57,000 and
$83,200, respectively. As of September 30, 2017 and December 31,
2016, aggregate amounts payable under the Administration Agreement
were approximately $66,000 and $0, respectively. Co-Investment Exemptive Relief On June 14, 2017, the SEC issued an order permitting TICC and
certain of its affiliates to complete negotiated co-investment
transactions in portfolio companies, subject to certain conditions
(the “Order”). Subject to satisfaction of certain
conditions to the Order, TICC and certain of its affiliates are now
permitted, together with any future BDCs, registered closed-end
funds and certain private funds, each of whose investment adviser
is TICC’s investment adviser or an investment adviser
controlling, controlled by, or under common control with
TICC’s investment adviser, to co-invest in negotiated
investment opportunities where doing so would otherwise be
prohibited under the 1940 Act, providing TICC’s stockholders
with access to a broader array of investment opportunities. Pursuant to the Order, TICC is
permitted to co-invest in such investment opportunities with its
affiliates if a “required majority” (as defined in
Section 57(o) of the 1940 Act) of its independent directors make
certain conclusions in connection with a co-investment transaction,
including, but not limited to, that (1) the terms of the potential
co-investment transaction, including the consideration to be paid,
are reasonable and fair to TICC and its stockholders and do not
involve overreaching in respect of TICC or its stockholders on the
part of any person concerned, and (2) the potential co-investment
transaction is consistent with the interests of TICC’s
stockholders and is consistent with TICC’s then-current
investment objective and strategies. NOTE 9.
DISTRIBUTIONS The Company intends to continue to operate so as to qualify to be
taxed as a RIC under the Code and, as such, the Company would not
be subject to federal income tax on the portion of its taxable
income and gains distributed to stockholders. To qualify to be
taxed as a RIC, the Company is required, among other requirements,
to distribute at least 90% of its annual investment company taxable
income, as defined by the Code. The amount to be paid out each
quarter as a distribution is determined by the Board of Directors
and is based upon the annual taxable income estimated by the
management of the Company. Income calculated in accordance with
U.S. federal income tax regulations differs substantially from GAAP
income. To the extent that the Company’s taxable earnings
fall below the amount of distributions declared, however, a portion
of the total amount of the Company’s distributions for the
fiscal year may be deemed a return of capital for tax purposes to
the Company’s stockholders. The Company intends to comply with the applicable provisions of the
Code pertaining to RICs to make distributions of taxable income
sufficient to relieve it of substantially all federal income taxes.
The Company, at its discretion, may carry forward taxable income in
excess of calendar year distributions and pay a 4% excise tax on
such income. The Company will accrue excise tax on estimated excess
taxable income, if any, as required. 44 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 9. DISTRIBUTIONS
(continued) The Company has adopted an “opt out” distribution
reinvestment plan for our common stockholders. As a result, if we
make a cash distribution, then stockholders’ cash
distributions will be automatically reinvested in additional shares
of our common stock, unless they specifically “opt out”
of the distribution reinvestment plan so as to receive cash
distributions. During the three and nine months ended September 30,
2017 and 2016, the Company did not issue any shares of common stock
to stockholders in connection with the distribution reinvestment
plan. During the three months ended September 30, 2017 and
September 30, 2016, as part of our dividend reinvestment plan for
our common stockholders, our dividend reinvestment administrator
purchased 45,183 shares and 73,401 shares, respectively, of our
common stock for $0.3 million and $0.4 million, respectively, in
the open market to satisfy the reinvestment portion of our
dividends. On September 29, 2017, the Company paid a distribution
of $0.20 per share. On December 22, 2010, the Regulated Investment Company
Modernization Act of 2010 (the “Act”) was enacted which
changed various technical rules governing the tax treatment of
RICs. The changes are generally effective for taxable years
beginning after the date of enactment. Under the Act, the Company
will be permitted to carry forward capital losses incurred in
taxable years beginning after the date of enactment for an
unlimited period. However, any losses incurred during those future
taxable years will be required to be utilized prior to the losses
incurred in pre-enactment taxable years, which carry an expiration
date. As a result of this ordering rule, pre-enactment capital loss
carryforwards may be more likely to expire unused. Additionally,
post-enactment capital losses that are carried forward will retain
their character as either short-term or long-term losses rather
than being considered all short-term as under previous law. NOTE 10. NET ASSET VALUE
PER SHARE The Company’s net asset value per share at September 30, 2017
was $7.43, and at December 31, 2016 was $7.50. In determining the
Company’s net asset value per share, the Board of Directors
determined in good faith the fair value of the Company’s
portfolio investments for which reliable market quotations are not
readily available. NOTE 11. INVESTMENT
INCOME The following table sets forth the components of investment income
for the three and nine months ended September 30, 2017 and 2016,
respectively: Three Months Ended September 30, 2017

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016Interest incomeStated interest income

$
5,091,751

$
8,251,446

$
18,337,423

$
25,231,480Original issue discount and market discount
income


244,751


344,332


827,746


801,621Payment-in-kind income


59,446


55,898


173,347


163,922Discount income derived from unscheduled
remittances at par


8,460


3,154


37,737


20,574Total interest income

$
5,404,408

$
8,654,830

$
19,376,253

$
26,217,597Income from securitization vehicles

$
8,086,059

$
8,635,834

$
26,081,676

$
22,538,250Commitment, amendment and other fee
incomeFee letters

$
314,007

$
339,005

$
1,051,207

$
1,014,785Loan prepayment and bond call fees


300,000


330,000


570,212


358,381All other fees


393,223


136,123


895,982


281,788Total commitment, amendment and other fee
income

$
1,007,230

$
805,128

$
2,517,401

$
1,654,954Total
investment income

$
14,497,697

$
18,095,792

$
47,975,330

$
50,410,801 45 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 11. INVESTMENT
INCOME (continued) The 1940 Act requires that a BDC offer significant managerial
assistance to its portfolio companies. The Company may receive fee
income for managerial assistance it renders to portfolio companies
in connection with its investments. For the three and nine months
ended September 30, 2017 and 2016, respectively, the Company
received no fee income for managerial assistance. NOTE 12. SHARE
REPURCHASE PROGRAM On November 5, 2015, the Board of Directors authorized a program
for the purpose of repurchasing up to $75 million worth of the
Company’s common stock. Under that repurchase program, the
Company was authorized, but was not obligated, to repurchase
outstanding common stock in the open market from time to time
through September 30, 2016, provided that repurchases comply with
the prohibitions under the Company’s Insider Trading Policies
and Procedures and the guidelines specified in Rule 10b-18 of the
Securities Exchange Act of 1934, as amended, including certain
price, market volume and timing constraints. Further, any
repurchases were to be conducted in accordance with the 1940 Act.
Additionally, the Company entered into a Rule 10b5-1 trading plan
to undertake accretive share repurchasing on a non-discretionary
basis of up to $50 million until March 4, 2016. During the year
ended December 31, 2016, under that repurchase program, the Company
repurchased 4,917,026 shares of outstanding common stock for
approximately $25.6 million at the average weighted price of $5.20
per share, inclusive of commission, while complying with the
prohibitions under TICC’s Insider Trading Policies and
Procedures and the guidelines specified in Rule 10b-18 of the
Securities Exchange Act of 1934, as amended, including certain
price, market volume and timing constraints. In addition,
repurchases were conducted in accordance with the 1940 Act. The
Company did not repurchase shares of its common stock during the
three and nine months ended September 30, 2017, as the program to
repurchase up to $75 million worth of the Company’s common
stock expired on June 30, 2016. The Company did not repurchase
shares of its common stock during the three months ended September
30, 2016. Period

Total Number of Shares Purchased

Average Price Paid Per Share

Total Number of Shares Purchased as Part of
Publicly Announced Program

Maximum Number (or Approximate Dollar Value) of
Shares that May Yet Be Purchased Under the ProgramJanuary 1, 2016 – January 31,
2016

2,155,303

5.48

2,155,303

39.5 millionFebruary 1, 2016 – February 29,
2016

2,562,494

4.97

2,562,494

26.8 millionMarch 1, 2016 – March 31, 2016

199,229

5.17

199,229

25.8 millionApril 1, 2016 – April 30, 2016

—



—

25.8 millionMay 1, 2016 – May 31, 2016

—



—

25.8 millionJune 1, 2016 – June 30, 2016

—



—

—July 1, 2016 – July 30, 2016

—



—

—August 1, 2016 – August 31,
2016

—



—

—September 1, 2016 – September 30,
2016

—



—

—Total – nine months ended September 30,
2016

4,917,026



4,917,026 46 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 13. COMMITMENTS AND
CONTINGENCIES In the normal course of business, the Company enters into a variety
of undertakings containing a variety of warranties and
indemnifications that may expose the Company to some risk of loss.
The risk of future loss arising from such undertakings, while not
quantifiable, is expected to be remote. As of September 30, 2017, the Company had commitments to purchase
additional debt investments totaling approximately $5.0
million. The Company is not currently subject to any material legal
proceedings. From time to time, the Company may be a party to
certain legal proceedings in the ordinary course of business,
including proceedings relating to the enforcement of the
Company’s rights under contracts with its portfolio
companies. While the outcome of these legal proceedings, if any,
cannot be predicted with certainty, the Company does not expect
that these proceedings will have a material effect upon its
consolidated results of operations and financial condition. NOTE 14. FINANCIAL
HIGHLIGHTS Financial highlights for the three and nine months ended September
30, 2017 and 2016, respectively, are as follows: Per
Share Data

Three
Months Ended September 30, 2017

Three
Months Ended September 30, 2016

Nine
Months Ended September 30, 2017

Nine
Months Ended September 30, 2016Net asset value as of beginning of
period

$
7.51


$
6.54


$
7.50


$
6.40Net investment income(1)


0.13



0.13



0.45



0.33Net realized and unrealized (losses)
gains(2)


(0.01
)


0.70



0.08



1.10Net change in net asset value from
operations(2)


0.12



0.83



0.53



1.43Distributions per share from net investment
income


(0.20
)


(0.29
)


(0.60
)


(0.87
)Distributions based on weighted average share
impact


—



—



—



0.01Total distributions(3)


(0.20
)


(0.29
)


(0.60
)


(0.86
)Effect of shares repurchased, gross


—



—



—



0.11Net asset value at end of period

$
7.43


$
7.08


$
7.43


$
7.08Per share market value at beginning of
period

$
6.34


$
5.27


$
6.61


$
6.08Per share market value at end of
period

$
6.85


$
5.82


$
6.85


$
5.82Total return(4)


11.20
%


15.94
%


13.00
%


12.43
%Shares outstanding at end of period


51,479,409



51,479,409



51,479,409



51,479,409Ratios/Supplemental
DataNet assets at end of period
(000’s)

$
382,293


$
364,622


$
382,293


$
364,622Average net assets (000’s)


384,433



350,631



386,146



332,591Ratio of operating expenses to average net
assets(5)


8.04
%


13.18
%


8.59
%


13.24
%Ratio of net investment income to average net
assets(5)


7.04
%


7.46
%


7.98
%


6.97
%Portfolio turnover rate(6)


6.52
%


9.42
%


32.3
%


22.92
% ____________ (1) Represents
per share net investment income for the period, based upon average
shares outstanding. (2) Net realized
and unrealized capital gains include rounding adjustments to
reconcile change in net asset value per share. 47 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 14. FINANCIAL
HIGHLIGHTS (continued) (3) Management
monitors available taxable earnings, including net investment
income and realized capital gains, to determine if a tax return of
capital may occur for the year. To the extent the Company’s
taxable earnings fall below the total amount of the Company’s
distributions for that fiscal year, a portion of those
distributions may be deemed a tax return of capital to the
Company’s stockholders. The ultimate tax character of the
Company’s earnings cannot be determined until tax returns are
prepared after the end of the fiscal year. (4) Total return
equals the increase or decrease of ending market value over
beginning market value, plus distributions, divided by the
beginning market value, assuming distribution reinvestment prices
obtained under the Company’s distribution reinvestment plan,
excluding any discounts. Total return is not annualized. (5)
Annualized. (6) Portfolio
turnover rate is calculated using the lesser of year-to-date cash
investment sales and debt repayments or year-to-date cash
investment purchases over the average of total investments at fair
value. The following table provides supplemental performance ratios
(annualized) measured for the three and nine months ended September
30, 2017 and 2016: Three
Months Ended September 30, 2017

Three
Months Ended September 30, 2016

Nine
Months Ended September 30, 2017

Nine
Months Ended September 30, 2016Ratio of operating expenses to average net
assets:Operating expenses before incentive
fees

7.46
%

12.70
%

7.61
%

12.57
%Net investment income incentive fees

0.59
%

0.48
%

0.98
%

0.67
%Ratio of expenses, excluding interest
expense

4.19
%

8.16
%

4.74
%

7.95
% NOTE 15. RECENT
ACCOUNTING PRONOUNCEMENTS In August 2016, the FASB issued ASU 2016-15, Classification
of Certain Cash Receipts and Cash Payments (a Consensus of the
Emerging Issues Task Force) (“ASU 2016-15”),
which is intended to reduce diversity in practice in how certain
transactions are classified in the statement of cash flows. The
Company is currently assessing the impact of ASU 2016-15 and does
not anticipate a material impact on its consolidated financial
statements. ASU 2016-15 is effective for annual reporting periods
beginning after December 15, 2017, including interim periods within
those fiscal years, with early adoption permitted. The Company is
assessing the impact of ASU 2016-15. In October 2016, the SEC adopted significant reforms under the 1940
Act that impose extensive new disclosure and reporting obligations
on most 1940 Act funds (collectively, the “Reporting
Rules”). The Reporting Rules expand the volume of information
regarding fund portfolio holdings and investment practices that
must be disclosed. The adopted amendments to Regulation S-X for
1940 Act funds and BDCs include an update to the disclosures for
investments in and advances to affiliates, and the requirement to
include in their financial statements a standardized schedule
containing detailed information about derivative investments (among
other changes). The amendments to Regulation S-X were effective
August 1, 2017. The Company has adopted these amendments as of
September 30, 2017 and the adoption has not had a material impact
on its consolidated financial statements. In November 2016, the FASB issued ASU 2016-18, Statement of
Cash Flows (Topic 230): Restricted Cash (a Consensus of the
Emerging Issues Task Force) (“ASU 2016-18”),
which requires that the statement of cash flows explain the change
during the period in the total of cash, cash equivalents, and
amounts generally described as restricted cash or restricted cash
equivalents. ASU 2016-18 is effective for annual reporting periods
beginning after December 15, 2017, including interim periods within
those fiscal years, with early adoption permitted. The Company is
assessing the impact of ASU 2016-18 and 48 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 15. RECENT
ACCOUNTING PRONOUNCEMENTS (continued) upon adoption of the standard, restricted cash will be included as
part of beginning and ending cash and cash equivalents on the
consolidated statement of cash flows. In December 2016, the FASB issued ASU 2016-19, Technical
Corrections and Improvements. As part of this guidance, ASU 2016-19
amends FASB ASC 820 to clarify the difference between a valuation
approach and a valuation technique. The amendment also requires an
entity to disclose when there has been a change in either or both a
valuation approach and/or a valuation technique. ASU 2016-19 is
effective on a prospective basis for financial statements issued
for fiscal years, and interim periods within those fiscal years,
beginning after December 15, 2016 on a prospective basis. The
Company has adopted ASU 2016-19 on its consolidated financial
statements and disclosures and the adoption of ASU 2016-19 has not
had a material impact on its consolidated financial statements. In May 2014, the FASB issued ASU 2014-09, Revenue from
Contracts with Customers (Topic 606), which supersedes the
revenue recognition requirements in Revenue Recognition
(Topic 605). Under the new guidance, an entity should
recognize revenue to depict the transfer of promised goods or
services to customers in an amount that reflects the consideration
to which the entity expects to be entitled in exchange for those
goods or services. In May 2016, ASU 2016-12 amended ASU 2014-09 and
deferred the effective period to December 15, 2017. Management has
concluded that its revenues associated with financial instruments
are scoped out of ASC 606. The adoption of the requirements is not
expected to have a significant impact on the consolidated financial
statements. NOTE 16. CONCENTRATION
OF CREDIT RISK The Company places its cash in an overnight money market account
and, at times, cash and cash equivalents may exceed the Federal
Deposit Insurance Corporation insured limit. In addition, the
Company’s portfolio may be concentrated in a limited number
of portfolio companies or sectors, which will subject the Company
to a risk of significant loss if any of these companies defaults on
its obligations under any of its debt securities that the Company
holds or if those sectors experience a market downturn. NOTE 17. RISKS AND
UNCERTAINTIES The United States capital markets have in the past experienced
periods of extreme volatility and disruption. Disruptions in the
capital markets tend to increase the spread between the yields
realized on risk-free and higher risk securities, resulting in
illiquidity in parts of the capital markets. The Company believes
these conditions may reoccur in the future. A prolonged period of
market illiquidity may have an adverse effect on the
Company’s business, financial condition and results of
operations. Adverse economic conditions could also increase the
Company’s funding costs, limit the Company’s access to
the capital markets or result in a decision by lenders not to
extend credit to the Company. These events could limit the
Company’s investment originations, limit the Company’s
ability to grow and negatively impact the Company’s operating
results. Many of the companies in which the Company has made or will make
investments may be susceptible to adverse economic conditions,
which may affect the ability of a company to repay TICC’s
loans or engage in a liquidity event such as a sale,
recapitalization, or initial public offering. Therefore, the
Company’s nonperforming assets may increase, and the value of
the Company’s portfolio may decrease during this period. Adverse economic conditions also may decrease the value of any
collateral securing some of the Company’s loans and the value
of its equity investments. Adverse economic conditions could lead
to financial losses in the Company’s portfolio and a decrease
in its revenues, net income, and the value of the Company’s
assets. A portfolio company’s failure to satisfy financial or
operating covenants imposed by the Company or other lenders could
lead to defaults and, potentially, termination of the portfolio
company’s loans and foreclosure on its secured assets, which
could trigger cross-defaults under other agreements and jeopardize
the portfolio company’s ability to meet its obligations 49 TICC CAPITAL
CORP. NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS
SEPTEMBER 30, 2017
(unaudited) NOTE 17. RISKS AND
UNCERTAINTIES (continued) under the debt securities that the Company holds. The Company may
incur expenses to the extent necessary to seek recovery upon
default or to negotiate new terms with a defaulting portfolio
company. In addition, if a portfolio company goes bankrupt, even
though the Company may have structured its investment as senior
debt or secured debt, depending on the facts and circumstances,
including the extent to which the Company actually provided
significant managerial assistance, if any, to that portfolio
company, a bankruptcy court might re-characterize the
Company’s debt holding and subordinate all or a portion of
the Company’s claim to that of other creditors. These events
could harm the Company’s financial condition and operating
results. As a BDC, the Company is required to carry its investments at
market value or, if no market value is ascertainable, at fair value
as determined in good faith by or under the direction of its Board
of Directors. Decreases in the market values or fair values of the
Company’s investments are recorded as unrealized
depreciation. Depending on market conditions, the Company could
incur substantial losses in future periods, which could have a
material adverse impact on its business, financial condition and
results of operations. NOTE 18. SUBSEQUENT
EVENTS On October 27, 2017, the Board of Directors declared a distribution
of $0.20 per share for the fourth quarter, payable on December 29,
2017 to shareholders of record as of December 15, 2017. On November 1, 2017, the Convertible Notes matured and were repaid
in full (approximately $94.5 million) in accordance with their
terms. 50 ITEM 2.
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS CAUTIONARY STATEMENT
REGARDING FORWARD-LOOKING STATEMENTS This Quarterly Report on Form 10-Q contains forward-looking
statements that involve substantial risks and uncertainties. These
forward-looking statements are not historical facts, but rather are
based on current expectations, estimates and projections about TICC
Capital Corp., our current and prospective portfolio investments,
our industry, our beliefs, and our assumptions. Words such as
“anticipates,” “expects,”
“intends,” “plans,” “will,”
“may,” “continue,” “believes,”
“seeks,” “estimates,” “would,”
“could,” “should,” “targets,”
“projects,” and variations of these words and similar
expressions are intended to identify forward-looking statements.
The forward-looking statements contained in this Quarterly Report
on Form 10-Q involve risks and uncertainties, including statements
as to: •
our future operating results; •
our business prospects and the prospects of our portfolio
companies; •
the impact of investments that we expect to make; •
our contractual arrangements and relationships with third
parties; •
the dependence of our future success on the general economy and its
impact on the industries in which we invest; •
the ability of our portfolio companies to achieve their
objectives; •
our expected financings and investments; •
the adequacy of our cash resources and working capital; and •
the timing of cash flows, if any, from the operations of our
portfolio companies. •
our regulatory structure and tax treatment, including our ability
to operate as a business development company (“BDC”),
and to continue to qualify to be taxed as a regulated investment
company (“RIC”); •
the ability of our investment adviser to locate suitable
investments for us and to monitor and effectively administer our
investments. These statements are not guarantees of future performance and are
subject to risks, uncertainties, and other factors, some of which
are beyond our control and difficult to predict and could cause
actual results to differ materially from those expressed or
forecasted in the forward-looking statements, including without
limitation: • an
economic downturn could impair our portfolio companies’
ability to continue to operate, which could lead to the loss of
some or all of our investments in such portfolio companies; • a
contraction of available credit and/or an inability to access the
equity markets could impair our lending and investment
activities; •
interest rate volatility could adversely affect our results,
particularly because we use leverage as part of our investment
strategy; •
currency fluctuations could adversely affect the results of our
investments in foreign companies, particularly to the extent that
we receive payments denominated in foreign currency rather than
U.S. dollars; and •
the risks, uncertainties and other factors we identify in
Item 1A. — Risk
Factors contained in our Annual Report on Form 10-K for the
year ended December 31, 2016, elsewhere in this Quarterly Report on
Form 10-Q and in our other filings with the SEC. 51 Although we believe that the assumptions on which these
forward-looking statements are based are reasonable, any of those
assumptions could prove to be inaccurate, and as a result, the
forward-looking statements based on those assumptions also could be
inaccurate. Important assumptions include our ability to originate
new loans and investments, certain margins and levels of
profitability and the availability of additional capital. In light
of these and other uncertainties, the inclusion of a projection or
forward-looking statement in this Quarterly Report on Form 10-Q
should not be regarded as a representation by us that our plans and
objectives will be achieved. These risks and uncertainties include
those described or identified in Item 1A. — Risk
Factors contained in our Annual Report on Form 10-K for the
year ended December 31, 2016, and elsewhere in this Quarterly
Report on Form 10-Q. You should not place undue reliance on these
forward-looking statements, which apply only as of the date of this
Quarterly Report on Form 10-Q. Except where the
context requires otherwise, the terms “TICC,”
“Company,” “we,” “us” and
“our” refer to TICC Capital Corp. together with its
subsidiary, TICC CLO 2012-1 LLC (“2012 Securitization
Issuer” or “TICC CLO 2012-1”); “TICC
Management” refers to TICC Management, LLC; and “BDC
Partners” refers to BDC Partners, LLC. The following analysis of our financial condition and results of
operations should be read in conjunction with our financial
statements and the related notes thereto contained elsewhere in
this Quarterly Report on Form 10-Q. 52 OVERVIEW Our investment objective is to maximize our portfolio’s total
return. Our primary current focus is to seek an attractive
risk-adjusted total return by investing primarily in corporate debt
securities and in collateralized loan obligation
(“CLO”) structured finance investments that own
corporate debt securities. CLO investments may also include
warehouse facilities, which are financing structures intended to
aggregate loans that may be used to form the basis of a CLO
vehicle. We operate as a closed-end, non-diversified management
investment company and have elected to be regulated as a business
development company (“BDC”) under the Investment
Company Act of 1940, as amended (the “1940 Act”). We
have elected to be treated for tax purposes as a regulated
investment company (“RIC”), under the Internal Revenue
Code of 1986, as amended (the “Code”), beginning with
our 2003 taxable year. Our investment activities are managed by TICC Management, LLC
(“TICC Management”), a registered investment adviser
under the Investment Advisers Act of 1940, as amended. TICC
Management is owned by BDC Partners, LLC (“BDC
Partners”), its managing member and a related party, and
Charles M. Royce, a member of our Board of Directors who holds a
minority, non-controlling interest in TICC Management. Jonathan H.
Cohen, our Chief Executive Officer, and Saul B. Rosenthal, our
President and Chief Operating Officer, are the controlling members
of BDC Partners. Under an investment advisory agreement (the
“Investment Advisory Agreement”), we have agreed to pay
TICC Management an annual base fee calculated on gross assets, and
an incentive fee based upon our performance. Under an amended and
restated administration agreement (the “Administration
Agreement”), we have agreed to pay or reimburse BDC Partners,
as administrator, for certain expenses incurred in operating TICC.
Our executive officers and directors, and the executive officers of
TICC Management and BDC Partners, serve or may serve as officers
and directors of entities that operate in a line of business
similar to our own. Accordingly, they may have obligations to
investors in those entities, the fulfillment of which might not be
in the best interests of us or our stockholders. We generally expect to invest between $5 million and $50 million in
each of our portfolio companies, although this investment size may
vary proportionately as the size of our capital base changes and
market conditions warrant, and accrue interest at fixed or variable
rates. We expect that our investment portfolio will be diversified
among a large number of investments with few investments, if any,
exceeding 5.0% of the total portfolio. As of September 30, 2017,
our debt investments had stated interest rates of between 4.75% and
15.00% and maturity dates of between 15 and 112 months. In
addition, our total portfolio had a weighted average annualized
yield on debt investments of approximately 9.5%. The weighted average yield and the weighted average annualized yield of our debt investments is not the same
as a return on investment for our stockholders but, rather, relates
to a portion of our investment portfolio and is calculated before
the payment of all of our fees and expenses. The weighted average
yield was computed using the effective interest rates as of
September 30, 2017, including accretion of original issue discount
(“OID”). There can be no assurance that the weighted
average yield will remain at its current level. We have historically borrowed funds to make investments and may
continue to borrow funds to make investments. As a result, we are
exposed to the risks of leverage, which may be considered a
speculative investment technique. Borrowings, also known as
leverage, magnify the potential for gain and loss on amounts
invested and therefore increase the risks associated with investing
in our securities. In addition, the costs associated with our
borrowings, including any increase in the management fee payable to
TICC Management, will be borne by our common stockholders. In addition, as a BDC, we are required to make available
significant managerial assistance, for which we may receive fees,
to our portfolio companies. These fees would be generally
non-recurring, however in some instances they may have a recurring
component. We have received no fee income for managerial assistance
to date. Prior to making an investment, we may enter into a non-binding term
sheet with the potential portfolio company. These term sheets are
generally subject to a number of conditions, including but not
limited to the satisfactory completion of our due diligence
investigations of the company’s business and legal
documentation for the loan. To the extent possible, we will generally seek to invest in loans
that are collateralized by a security interest in the
borrower’s assets or guaranteed by a principal to the
transaction. Interest payments, if not deferred, are normally
payable quarterly with most debt investments having scheduled
principal payments on a monthly or quarterly basis. When we receive
a warrant to purchase stock in a portfolio company, the warrant
will typically have a nominal strike price, and will entitle us to
purchase a modest percentage of the borrower’s stock. 53 CRITICAL ACCOUNTING
POLICIES The preparation of consolidated financial statements and related
disclosures in conformity with generally accepted accounting
principles in the United States (“GAAP”) requires
management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, disclosure of
contingent assets and liabilities at the date of the consolidated
financial statements, and revenues and expenses during the periods
reported. Actual results could materially differ from those
estimates. We have identified investment valuation and investment
income as critical accounting policies. Investment
Valuation We fair value our investment portfolio in accordance with the
provisions of ASC 820, Fair Value
Measurement and Disclosure. Estimates made in the
preparation of our consolidated financial statements include the
valuation of investments and the related amounts of unrealized
appreciation and depreciation of investments recorded. We believe
that there is no single definitive method for determining fair
value in good faith. As a result, determining fair value requires
that judgment be applied to the specific facts and circumstances of
each portfolio investment while employing a consistently applied
valuation process for the types of investments we make. ASC 820-10 clarified the definition of fair value and requires
companies to expand their disclosure about the use of fair value to
measure assets and liabilities in interim and annual periods
subsequent to initial recognition. ASC 820-10 defines fair value as
the price that would be received to sell an asset or paid to
transfer a liability in an orderly transaction between market
participants at the measurement date. ASC 820-10 also establishes a
three-tier fair value hierarchy, which prioritizes the inputs used
in measuring fair value. These tiers include: Level 1, defined as
observable inputs such as quoted prices in active markets; Level 2,
which includes inputs such as quoted prices for similar securities
in active markets and quoted prices for identical securities in
markets that are not active; and Level 3, defined as unobservable
inputs for which little or no market data exists, therefore
requiring an entity to develop its own assumptions. We consider the
attributes of current market conditions on an ongoing basis and
have determined that due to the general illiquidity of the market
for our investment portfolio, whereby little or no market data
exists, all of our investments are based upon “Level 3”
inputs as of September 30, 2017. Our Board of Directors determines the value of our investment
portfolio each quarter. In connection with that determination,
members of TICC Management’s portfolio management team
prepare a quarterly analysis of each portfolio investment using the
most recent portfolio company financial statements, forecasts and
other relevant financial and operational information. Since March
2004, we have engaged third-party valuation firms to provide
assistance in valuing certain of its syndicated loans and bilateral
investments, including related equity investments, although our
Board of Directors ultimately determines the appropriate valuation
of each such investment. Changes in fair value, as described above,
are recorded in the statement of operations as net change in
unrealized appreciation/(depreciation). Syndicated Loans In accordance with ASC 820-10, our valuation procedures
specifically provide for the review of indicative quotes supplied
by the large agent banks that make a market for each security.
However, the marketplace from which we obtain indicative bid quotes
for purposes of determining the fair value of its syndicated loan
investments has shown attributes of illiquidity as described by
ASC-820-10. During such periods of illiquidity, when we believe
that the non-binding indicative bids received from agent banks for
certain syndicated investments that it owns may not be
determinative of their fair value or when no market indicative
quote is available, we may engage third-party valuation firms to
provide assistance in valuing certain syndicated investments that
we own. In addition, TICC Management prepares an analysis of each
syndicated loan, financial summary, covenant compliance review,
recent trading activity in the security, if known, and other
business developments related to the portfolio company. All
available information, including non-binding indicative bids which
may not be determinative of fair value, is presented to the
Valuation Committee to consider in its determination of fair value.
In some instances, there may be limited trading activity in a
security even though the market for the security is considered not
active. In such cases the Valuation Committee will consider the
number of trades, the size and timing of each trade, and other
circumstances around such trades, to the extent such information is
available, in its determination of fair value. The Valuation
Committee will evaluate the impact of such additional information,
and factor it into its consideration of the fair value that is
indicated by the analysis provided by third-party valuation firms,
if any. 54 Collateralized Loan Obligations — Debt and Equity We have acquired a number of debt and equity positions in CLO
investment vehicles and CLO warehouse investments. These
investments are special purpose financing vehicles. In valuing such
investments, we consider the indicative prices provided by a
recognized industry pricing service as a primary source, and the
implied yield of such prices, supplemented by actual trades
executed in the market at or around period-end, as well as the
indicative prices provided by the broker who arranges transactions
in such investment vehicles. We also consider those instances in
which the record date for an equity distribution payment falls on
the last day of the period, and the likelihood that a prospective
purchaser would require a downward adjustment to the indicative
price representing substantially all of the pending distribution.
Additional factors include any available information on other
relevant transactions including firm bids and offers in the market
and information resulting from bids-wanted-in-competition. In
addition, we consider the operating metrics of the specific
investment vehicle, including compliance with collateralization
tests, defaulted and restructured securities, and payment defaults,
if any. TICC Management or the Valuation Committee may request an
additional analysis by a third-party firm to assist in the
valuation process of CLO investment vehicles. All information is
presented to our Board of Directors for its determination of fair
value of these investments. Bilateral Investments (Including Equity) Bilateral investments for which market quotations are readily
available are valued by an independent pricing agent or market
maker. If such market quotations are not readily available, under
the valuation procedures approved by our Board of Directors, upon
the recommendation of the Valuation Committee, a third-party
valuation firm will prepare valuations for each of our bilateral
investments that, when combined with all other investments in the
same portfolio company, (i) have a value as of the previous quarter
of greater than or equal to 2.5% of its total assets as of the
previous quarter, and (ii) have a value as of the current quarter
of greater than or equal to 2.5% of its total assets as of the
previous quarter, after taking into account any repayment of
principal during the current quarter. In addition, in those
instances where a third-party valuation is prepared for a portfolio
investment which meets the parameters noted in (i) and (ii) above,
the frequency of those third-party valuations is based upon the
grade assigned to each such security under its credit grading
system as follows: Grade 1, at least annually; Grade 2, at least
semi-annually; Grades 3, 4, and 5, at least quarterly. Bilateral
investments which do not meet the parameters in (i) and (ii) above
are not required to have a third-party valuation and, in those
instances, a valuation analysis will be prepared by TICC
Management. TICC Management also retains the authority to seek, on
our behalf, additional third party valuations with respect to our
bilateral portfolio securities, our syndicated loan investments,
and CLO investment vehicles. Our Board of Directors retain ultimate
authority as to the third-party review cycle as well as the
appropriate valuation of each investment. Refer to “Note 4. Fair Value” in our consolidated
financial statements for more information on investment valuation
and our portfolio of investments. Investment
Income Interest Income Interest income is recorded on an accrual basis using the
contractual rate applicable to each debt investment and includes
the accretion of market discounts and/or OID and amortization of
market premiums. Discounts from and premiums to par value on
securities purchased are accreted/amortized into interest income
over the life of the respective security using the effective yield
method. The amortized cost of investments represents the original
cost adjusted for the accretion of discounts and amortization of
premiums, if any. Generally, when interest and/or principal payments on a loan become
past due, or if we otherwise do not expect the borrower to be able
to service its debt and other obligations, we will place the loan
on non-accrual status and will generally cease recognizing interest
income on that loan for financial reporting purposes until all
principal and interest have been brought current through payment or
due to restructuring such that the interest income is deemed to be
collectible. We generally restore non-accrual loans to accrual
status when past due principal and interest is paid and, in our
judgment, is likely to remain current. As of September 30, 2017 and
December 31, 2016, we had no investments on non-accrual status. Interest income also includes a payment-in-kind (“PIK”)
provision on certain investments in our portfolio. See the section
below, “Payment-In-Kind,” for a description of the PIK
provision and its impact on interest income. 55 Payment-In-Kind We have investments in our portfolio which contain a contractual
PIK provision. Certain PIK investments offer issuers the option at
each payment date of making payments in cash or additional
securities. PIK interest computed at the contractual rate is
accrued into income and added to the principal balance on the
capitalization date. Upon capitalization, PIK investments are
subject to the fair value estimates associated with their
respective related investments. A PIK investment on non-accrual
status is restored to accrual status once it becomes probable that
PIK will be realized. To qualify for tax treatment as a RIC, this
income must be paid out to stockholders in the form of
distributions, even though we have not collected any cash. Amounts
necessary to pay these distributions may come from available cash
or the liquidation of certain investments. Income from Securitization Vehicles and Equity
Investments Income from investments in the equity class securities of CLO
vehicles (typically income notes or subordinated notes) is recorded
using the effective interest method in accordance with the
provisions of ASC 325-40, based upon an effective yield to the
expected redemption utilizing estimated cash flows, including those
CLO equity investments that have not made their inaugural
distribution for the relevant period end. We monitor the expected
residual payments, and effective yield is determined and updated
periodically, as needed. Accordingly, investment income recognized
on CLO equity securities in the GAAP statement of operations
differs from both the tax-basis investment income and from the cash
distributions actually received by us during the period. Commitment, Amendment Fee Income and Other Income Commitment, amendment fee income and other income includes
prepayment, amendment, and other fees earned by our loan
investments, distributions from fee letters and success fees
associated with portfolio investments. Distributions from fee
letters are an enhancement to the return on a CLO equity investment
and are based upon a percentage of the collateral manager’s
fees, and are recorded as other income when earned. We may also
earn success fees associated with our investments in certain
securitization vehicles or “CLO warehouse facilities,”
which are contingent upon a repayment of the warehouse by a
permanent CLO securitization structure; such fees are earned and
recognized when the repayment is completed. Recently Issued
Accounting Standards Refer to “Note 15. Recent Accounting Pronouncements” in
our consolidated financial statements for a description of recent
accounting pronouncements, including the impact on our consolidated
financial statements. 56 PORTFOLIO COMPOSITION
AND INVESTMENT ACTIVITY The total fair value of our investment portfolio was approximately
$421.7 million and $589.9 million as of September 30, 2017 and
December 31, 2016, respectively. The decrease in the value of
investments during the nine month period ended September 30, 2017
was due primarily to debt repayments and sales of securities
totaling approximately $313.1 million and realized losses of
approximately $6.0 million, partially offset by purchases of
investments of approximately $168.1 million and net unrealized
appreciation on our investment portfolio of approximately $13.2
million (which incorporates reductions to CLO equity cost value of
$31.3 million). Refer to the table below, which reconciles the
investment portfolio for the nine months ended September 30, 2017
and the year ended December 31, 2016. During the quarter ended September 30, 2017, we closed
approximately $31.2 million in portfolio investments, including
additional investments of approximately $12.1 million in existing
portfolio companies and approximately $19.1 million in new
portfolio companies. For the year ended December 31, 2016, we
closed approximately $171.6 million in portfolio investments,
including additional investments of approximately $71.3 million in
existing portfolio companies and approximately $100.3 million in
new portfolio companies. In certain instances, we receive payments based on scheduled
amortization of the outstanding balances and sales of portfolio
investments. In addition, we receive repayments of some of our debt
investments prior to their scheduled maturity date. The frequency
or volume of these repayments may fluctuate significantly from
period to period. For the quarter ended September 30, 2017, we recorded sales of
securities of approximately $12.5 million and for the year ended
December 31, 2016, we recorded sales of securities of approximately
$176.8 million. Also, during the quarter ended September 30, 2017,
we had repayments and amortization of principal payments of
approximately $50.3 million and for the year ended December 31,
2016, we had repayments and amortization of principal payments of
approximately $115.1 million. As of September 30, 2017, we had investments in debt securities of,
or loans to, 21 portfolio companies, with a fair value of
approximately $236.4 million, and equity investments of
approximately $185.3 million. These debt investments included
approximately $0.2 million in capitalized PIK interest, which, as
described in “— Overview” above, is added to the
carrying value of our investments, reduced by repayments of
principal. As of December 31, 2016, we had investments in debt securities of,
or loans to, 30 portfolio companies, with a fair value of
approximately $376.4 million, and equity investments of
approximately $213.5 million. These debt investments included
approximately $0.3 million in capitalized PIK interest. A reconciliation of the investment portfolio for the nine months
ended September 30, 2017 and the year ended December 31, 2016
follows: ($ in millions)

September 30, 2017

December 31, 2016Beginning investment portfolio

$
589.9


$
656.7Portfolio investments acquired


168.1



171.6Debt repayments


(159.0
)


(115.1
)Sales of securities


(154.1
)


(176.8
)Reductions to CLO equity cost value(1)


(31.3
)


(34.2
)Payment in kind(2)


0.1



0.3Accretion of discounts on investments


0.8



1.1Net unrealized appreciation


13.2



100.6Net realized losses


(6.0
)


(14.3
)Ending investment portfolio

$
421.7


$
589.9 ____________ (1) For the nine
months ended September 30, 2017, reduction to cost value on our CLO
equity investments represents the difference between distributions
received, or entitled to be received for the nine months ended
September 30, 2017, of approximately $57.4 million and the
effective yield interest income of approximately $26.1 million. For
the year ended December 31, 2016, reduction to cost value on our
CLO equity investments represents the difference between
distributions received, or entitled to be received for the year
ended December 31, 2016, of approximately $66.7 million and the
effective yield interest income of approximately $32.5 million. (2) Includes
rounding adjustment to reconcile ending investment portfolio at
September 30, 2017 and December 31, 2016. 57 The following table indicates the quarterly portfolio investment
activity for the past seven quarters: ($ in millions)

New
Investments

Debt
Repayments

Reductions to
CLO Equity
Cost(1)

Sales of
SecuritiesQuarter endedSeptember 30, 2017

$
31.2

$
50.3

$
3.2

$
12.5June 30, 2017


89.3


57.1


16.1


60.4March 31, 2017


47.6


51.6


12.1


81.2Total(2)

$
168.1

$
159.0

$
31.3

$
154.1December 31, 2016

$
27.0

$
1.9

$
3.9

$
51.6September 31, 2016


58.4


50.5


9.4


74.7June 30, 2016


73.4


60.0


9.5


36.0March 31, 2016


12.8


2.7


11.4


14.5Total(2)

$
171.6

$
115.1

$
34.2

$
176.8 ____________ (1) Represents
reductions to CLO equity cost value (representing distributions
received, or entitled to be received, in excess of interest
income). (2)  
Totals may not sum due to rounding The following table shows the fair value of our portfolio of
investments by asset class as of September 30, 2017 and December
31, 2016: ($ in millions)

September 30, 2017

December 31, 2016Investments at
Fair Value(1)

Percentage of
Total Portfolio(1)

Investments at
Fair Value

Percentage of
Total PortfolioSenior Secured Notes

$
231.1

54.7
%

$
373.0

63.2
%Subordinated Debt


0.8

0.2
%


0.7

0.1
%CLO Debt


4.5

1.1
%


2.7

0.5
%CLO Equity


173.6

41.2
%


200.8

34.0
%Equity and Other Investments


11.8

2.8
%


12.7

2.2
%Total(1)

$
421.7

100.0
%

$
589.9

100.0
% ____________ (1) Total may
not sum due to rounding. Qualifying assets must represent at least 70% of the
Company’s total assets at the time of acquisition of any
additional non-qualifying assets. As of September 30, 2017, we held
qualifying assets that represented 67.3% of our total assets. 58 The following table shows our portfolio of investments by industry
at fair value, as of September 30, 2017 and December 31, 2016: September 30, 2017

December 31, 2016Investments at
Fair Value

Percentage of
Fair Value

Investments at
Fair Value

Percentage of
Fair Value($ in millions)





($ in millions)Structured finance(1)

$
178.0

42.1
%

$
203.5

34.5%Telecommunication services


57.3

13.6
%


96.7

16.4%Business services


52.9

12.5
%


80.3

13.6%Software


24.7

5.9
%


18.7

3.2%Consumer services


18.8

4.5
%


16.9

2.9%IT consulting


15.2

3.6
%


11.6

2.0%Diversified insurance


15.2

3.6
%


15.1

2.5%Financial intermediaries


13.5

3.2
%


47.0

8.0%Healthcare


12.9

3.1
%


—

0.0%Printing and publishing


12.8

3.0
%


62.9

10.7%Logistics


10.5

2.5
%


10.6

1.8%Aerospace and defense


5.4

1.3
%


5.5

0.9%Education


4.5

1.1
%


4.3

0.7%Travel


—

—



8.9

1.5%Computer hardware


—

—



7.9

1.3%Total

$
421.7

100.0
%

$
589.9

100.0% ____________ (1) Reflects our
debt and equity investments in CLOs as of September 30, 2017 and
December 31, 2016, respectively.  PORTFOLIO
GRADING We
have adopted a credit grading system to monitor the quality of our debt investment portfolio. As of September 30, 2017 and December
31, 2016, our portfolio had a weighted average grade of 2.2 and 2.2, respectively, based upon the fair value of the debt investments
in the portfolio. Equity securities and investments in CLOs are not graded. As of September 30, 2017 and December 31, 2016, our debt investment
portfolio was graded as follows: Grade

Summary
Description

September
30, 2017PrincipalValue

Percentage
ofTotal Portfolio

Portfolio
                                         atFair Value(1)

Percentage
ofTotal Portfolio($ in millions)





($ in millions)1

Company
is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and such trend is expected
to continue.

$
—

—


$
—

—2

Full
repayment of the outstanding amount of TICC’s cost basis and interest is expected for the specific tranche.


193.9

79.3
%


190.7

80.7
%3

Closer
monitoring is required. Full repayment of the outstanding amount of TICC’s cost basis and interest is expected for the specific
tranche


50.5

20.7
%


45.6

19.3
%4

A
loss of interest income has occurred or is expected to occur and in most cases, the investment is placed on non-accrual status.
Full repayment of the outstanding amount of TICC’s cost basis is expected for the specific tranche.


—

—



—

—5

Full
repayment of the outstanding amount of TICC’s cost basis is not expected for the specific tranche and the investment is
placed on non-accrual status.


—

—



—

—$
244.4

100.0
%

$
236.4

100.0
% ____________ (1)
Totals may not sum due to rounding. 59 Grade

Summary
Description

December
31, 2016Principal
Value

Percentage
of
Total Portfolio

Portfolio
at
Fair Value

Percentage
of
Total Portfolio($
                                               in millions)





($ in millions)1

Company
is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and such trend is expected
to continue.

$
—

—


$
—

—2

Full
repayment of the outstanding amount of TICC’s cost basis and interest is expected, for the specific tranche.


309.7

78.3
%


301.9

80.2
%3

Closer
monitoring is required. Full repayment of the outstanding amount of TICC’s cost basis and interest is expected for the specific
tranche.


85.8

21.7
%


74.5

19.8
%4

A
loss of interest income has occurred or is expected to occur and, in most cases, the investment is placed on non-accrual status.
Full repayment of the outstanding amount of TICC’s cost basis is expected for the specific tranche.


—

—



—

—5

Full
repayment of the outstanding amount of TICC’s cost basis is not expected for the specific tranche and the investment is
placed on non-accrual status.


—

—



—

—$
395.5

100.0
%

$
376.4

100.0
% We expect that a portion of our investments will be in the grades
3, 4 or 5 categories from time to time, and, as such, we will be
required to work with troubled portfolio companies to improve their
business and protect our investment. The number and amount of
investments included in grades 3, 4 or 5 may fluctuate from period
to period. Refer to our consolidated financial statements for more
information on our investment portfolio. 60 RESULTS OF
OPERATIONS Set forth below is a comparison of our results of operations for
the three and nine months ended September 30, 2017 to the three and
nine months ended September 30, 2016. Investment
Income Investment income for the three months ended September 30, 2017 and
September 30, 2016 was approximately $14.5 million and $18.1
million, respectively. Investment income for the nine months ended
September 30, 2017 and September 30, 2016, was approximately $48.0
million and $50.4 million, respectively. The following tables set
forth the components of investment income for the three and nine
months ended September 30, 2017 and September 30, 2016: Three Months
Ended
September 30,
2017

Three Months
Ended
September 30,
2016

Nine Months
Ended
September 30,
2017

Nine Months
Ended
September 30,
2016Interest incomeStated interest income

$
5,091,751

$
8,251,446

$
18,337,423

$
25,231,480Original issue discount and market discount
income


244,751


344,332


827,746


801,621Payment-in-kind income


59,446


55,898


173,347


163,922Discount income derived from unscheduled
remittances at par


8,460


3,154


37,737


20,574Total interest income

$
5,404,408

$
8,654,830

$
19,376,253

$
26,217,597Income from securitization vehicles

$
8,086,059

$
8,635,834

$
26,081,676

$
22,538,250Commitment, amendment and other fee
incomeFee letters

$
314,007

$
339,005

$
1,051,207

$
1,014,785Loan prepayment and bond call fees


300,000


330,000


570,212


358,381All other fees


393,223


136,123


895,982


281,788Total commitment, amendment and other fee
income

$
1,007,230

$
805,128

$
2,517,401

$
1,654,954Total
investment income

$
14,497,697

$
18,095,792

$
47,975,330

$
50,410,801 Total
investment income for the three months ended September 30, 2017 reflected a decrease of approximately $3.6 million. That decrease
was comprised of lower interest income of approximately $3.3 million which was largely attributable to a smaller corporate loan
portfolio due to loan sale activity. Income from securitization vehicles reflected a decrease of approximately $0.5 million which
was partially offset by an increase in commitment, amendment and other fee income of $0.2 million. Total investment income for the nine months ended September 30, 2017 reflected a decrease of approximately
$2.4 million. That decrease was comprised of lower interest income of approximately $6.8 million which was largely attributable
to a smaller corporate loan portfolio due to loan sale activity. Total principal outstanding on income producing debt investments
as of September 30, 2017 and September 30, 2016 were approximately $244.4 million and $416.6 million, respectively. The decrease
in interest income was partially offset by an increase in income from securitization vehicles of approximately $3.5 million due
largely to an increased weighted average effective yield on our CLO equity portfolio. As of September 30, 2017, our debt investments had stated interest
rates of between 4.75% and 15.00% and maturity dates between 15 and
112 months compared to stated interest rates of 4.75% to 15.00% and
maturity dates between 24 and 104 months as of September 30, 2016.
In addition, our total debt portfolio had a weighted average yield
on debt investments of approximately 9.5% as of September 30, 2017,
compared to approximately 8.0% as of September 30, 2016. The
increase in the weighted average yield on our debt portfolio over
the past twelve months is primarily due to our ongoing strategy of
rotating the corporate loan portfolio into higher-yielding, less
liquid loans. 61 Operating
Expenses Total operating expenses for the three months ended September 30,
2017 and September 30, 2016 were approximately $7.7 million and
$11.6 million, respectively. Total operating expenses for the nine
months ended September 30, 2017 and September 30, 2016 were
approximately $24.9 million and $33.0 million, respectively. The decreases during those
periods were largely attributable to lower professional fees, base
management fees, and general and administrative expenses. Expenses before net investment income incentive fees for the three
months ended September 30, 2017 and September 30, 2016 were
approximately $7.2 million and $11.1 million, respectively.
Operating expenses before incentive fees for the nine months ended
September 30, 2017 and September 30, 2016 were approximately $22.0
million and $31.4 million, respectively. The decreases during those
periods were largely attributable to lower professional fees, base
management fees, and general and administrative expenses. The investment advisory base management fee for the three months
ended September 30, 2017 and September 30, 2016 was approximately
$2.0 million and $2.6 million, respectively. The investment
advisory base management fee for the nine months ended September
30, 2017 and September 30, 2016 was approximately $6.5 million and
$8.7 million, respectively. Those decreases were due largely to the
previously announced fee reduction from 2.00% to 1.50% of gross
assets (refer to “Incentive Fees,” below, for
discussion of ongoing fee waivers), as well as a decline in the
weighted average gross assets due to the sale of certain assets to
fund the voluntary partial repayment of the TICC CLO 2012-1 LLC
class A-1 notes and partial repurchase of outstanding shares of
Convertible Notes (refer to the discussion in the Liquidity and
Capital Resources section below). At September 30, 2017 and
December 31, 2016, approximately $2.0 million and $2.5 million,
respectively, of investment advisory base management fees remained
payable to TICC Management. Interest expenses for the three months ended September 30, 2017 and
September 30, 2016 were approximately $3.7 million and $4.4
million, respectively. The decrease in interest expense is due
primarily to lower weighted average debt outstanding over the three
month period. Interest expenses for the nine months ended September
30, 2017 and September 30, 2016 were approximately $11.1 million
and $13.2 million, respectively. The decrease over the nine month
period was primarily driven by the lower weighted average debt
outstanding due to the previously stated note repayment and
repurchases. The aggregate accrued interest which remained payable
at September 30, 2017 and December 31, 2016 was approximately $3.0
million and $1.7 million, respectively. Professional fees, consisting of legal, financial advisory,
valuation, audit and tax fees, were approximately $0.7 million and
$2.2 million for the three months ended September 30, 2017 and
September 30, 2016, respectively. Professional fees were
approximately $2.1 million and $5.4 million for the nine months
ended September 30, 2017 and September 30, 2016, respectively.
Those decreases in professional fees are primarily attributable to
the discontinuation of services related to the engagement of legal
and financial advisors. Compensation expenses for the three months ended September 30, 2017
and September 30, 2016 were approximately $0.2 million, reflecting
the allocation of compensation expenses for the services of our
chief financial officer, accounting personnel, and other
administrative support staff. Compensation expenses for the nine
months ended September 30, 2017 and September 30, 2016 were $0.7
million and $0.6 million, respectively. At September 30, 2017 and
December 31, 2016, respectively, approximately $66,000 and $0 of
compensation expense remained payable. General and administrative expenses, consisting primarily of
directors’ fees, insurance, listing fees, transfer agent and
custodian fees, office supplies, facilities costs and other
expenses, were approximately $0.5 million and $1.7 million for the
three and nine months ended September 30, 2017, compared to
approximately $1.7 million and $3.4 million for the three and nine
months ended September 30, 2016. Office supplies, facilities costs
and other expenses are allocated to the Company under the terms of
the Administration Agreement. Incentive
Fees The net investment income incentive fee recorded for the three and
nine months ended September 30, 2017 was approximately $0.6 million
and $2.8 million, respectively, compared to approximately $0.4
million and $1.7 million for both the three and nine months ended
September 30, 2016. 62 The net investment income incentive fee is calculated and payable
quarterly in arrears based on the amount by which (x) the
“Pre-Incentive Fee Net Investment Income” for the
immediately preceding calendar quarter exceeds (y) the
“Preferred Return Amount” for calendar quarter (see
“Note 8. Related Party Transactions” in the notes to
our consolidated financial statements). For this purpose,
“Pre-Incentive Fee Net Investment Income” means
interest income, dividend income and any other income accrued
during the calendar quarter minus our operating expenses for the
quarter (including the base fee, expenses payable under the
Administration Agreement with BDC Partners, and any interest
expense and dividends paid on any issued and outstanding preferred
stock, but excluding the incentive fee). The capital gains incentive fee expense, as reported under GAAP, is
calculated on the basis of net realized and unrealized gains and
losses at the end of each period. The expense related to the
hypothetical liquidation of the portfolio (and assuming no other
changes in realized or unrealized gains and losses) would only
become payable to TICC Management in the event of a complete
liquidation of our portfolio as of period end and the termination
of the Investment Advisory Agreement on such date. For the three
and nine months ended September 30, 2017 and September 30, 2016, no
accrual was required as a result of the impact of accumulated net
unrealized depreciation and net realized losses on our
portfolio. The actual amount of the capital gains incentive fee which will be
payable is determined in accordance with the terms of the
Investment Advisory Agreement and is calculated as of the end of
each calendar year (or upon termination of the Investment Advisory
Agreement). The terms of the Investment Advisory Agreement state
that the capital gains incentive fee calculation is based on net
realized gains, if any, offset by gross unrealized depreciation for
the calendar year. No effect is given to gross unrealized
appreciation in this calculation. For the three and nine months
ended September 30, 2017 and September 30, 2016, such an accrual
was not required under the terms of the Investment Advisory
Agreement. Realized and Unrealized
Gains/Losses on Investments For the three months ended September 30, 2017, we recognized net
realized losses on investments of approximately $1.1 million. For
the nine months ended September 30, 2017, we recognized net
realized losses on investments of approximately $6.0 million, which
primarily reflects the losses from the sale of CLO equity
investments, partially offset by the gains realized from the sale
and repayment of certain senior secured notes. Based upon the fair value determinations made in good faith by the
Board of Directors, for the three months ended September 30, 2017,
our net change in unrealized appreciation/(depreciation) was
approximately $2.6 million, primarily due to improvements in the
corporate loan market, composed of $7.8 million in gross unrealized
appreciation, $6.9 million in gross unrealized depreciation and
approximately $1.7 million relating to the reversal of prior period
net unrealized depreciation as investment gains and losses were
realized. The net change in unrealized appreciation includes net unrealized appreciation of
approximately $3.2 million as a result of reductions to the cost
value of our CLO equity investments under the effective yield
accounting methodology, whereby the cost value of the respective
investments are reduced by the excess of actual cash received (and
record date distributions to be received) over the calculated income
using the effective yield. The most significant components of the net change in unrealized
appreciation and depreciation during the three months ended
September 30, 2017 were as follows (in millions): Portfolio Company

Change in
Unrealized
Appreciation/
(Depreciation)Birch Communications, Inc.


3.0Ares XXIX CLO Ltd.

$
2.3Net all other(1)


(2.7
)Total

$
2.6 ____________ (1) Unrealized
gains and losses of less than $1.0 million have been combined. Based upon the fair value determinations made in good faith by the
Board of Directors, during the nine months ended September 30,
2017, we had net change in unrealized appreciation/(depreciation)
of $13.2 million, composed of $10.4 million in gross unrealized
appreciation, $12.0 million in gross unrealized depreciation and
approximately $14.8 million relating to the reversal of prior period
net unrealized depreciation as investment gains and losses were
realized. The net change in unrealized appreciation 63 includes net unrealized appreciation of approximately $31.3 million as a result of
reductions to the cost value of our CLO equity investments under
the effective yield accounting methodology, whereby the cost value
of the respective investments are reduced by the excess of actual
cash received (and record date distributions to be received) over
the calculated income using the effective yield. The most significant components of the net change in unrealized
appreciation and depreciation during the nine months ended
September 30, 2017 were as follows (in millions): Portfolio
                                         Company

Change
                                         inUnrealizedAppreciation/(Depreciation)Source
                                         Hov, LLC

$
6.2Mountain
                                         Hawk III CLO, Ltd.


3.6Shackleton
                                         2013-IV CLO, Ltd.


3.5Benefit
                                         Street 2013 CLO Equity


2.8Aricent
                                         Technologies, Inc.


2.0Ares XXIX CLO Ltd.


1.5Marea
                                         CLO Equity


1.3Halcyon
                                         Loan Advisors Funding 2012-4 Ltd.


1.3Ares XXV CLO Ltd.


1.1Windriver
                                         2012-1 CLO Equity, Ltd.


(1.1
    )York
                                         2014-1A CLO Equity


(1.3
    )KVK
                                         CLO 2013-2, Ltd.


(1.6
    )Electric
                                         Lightwave Holdings, Inc. (F/K/A “Integra Telecom Holdings, Inc.”)


(2.4
    )Net
                                         all other(1)


(3.7
    )Total

$
13.2 ____________ (1) Unrealized
gains and losses of less than $1.0 million have been combined. Realized loss on
extinguishment of debt On August 25, 2016, November 25, 2016, February 27, 2017, and May
25, 2017, the 2012 Securitization Issuer repaid approximately $36.0
million, approximately $74.7 million, approximately $24.5 million,
and approximately $31.4 million of the Class A-1 notes,
respectively. On August 25, 2017, the 2012 Securitization Issuer
repaid in full the remaining secured notes (Classes A-1, B-1, C-1
and D-1) outstanding of approximately $73.4 million. In connection with the August 25, 2016 repayment of approximately
$36.0 million of the Class A-1 notes, the Company incurred debt
extinguishment costs of approximately $648,000, which consisted of
approximately $287,000 in accelerated note discount expense and
approximately $361,000 in accelerated deferred debt issuance costs.
In connection with the November 25, 2016 repayment of approximately
$74.7 million of the Class A-1 notes, the Company incurred debt
extinguishment costs of approximately $1,296,000, which consisted
of approximately $574,000 in accelerated note discount expense and
approximately $722,000 in accelerated deferred debt issuance costs.
In connection with the February 27, 2017 repayment of approximately
$24.5 million of the Class A-1 notes, the Company incurred debt
extinguishment costs of approximately $409,000, which consisted of
approximately $181,000 in accelerated note discount expense and
approximately $228,000 in accelerated deferred debt issuance costs.
In connection with the May 25, 2017 repayment of approximately
$31.4 million of the Class A-1 notes, the Company incurred debt
extinguishment costs of approximately $505,000, which consisted of
approximately $224,000 in accelerated note discount expense and
approximately $281,000 in accelerated deferred debt issuance costs.
In connection with the August 25, 2017 repayment of approximately
$73.4 million of the Class A-1, B-1, C-1 and D-1 notes, the Company
incurred debt extinguishment costs of approximately $2.2 million,
which consisted of approximately $1.6 million in accelerated note
discount expense and approximately $0.6 million in accelerated
deferred debt issuance costs. The debt extinguishment costs in
connection with the August 25, 2016, November 25, 2016, February
27, 2017, May 25, 2017 and August 25, 2017 are recorded within
Realized Loss on Extinguishment of Debt in the Consolidated
Statement of Operations. 64 Net Increase in Net
Assets Resulting from Net Investment Income Net investment income for the three and nine months ended September
30, 2017 was approximately $6.8 million and $23.1 million,
respectively, as compared with the three and nine months ended
September 30, 2016 of approximately $6.5 million and $17.4 million,
respectively. The net increases for both the three and nine month
periods were primarily the result of higher income from
securitization vehicles and lower total expenses, partially offset
by lower interest income on debt investments. For the three and nine months ended September 30, 2017, the net
increase in net assets resulting from net investment income per
common share was $0.13 (basic and diluted) and $0.45 (basic and
diluted), respectively, based on 51,479,409 weighted average common
shares outstanding as of September 30, 2017, compared to the net
increase in net assets resulting from net investment income per
share of $0.13 (basic and diluted) and $0.33 (basic and diluted)
for the three and nine months ended September 30, 2016,
respectively, based on 51,479,409 and 51,985,537 weighted average
common shares outstanding for the three and nine months ended
September 30, 2016, respectively. Due to the anti-dilutive effect
on the computation of diluted earnings per share for the three and
nine months ended September 30, 2017 and September 30, 2016, the
adjustments for interest on Convertible Notes, base management
fees, deferred issuance costs and net investment income incentive
fees as well as adjustments for dilutive effect of Convertible
Notes were excluded from the respective period’s diluted
earnings per share computation. For the three and nine months ended September 30, 2017, the net
increase in the net assets resulting from core net investment
income per common share was $0.13 (basic and diluted) and $0.53
(basic and diluted), based on 51,479,409 weighted average common
shares as of September 30, 2017, compared to $0.31 (basic and
diluted) and $0.92 (basic and diluted) for the three and nine
months ended September 30, 2016, based on 51,479,409 and 51,985,537
weighted average common shares for the three and nine months ended
September 30, 2016, respectively. Please see “— Supplemental Information Regarding Core
Net Investment Income” below for more information. Net Increase in Net
Assets Resulting from Operations Net increase in net assets resulting from operations for the three
and nine months ended September 30, 2017 was approximately $6.0
million and $27.2 million, respectively, compared with a net
increase in net assets resulting from operations of approximately
$42.9 million and $74.1 million for the three and nine months ended
September 30, 2016, respectively. This decrease was largely due to
lower net unrealized appreciation on investments of $39.8 million
and $57.3 million, respectively. For the three and nine months ended September 30, 2017,
respectively, the net increase in net assets resulting from
operations per common share was $0.12 (basic and diluted) and $0.53
(basic and diluted), compared to a net increase in net assets
resulting from operations per share of approximately $0.83 (basic)
and $0.72 (diluted) for the three months ended September 30, 2016
and a net increase in net assets resulting from operations per
share of approximately $1.42 (basic) and $1.28 (diluted) for the
nine months ended September 30, 2016. Due to the anti-dilutive
effect on the computation of diluted earnings per share for the
three months ended September 30, 2017, the adjustments for interest
on Convertible Notes, base management fee, deferred issuance costs
and net investment income incentive fees as well as adjustments for
dilutive effect of Convertible Notes were excluded from the
respective period’s diluted earnings per share
computation. Supplemental Information
Regarding Core Net Investment Income On a supplemental basis, we provide information relating to 1) core
net investment income and 2) the ratio of core net investment
income to net assets, which are non-GAAP measures. These measures
are provided in addition to, but not as a substitute for, net
investment income. Our non-GAAP measures may differ from similar
measures by other companies, even if similar terms are used to
identify such measures. Core net investment income represents net
investment income adjusted for additional cash distributions
received, or entitled to be received (if any, in either case), on
our CLO equity investments (excluding those cash distributions
believed to represent a return of capital) and also
excludes any capital gains incentive fees we recognize but have no
obligation to pay in any period. The Company did not recognize any
capital gains incentive fees for the quarter ended September 30,
2017. 65 Income from investments in the “equity” class
securities of CLO vehicles, for GAAP purposes, is recorded using
the effective interest method based upon an effective yield to the
expected redemption utilizing estimated cash flows, compared to the
cost resulting in an effective yield for the investment; the
difference between the actual cash received or distributions
entitled to be received and the effective yield calculation is an
adjustment to cost. Accordingly, investment income recognized on
CLO equity securities in the GAAP statement of operations differs
from the cash distributions actually received by us during the
period (referred to below as “CLO equity additional
distributions”). Further, in order to continue to qualify to be taxed as a RIC, we
are required, among other things, to distribute at least 90% of our
investment company taxable income annually. Therefore, core net
investment income may provide a better indication of estimated
taxable income for a reporting period than does GAAP net investment
income, although we can offer no assurance that will be the case as
the ultimate tax character of our earnings cannot be determined
until tax returns are prepared after the end of a fiscal year. We
note that these non-GAAP measures may not be useful indicators of
taxable earnings, particularly during periods of market disruption
and volatility. The following tables provide a reconciliation of net investment
income to core net investment income for the three and nine months
ended September 30, 2017 and 2016, respectively: Three
Months Ended
September 30, 2017

Three
Months Ended
September 30, 2016Amount

Per
Share
Amounts

Amount

Per
Share
AmountsNet investment income

$
6,767,753

$
0.131

$
6,539,020

$
0.127CLO equity additional distributions


47,456


0.001


9,359,695


0.182Core net investment income

$
6,815,209

$
0.132

$
15,898,715

$
0.309  Nine
Months Ended
September 30, 2017

Nine
Months Ended
September 30, 2016Amount

Per
Share
Amounts

Amount

Per
Share
AmountsNet investment income

$
23,097,902

$
0.449

$
17,382,340

$
0.334CLO equity additional distributions


4,333,407


0.084


30,289,507


0.583Core net investment income

$
27,431,309

$
0.533

$
47,671,847

$
0.917 In addition, the following ratio is presented to supplement the
financial highlights included in “Note 14. Financial
Highlights” in the notes to our consolidated financial
statements: Three Months
Ended
September 30,
2017

Three Months
Ended
September 30,
2016

Nine Months
Ended
September 30,
2017

Nine Months
Ended
September 30,
2016Ratio of core net investment income to average
net assets

7.09
%

18.14
%

9.48
%

19.11
% The following table provides a reconciliation of the ratio of net
investment income to average net assets to the ratio of core net
investment income to average net assets for the three and nine
months ended September 30, 2017 and 2016, respectively: Three Months
Ended
September 30, 2017

Three Months
Ended
September 30,
2016

Nine Months
Ended
September 30,
2017

Nine Months
Ended
September 30,
2016Ratio of net investment income to average
net
assets

7.04
%

7.46
%

7.98
%

6.97
%Ratio of CLO equity additional estimated taxable
income to average net assets

0.05
%

10.68
%

1.50
%

12.14
%Ratio of core net investment income to average
net assets

7.09
%

18.14
%

9.48
%

19.11
% 66 LIQUIDITY AND CAPITAL
RESOURCES As of September 30, 2017, cash and cash equivalents were
approximately $119.6 million as compared to approximately $8.3
million at December 31, 2016. For the nine months ended September
30, 2017, net cash provided by operating activities for the period,
consisting primarily of the items described in “—
Results of Operations,” was approximately $202.4 million,
largely reflecting proceeds from principal repayments and
reductions to debt cost and sales of investments of approximately
$310.2 million and reductions to CLO equity cost value of
approximately $31.3 million, partially offset by purchases of new
investments of approximately $163.0 million and net change in
unrealized appreciation/(depreciation) of $13.2 million. For the
nine months ended September 30, 2017, net cash provided by
investing activities of approximately $3.5 million reflects the
change in restricted cash in the 2012 Securitization Issuer. For
the nine months ended September 30, 2017, net cash used in
financing activities was approximately $94.5 million, reflecting
the distribution of dividends and repayment of TICC CLO 2012-1 LLC
notes and partially offset by the proceeds from the issuance of the
6.50% Unsecured Notes. From time to time, we may seek to retire, repurchase, or exchange
debt securities in open market purchases or by other means
dependent on market conditions, liquidity, contractual obligations,
and other matters. On April 12, 2017, we completed an underwritten public offering of
approximately $64.4 million in principal amount of 6.50% unsecured
notes due 2024 and intend to use the net proceeds from this
offering to repay or repurchase a portion of the outstanding
indebtedness under the 7.50% convertible notes due 2017, which
currently amounts to approximately $94.5 million plus accrued
interest as of September 30, 2017. Contractual
Obligations A summary of our significant contractual payment obligations as of
September 30, 2017 is as follows: Contractual obligations



Payments Due by PeriodTotal

Less than
1 year

1 – 3
years

3 – 5
years

More than
5 yearsLong-term debt obligations:Convertible Notes(1)

$
94,542,000

$
94,542,000

$
—

$
—

$
—6.50% Unsecured Notes


64,370,225


—


—


—


64,370,225Total

$
158,912,225

$
94,542,000

$
—

$
—

$
64,370,225 ____________ (1) On November
1, 2017, the Convertible Notes matured and were repaid in full in
accordance with their terms. See also “Note 6. Borrowings” in the notes to our
consolidated financial statements. Off-Balance Sheet
Arrangements As of September 30, 2017, we had no off-balance sheet arrangements,
including any risk management of commodity pricing or other hedging
practices. Borrowings In accordance with the 1940 Act, with certain limited exceptions,
we are only allowed to borrow amounts such that our asset coverage,
as defined in the 1940 Act, is at least 200% immediately after such
borrowing. As of September 30, 2017, our asset coverage for
borrowed amounts was 504.2%. The weighted average stated interest rate and weighted average
maturity on all of our debt outstanding as of September 30, 2017
were 7.09% and 2.7 years, respectively, and as of December 31, 2016
were 5.56% and 4.2 years, respectively. 67 TICC CLO 2012-1
LLC On August 23, 2012, we completed a $160 million debt securitization
financing transaction, consisting of $120 million in secured notes
and $40 million of the 2012 subordinated notes. On February 25,
2013 and May 28, 2013, TICC CLO 2012-1 issued additional secured
notes totaling an aggregate of $120 million and 2012 subordinated
notes totaling an aggregate of $40 million, which 2012 subordinated
notes were purchased by us under the “accordion”
feature of the debt securitization which allowed, under certain
circumstances and subject to the satisfaction of certain
conditions, for an increase in the amount of secured and
subordinated notes. It is not necessary that we own all or any of
the notes permitted by this feature, which may affect the
accounting treatment of the debt securitization financing
transaction. On August 25, 2016, November 25, 2016, February 27,
2017, and May 25, 2017, we repaid approximately $36.0 million,
approximately $74.7 million, approximately $24.5 million, and
approximately $31.4 million of the Class A-1 notes, respectively.
On August 25, 2017, the 2012 Securitization Issuer repaid, in full,
the remaining secured notes (Classes A-1, B-1, C-1 and D-1)
outstanding of approximately $73.4 million. In connection with the February 27, 2017 repayment of approximately
$24.5 million of the Class A-1 notes, the Company incurred debt
extinguishment costs of approximately $409,000, which consisted of
approximately $181,000 in accelerated note discount expense and
approximately $228,000 in accelerated deferred debt issuance
costs. In connection with the May 25, 2017 repayment of approximately
$31.4 million of the Class A-1 notes, we incurred debt
extinguishment costs of approximately $505,000, which consisted of
approximately $224,000 in accelerated note discount expense and
approximately $281,000 in accelerated deferred debt issuance
costs. In connection with the August 25, 2017 repayment of approximately
$73.4 million of the Class A-1, B-1, C-1 and D-1 notes, the Company
incurred debt extinguishment costs of approximately $2.2 million,
which consisted of approximately $1.6 million in accelerated note
discount expense and approximately $0.6 million in accelerated
deferred debt issuance costs. The accelerated note discount expense and accelerated deferred debt
issuance costs are recorded within Realized Loss on Extinguishment
of Debt in the Consolidated Statement of Operations. The following table sets forth the components of interest expense,
effective annualized average interest rates, and cash paid for
interest of the Class A-1, B-1, C-1 and D-1 for the three and nine
months ended September 30, 2017 and 2016, respectively: TICC
CLO 2012-1 LLC ($ in thousands)

Three
Months
Ended
September 30,
2017

Three
Months
Ended
September 30,
2016

Nine
Months
Ended
September 30,
2017

Nine
Months
Ended
September 30,
2016Stated interest expense

$
616.7


$
1,904.9


$
3,041.9


$
5,683.0Amortization of deferred issuance
costs


16.1



81.6



91.7



253.0Note discount expense


40.0



108.4



187.2



330.6Total interest expense

$
672.8


$
2,094.9


$
3,320.8


$
6,266.6Effective annualized average interest
rate


5.98
%


3.70
%


5.33
%


3.56
%Cash paid for interest

$
1,031.6


$
1,960.0


$
3,591.2


$
5,652.4 Effective January 1, 2017 and through February 27, 2017, the
interest charged under the securitization was based on three-month
LIBOR, which was 0.930%. Effective February 28, 2017 and through
May 25, 2017, the interest charged under the securitization was
based on three-month LIBOR, which was approximately 1.052%.
Effective May 26, 2017 and through August 25, 2017, the interest
charged under the securitization was based on three-month LIBOR,
which was approximately 1.189%. Effective January 1, 2016 and through February 24, 2016, the
interest charged under the securitization was based on three-month
LIBOR, which was 0.393%. Effective February 25, 2016 and through
May 25, 2016, the interest charged under the securitization was
based on three-month LIBOR, which was approximately 0.629%.
Effective May 26, 2016 and through August 25, 2016, the interest
charged under the securitization was based on three-month LIBOR,
which was approximately 0.662%. Effective August 26, 2016 and
through September 30, 2016, the interest charged under the
securitization was based on three-month LIBOR, which was
approximately 0.825% 68 The classes, interest rates, spread over LIBOR, cash paid for
interest and stated interest expense of each of the Class A-1, B-1,
C-1 and D-1 for the three and nine months ended September 30, 2017,
respectively, are as follows: Three Months Ended
September 30, 2017

Nine Months Ended
September 30, 2017TICC CLO 2012-1 LLC
($ in thousands)

Stated
Interest
Rate

LIBOR
Spread
(basis points)

Cash
Paid for
Interest

Stated
Interest
Expense

Cash
Paid for
Interest

Stated
Interest
ExpenseClass A-1 Notes

2.93867
%

175

$
70.5

$
42.1

$
803.6

$
623.8Class B-1 Notes

4.68867
%

350


239.6


143.3


691.0


600.0Class C-1 Notes

5.93867
%

475


349.1


208.7


1,012.7


878.4Class D-1 Notes

6.93867
%

575


372.4


222.6


1,083.9


939.7Total(1)






$
1,031.6

$
616.7

$
3,591.2

$
3,041.9 ____________ (1) Totals may
not sum due to rounding. The classes, interest rates, spread over LIBOR, cash paid for
interest and stated interest expense of each of the Class A-1, B-1,
C-1 and D-1 for the three and nine months ended September 30, 2016,
respectively, are as follows: Three Months Ended
September 30, 2016

Nine Months Ended
September 30, 2016TICC CLO 2012-1 LLC
($ in thousands)

Stated
Interest
Rate

LIBOR
Spread
(basis points)

Cash
Paid for
Interest

Stated
Interest
Expense

Cash
Paid for
Interest

Stated
Interest
ExpenseClass A-1 Notes

2.57544
%

175

$
1,085.0

$
1,019.2

$
3,095.8

$
3,089.1Class B-1 Notes

4.32544
%

350


212.7


216.1


618.2


629.2Class C-1 Notes

5.57544
%

475


318.1


322.0


929.8


943.2Class D-1 Notes

6.57544
%

575


344.1


347.6


1,008.7


1,021.6Total(1)






$
1,960.0

$
1,904.9

$
5,652.4

$
5,683.2 ____________ (1) Totals may
not sum due to rounding. TICC serves as collateral manager to the 2012 Securitization Issuer
under a collateral management agreement. TICC is entitled to a
deferred fee for its services as collateral manager. The deferred
fee is eliminated in consolidation. 6.50% Unsecured
Notes On April 12, 2017, we completed an underwritten public offering of
approximately $64.4 million in aggregate principal amount of 6.50%
unsecured notes due 2024. The 6.50% Unsecured Notes will mature on
March 30, 2024, and may be redeemed in whole or in part at any time
or from time to time at our option on or after March 30, 2020. The
6.50% Unsecured Notes will bear interest at a rate of 6.50% per
year payable quarterly on March 30, June 30, September 30, and
December 30 of each year, commencing June 30, 2017. The aggregate accrued interest payable on the 6.50% Unsecured Notes
at September 30, 2017 was approximately $11,600. Deferred debt
issuance costs represent fees and other direct incremental costs
incurred in connection with the 6.50% Unsecured Notes. As of
September 30, 2017, we had a deferred debt issuance balance of
approximately $2.1 million. This amount is being amortized and is
included in interest expense in the consolidated statements of
operations over the term of the 6.50% Unsecured Notes. 69 The following table sets forth the components of interest expense,
effective annualized average interest rates and cash paid for
interest of the 6.50% Unsecured Notes for the three and nine months
ended September 30, 2017: 6.50%
Unsecured Notes ($ in thousands)

Three
Months
Ended
September 30,
2017

Nine
Months
Ended
September 30,
2017Stated interest expense

$
1,046.0


$
1,964.2Amortization of deferred issuance
costs


81.8



152.0Total interest expense

$
1,127.8


$
2,116.2Effective annualized average interest
rate


6.95
%


6.98%Cash paid for interest

$
1,046.0


$
1,952.6 The 6.50% Unsecured Notes are TICC’s general, unsecured
obligations and rank equal in right of payment with all of
TICC’s existing and future senior, unsecured indebtedness and
senior in right of payment to any of its subordinated indebtedness.
As a result, the 6.50% Unsecured Notes will be effectively
subordinated to TICC’s existing and future secured
indebtedness to the extent of the value of the assets securing such
indebtedness and structurally subordinated to any existing and
future liabilities and other indebtedness of its subsidiary. Convertible
Notes On September 26, 2012, we
issued $105.0 million aggregate principal amount of the Convertible
Notes, and an additional $10.0 million aggregate principal amount
of the Convertible Notes was issued on October 22, 2012 pursuant to
the exercise of the initial purchasers’ option to purchase
additional Convertible Notes. On December 2, 2016 and December 16,
2016, we repurchased $12.0 million and approximately $8.5 million
of the Convertible Notes, respectively. At September 30, 2017,
approximately $94.5 million aggregate principal amount of the Convertible Notes
remained outstanding. The Convertible Notes bear interest at a rate
of 7.50% per year, payable semi-annually in arrears on May 1 and
November 1 of each year, commencing on May 1, 2013. The Convertible
Notes are convertible into shares of our common stock based on an
initial conversion rate of 87.2448 shares of its common stock per
$1,000 principal amount of Convertible Notes, which is equivalent
to an initial conversion price of approximately $11.46 per share of
common stock. The conversion price for the Convertible Notes will
be reduced for quarterly cash distributions paid to common shares
to the extent that the quarterly distribution exceeds $0.29 per
share, subject to adjustment. The Convertible Notes mature on
November 1, 2017, unless previously converted in accordance with
their terms. We do not have the right to redeem the Convertible
Notes prior to maturity. The aggregate accrued interest payable on
the Convertible Notes at September 30, 2017 was approximately $3.0
million. Deferred debt issuance costs represent fees and other
direct incremental costs incurred in connection with the
Convertible Notes. As of September 30, 2017, we had a deferred debt
issuance balance of approximately $45,000. This amount is
being amortized and is included in interest expense in the
consolidated statements of operations over the term of the
Convertible Notes. The following table sets forth the components of interest expense,
effective annualized average interest rates and cash paid for
interest of the Convertible Notes for the three and nine months
ended September 30, 2017 and 2016, respectively: 2017
Convertible Notes ($ in thousands)

Three
Months
Ended
September 30,
2017

Three
Months
Ended
September 30,
2016

Nine
Months
Ended
September 30,
2017

Nine
Months
Ended
September 30,
2016Stated interest expense

$
1,772.7


$
2,156.3


$
5,318.0


$
6,468.8Amortization of deferred issuance
costs


128.2



156.0



380.5



464.7Total interest expense

$
1,900.9


$
2,312.3


$
5,698.5


$
6,933.5Effective annualized average interest
rate


7.98
%


7.98
%


8.06
%


8.03
%Cash paid for interest

$
—


$
—


$
3,545.3


$
4,312.5 70 Distributions In order to qualify for tax treatment as a RIC and to avoid
corporate level tax on the income we distribute to our
stockholders, we are required, under Subchapter M of the Code, to
distribute at least 90% of our ordinary income and short-term
capital gains to our stockholders on an annual basis. Effective January 1, 2015, we
recorded interest from our investments in the equity class
securities of CLO vehicles using the effective interest method in
accordance with the provisions of ASC 325-40, Beneficial
Interests in Securitized Financial Assets, based upon an
estimation of an effective yield to the expected redemption
utilizing estimated cash flows, including those CLO equity
investments that have not made their inaugural distribution for the
relevant period end. We monitor the expected residual payments, and
effective yield is determined and updated periodically, as needed.
Accordingly, investment income recognized on CLO equity securities
in the GAAP statement of operations differs from both the tax-basis
investment income and from the cash distributions we actually
received during the period. CLO entities generally constitute
“passive foreign investment companies” and are subject
to complex tax rules; the calculation of taxable income attributed
to a CLO equity investment can be dramatically different from the
calculation of income for financial reporting purposes. Taxable
income is based upon the distributable share of earnings as
determined under tax regulations for each CLO equity investment,
while accounting income is recorded using the effective yield
method. This method requires the calculation of an effective yield
to expected redemption based upon an estimation of the amount and
timing of future cash flows, including recurring cash flows as well
as future principal repayments; the difference between the actual
cash received (and record date distributions to be received) and
the effective yield income calculation is an adjustment to cost.
The effective yield is reviewed quarterly and adjusted as
appropriate. Our final taxable earnings for the year ended December
31, 2016 resulted in a 50.7% non-taxable return of capital. While
GAAP accounting income from our CLO equity class investments for
the three months ended September 30, 2017 was approximately $8.1
million, we received or were entitled to receive approximately
$11.3 million in distributions. Our distribution policy is based
upon our estimate of our taxable net investment income, which
includes actual distributions from our CLO equity class
investments, with further consideration given to our realized gains
or losses on a taxable basis. The following table reflects the cash distributions, including
dividends and returns of capital, if any, per share that our Board
of Directors has declared on our common stock since the beginning
of 2015: Date
Declared

Record Date

Payment Date

AmountFiscal 2017October 27, 2017

December 15, 2017

December 29, 2017

$
0.20February 27, 2017

September 15, 2017

September 29, 2017


0.20February 27, 2017

June 16, 2017

June 30, 2017


0.20February 27, 2017

March 16, 2017

March 31, 2017


0.20Total (2017)





$
0.80Fiscal 2016October 26, 2016

December 16, 2016

December 30, 2016

$
0.29July 28, 2016

September 16, 2016

September 30, 2016


0.29April 28, 2016

June 16, 2016

June 30, 2016


0.29February 15, 2016

March 17, 2016

March 31, 2016


0.29Total (2016)





$
1.16
(1)Fiscal 2015November 2, 2015

December 16, 2015

December 31, 2015

$
0.29July 30, 2015

September 16, 2015

September 30, 2015


0.29April 27, 2015

June 16, 2015

June 30, 2015


0.29February 19, 2015

March 17, 2015

March 31, 2015


0.27Total (2015)





$
1.14
(2) ____________ (1) Includes a
taxable return of capital of approximately $0.59 per share for tax
purposes. (2) Includes a
taxable return of capital of approximately $0.08 per share for tax
purposes. 71 Related Parties We have entered into the Investment Advisory Agreement with TICC
Management. TICC Management is controlled by BDC Partners, its
managing member. BDC Partners, as the managing member of TICC
Management, manages the business and internal affairs of TICC
Management. In addition, BDC Partners provides us with office
facilities and administrative services pursuant to the
Administration Agreement. Jonathan H. Cohen is the managing member
of and controls BDC Partners. Saul B. Rosenthal is also the
President of TICC Management and a member of BDC Partners. Charles M. Royce has a minority, non-controlling interest in TICC
Management, but he does not take part in the management or
participate in the operations of TICC Management. Messrs. Cohen and Rosenthal also currently serve as Chief Executive
Officer and President, respectively, at Oxford Bridge Management,
LLC, the investment adviser to Oxford Bridge, LLC, a private fund
that invests principally in the equity of CLOs. BDC Partners is the
managing member of Oxford Bridge Management, LLC. In addition,
Bruce L. Rubin serves as the Chief Financial Officer and Secretary,
and Gerald Cummins serves as the Chief Compliance Officer,
respectively, of Oxford Bridge Management, LLC. Messrs. Cohen and Rosenthal currently serve as Chief Executive
Officer and President, respectively, of Oxford Lane Capital Corp.,
a non-diversified closed-end management investment company that
invests primarily in equity and junior debt tranches of CLO
vehicles, and its investment adviser, Oxford Lane Management, LLC.
BDC Partners provides Oxford Lane Capital Corp. with office
facilities and administrative services pursuant to an
administration agreement and also serves as the managing member of
Oxford Lane Management, LLC. In addition, Bruce L. Rubin serves as
the Chief Financial Officer, Treasurer and Corporate Secretary of
Oxford Lane Capital Corp. and Chief Financial Officer and Treasurer
of Oxford Lane Management, LLC, and Mr. Cummins serves as the Chief
Compliance Officer of Oxford Lane Capital Corp. and Oxford Lane
Management, LLC. As a result, certain conflicts of interest may arise with respect
to the management of our portfolio by Messrs. Cohen and Rosenthal
on the one hand, and the obligations of Messrs. Cohen and Rosenthal
to manage Oxford Lane Capital Corp. and Oxford Bridge, LLC,
respectively, on the other hand. TICC Management, Oxford Lane Management, LLC and Oxford Bridge
Management, LLC are subject to a written policy with respect to the
allocation of investment opportunities among TICC, Oxford Lane
Capital Corp. and Oxford Bridge, LLC. Where investments are
suitable for more than one entity, the allocation policy generally
provides that, depending on size and subject to current and
anticipated cash availability, the absolute size of the investment
as well as its relative size compared to the total assets of each
entity, current and anticipated weighted average costs of capital,
among other factors, an investment amount will be determined by the
adviser to each entity. If the investment opportunity is sufficient
for each entity to receive its investment amount, then each entity
receives the investment amount; otherwise, the investment amount is
reduced pro rata. On June 14, 2017, the Securities and Exchange
Commission issued an order permitting TICC and certain of its
affiliates to complete negotiated co-investment transactions in
portfolio companies, subject to certain conditions (the
“Order”). Subject to satisfaction of certain conditions
to the Order, TICC and certain of its affiliates are now permitted,
together with any future BDCs, registered closed-end funds and
certain private funds, each of whose investment adviser is
TICC’s investment adviser or an investment adviser
controlling, controlled by, or under common control with
TICC’s investment adviser, to co-invest in negotiated
investment opportunities where doing so would otherwise be
prohibited under the 1940 Act, providing TICC’s stockholders
with access to a broader array of investment opportunities.
Pursuant to the Order, we are permitted to co-invest in such
investment opportunities with our affiliates if a “required
majority” (as defined in Section 57(o) of the 1940 Act) of
our independent directors make certain conclusions in connection
with a co-investment transaction, including, but not limited to,
that (1) the terms of the potential co-investment transaction,
including the consideration to be paid, are reasonable and fair to
us and our stockholders and do not involve overreaching in respect
of us or our stockholders on the part of any person concerned, and
(2) the potential co-investment transaction is consistent with the
interests of our stockholders and is consistent with our
then-current investment objective and strategies. In the ordinary course of business, we may enter into transactions
with portfolio companies that may be considered related party
transactions. In order to ensure that we do not engage in any
prohibited transactions with any persons affiliated with us, we
have implemented certain policies and procedures whereby our
executive officers screen each of our transactions for any possible
affiliations between the proposed portfolio investment, us,
companies controlled by us and our employees and directors. We will
not enter into any agreements unless and until we are satisfied
that doing so will not raise concerns under 72 the 1940 Act or, if such concerns exist, we have taken appropriate
actions to seek board review and approval or exemptive relief for
such transaction. Our Board of Directors reviews these procedures
on an annual basis. We have also adopted a Code of Business Conduct and Ethics which applies to, among
others, our senior officers, including our Chief Executive Officer
and Chief Financial Officer, as well as all of our officers,
directors and employees. Our Code of Business Conduct and Ethics requires that all
employees and directors avoid any conflict, or the appearance of a
conflict, between an individual’s personal interests and our
interests. Pursuant to our Code of Business Conduct and Ethics, each employee and
director must disclose any conflicts of interest, or actions or
relationships that might give rise to a conflict. Our Audit
Committee is charged with approving any waivers under our Code of
Business Conduct and Ethics. As required by the NASDAQ Global Select Market corporate
governance listing standards, the Audit Committee of our Board of
Directors is also required to review and approve any transactions
with related parties (as such term is defined in Item 404 of
Regulation S-K). Information concerning related party transactions is included in
the consolidated financial statements and related notes, appearing
elsewhere in this quarterly report on Form 10-Q. 73 RECENT
DEVELOPMENTS On October 27, 2017, the Board of Directors declared a distribution
of $0.20 per share for the fourth quarter, payable on December 29,
2017 to shareholders of record as of December 15, 2017. On November 1, 2017, the Convertible Notes matured and were repaid
in full (approximately $94.5 million) in accordance with their
terms. ITEM 3. QUANTITATIVE AND
QUALITATIVE DISCLOSURES ABOUT MARKET RISK. We are subject to financial
market risks, including changes in interest rates. As of September
30, 2017, one debt investment in our portfolio was at a fixed rate,
and the remaining 25 debt investments were at variable rates,
representing approximately $0.8 million and $243.6 million in
principal debt, respectively. At September 30, 2017, all of our
variable rate investments were income producing. The variable rates
are based upon the five-year Treasury note, the Prime rate or
LIBOR, and, in the case of our bilateral investments, are generally
reset annually, whereas our non-bilateral investments generally
reset quarterly. We expect that future debt investments will
generally be made at variable rates. Many of the variable rate
investments contain floors. To illustrate the potential impact of a change in the underlying
interest rate on our net investment income as it pertains to our
debt portfolio, we have assumed a 1% increase in the underlying
five-year Treasury note, the Prime rate or LIBOR, and no other
change in our portfolio as of September 30, 2017. We have also
assumed no outstanding variable rate borrowings due to the repayment of the TICC CLO 2012-1 secured notes.
Under this analysis, net investment income would increase by $2.4
million on an annualized basis, reflecting the amount of
investments in our portfolio which have implied floors that would
be unaffected by a 1% change in the underlying interest rate. Although management
believes that this analysis is indicative of our existing interest
rate sensitivity, it does not adjust for changes in the credit
quality, size and composition of our portfolio, and other business
developments, including a change in the level of our borrowings,
that could affect the net increase (or decrease) in net assets
resulting from operations. Accordingly, no assurances can be given
that actual results would not differ materially from the results
under this hypothetical analysis. We may in the future hedge against interest rate fluctuations by
using standard hedging instruments such as futures, options and
forward contracts. While hedging activities may insulate us against
adverse changes in interest rates, they may also limit our ability
to participate in the benefits of lower interest rates with respect
to the investments in our portfolio with fixed interest rates. ITEM 4. CONTROLS AND
PROCEDURES. (a) Evaluation of
Disclosure Controls and Procedures As of September 30, 2017 (the end of the period covered by this
report), we, including our Chief Executive Officer and Chief
Financial Officer, evaluated the effectiveness of the design and
operation of our disclosure controls and procedures (as defined in
Rule 13a-15(e) of the Securities Exchange Act of 1934, as amended).
Based on that evaluation, our management, including the Chief Executive Officer and Chief Financial Officer,
concluded that our disclosure controls and procedures were
effective and provided reasonable assurance that information
required to be disclosed in our periodic SEC filings is recorded,
processed, summarized and reported within the time periods
specified in the SEC’s rules and forms, and that such
information is accumulated and communicated to our management,
including our Chief Executive Officer and Chief Financial Officer,
as appropriate, to allow timely decisions regarding required
disclosure. However, in evaluating the disclosure controls and
procedures, management recognized that any controls and procedures,
no matter how well designed and operated can provide only
reasonable assurance of achieving the desired control objectives,
and management necessarily was required to apply its judgment in
evaluating the cost-benefit relationship of such possible controls
and procedures. 74 (b)
Changes in Internal Control Over Financial Reporting There have been no changes in the Company’s internal control
over financial reporting (as defined in Rule 13a-15(f) under the
Securities Exchange Act of 1934, as amended) that occurred during
the quarter ended September 30, 2017 that have materially affected,
or are reasonably likely to materially affect, the Company’s
internal control over financial reporting. 75 PART II — OTHER
INFORMATION ITEM 1. LEGAL
PROCEEDINGS. We are not currently subject
to any material legal proceedings. From time to time, we may be a
party to certain legal proceedings in the ordinary course of
business, including proceedings relating to the enforcement of our
rights under contracts with our portfolio companies. While the
outcome of these legal proceedings, if any, cannot be predicted
with certainty, we do not expect that these proceedings will have a
material effect upon our financial condition or results of
operations. ITEM 1A. RISK
FACTORS. In addition to the other information set forth in this report, you
should carefully consider the factors discussed in Item 1A. Risk
Factors in our Annual Report on Form 10-K for the fiscal year ended
December 31, 2016, which could materially affect our business,
financial condition and/or operating results. The risks described
in our Annual Report on Form 10-K are not the only risks facing our
company. Additional risks and uncertainties not currently known to
us or that we currently deem to be immaterial also may materially
and adversely affect our business, financial condition and/or
operating results. There have been no material changes during the
nine months ended September 30, 2017 to the risk factors discussed
in Item 1A. Risk Factors in our Annual Report on Form 10-K for the
year ended December 31, 2016. ITEM 2. UNREGISTERED
SALES OF EQUITY SECURITIES AND USE OF PROCEEDS. Sales of Unregistered
Equity Securities We did not engage in unregistered sales of equity securities during
the three months ended September 30, 2017, and we did not issue
shares of common stock under our distribution reinvestment plan.
During the quarter ended September 30, 2017, as part of our
dividend reinvestment plan for our common stockholders, our
dividend reinvestment administrator purchased 45,183 shares of our
common stock for $0.3 million in the open market to satisfy the
reinvestment portion of our dividends. ITEM 3. DEFAULTS UPON
SENIOR SECURITIES. None. ITEM 4. MINE SAFETY
DISCLOSURES. Not applicable. ITEM 5. OTHER
INFORMATION. None. II-1 ITEM 6.
EXHIBITS. The following exhibits are filed as part of this report or hereby
incorporated by reference to exhibits previously filed with the
SEC: 3.1

Articles of Incorporation (Incorporated by reference to Exhibit a. to the Registrant’s Registration Statement on Form N-2 (File No. 333-109055), filed on September 23, 2003).3.2

Articles of Amendment (Incorporated by reference to Exhibit 3.1 to the Registrant’s current report on Form 8-K filed December 3, 2007).3.3

Third Amended and Restated Bylaws (Incorporated by reference to Exhibit 3.3 to the Registrant’s report on Form 10-Q filed on November 7, 2016).4.1

Form of Share Certificate (Incorporated by reference to Exhibit d. to the Registrant’s Registration Statement on Form N-2 (File No. 333-109055), filed on September 23, 2003).11

Computation of Per Share Earnings (included in the notes to the financial statements contained in this report).31.1

Certification of Chief Executive Officer pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*31.2

Certification of Chief Financial Officer pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*32.1

Certification of Chief Executive Officer pursuant to section 906 of The Sarbanes-Oxley Act of 2002.*32.2

Certification of Chief Financial Officer pursuant to section 906 of The Sarbanes-Oxley Act of 2002.* ____________ * Filed
herewith II-2 SIGNATURES Pursuant to the requirements of Section 13 or 15(d) of the
Securities Exchange Act of 1934, the registrant has duly caused
this report to be signed on its behalf by the undersigned,
thereunto duly authorized. TICC CAPITAL CORP.Date:

November 2, 2017

By:

/s/ Jonathan H. CohenJonathan H. Cohen
Chief Executive Officer
(Principal Executive Officer)Date:

November 2, 2017

By:

/s/ Bruce L. RubinBruce
L. Rubin
Chief Financial Officer
(Principal Accounting Officer) II-3