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EX-31.1 - EXHIBIT 31.1 - TICC Capital Corp.v327818_ex31-1.htm
EX-31.2 - EXHIBIT 31.2 - TICC Capital Corp.v327818_ex31-2.htm
EX-32.1 - EXHIBIT 32.1 - TICC Capital Corp.v327818_ex32-1.htm
EX-32.2 - EXHIBIT 32.2 - TICC Capital Corp.v327818_ex32-2.htm

 

 

 

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, 2012

 

¨ 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 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 a smaller reporting company. See definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

 

Large accelerated filer ¨ Accelerated filer x
       
Non-accelerated filer ¨ Smaller reporting company ¨

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x

 

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 8, 2012 was 41,312,780.

 

 
 

 

TICC CAPITAL CORP.

TABLE OF CONTENTS

 

PART I. FINANCIAL INFORMATION 3
     
Item 1. Financial Statements (Unaudited) 3
     
  Consolidated Statements of Assets and Liabilities as of September 30, 2012 and December 31, 2011 3
     
  Consolidated Schedule of Investments as of September 30, 2012 4
     
  Consolidated Schedule of Investments as of December 31, 2011 9
     
  Consolidated Statements of Operations for the three and nine months ended September 30, 2012 and 2011 14
     
  Consolidated Statements of Changes in Net Assets for the nine months ended September 30, 2012 and for the year ended December 31, 2011 15
     
  Consolidated Statements of Cash Flows for the nine months ended September 30, 2012 and 2011 16
     
  Notes to Consolidated Financial Statements 17
     
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 28
     
  Cautionary Statements Regarding Forward-Looking Statements 28
     
  Overview 29
     
  Critical Accounting Policies 31
     
  Portfolio Composition and Investment Activity 35
     
  Results of Operations 39
     
  Liquidity and Capital Resources 48
     
  Recent Developments 51
     
Item 3. Quantitative and Qualitative Disclosures About Market Risk 52
     
Item 4. Controls and Procedures 52
   
PART II. OTHER INFORMATION 52
     
Item 1. Legal Proceedings 52
     
Item 1A. Risk Factors 52
     
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 70
     
Item 3. Defaults Upon Senior Securities 70
     
Item 4. Mine Safety Disclosures 70
     
Item 5. Other Information 70
     
Item 6. Exhibits 71
   
SIGNATURES 72

 

 
 

 

PART I—FINANCIAL INFORMATION

 

ITEM 1. FINANCIAL STATEMENTS (UNAUDITED)

 

TICC CAPITAL CORP.

 

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

(unaudited)

 

   September 30, 2012   December 31, 2011 
         
ASSETS          
           
Non-affiliated/non-control investments (cost: $495,670,473 @ 9/30/12; $372,091,255 @ 12/31/11)  $521,247,939   $375,793,839 
Control investments (cost: $17,239,639 @ 9/30/12; $17,434,371 @ 12/31/11)   16,450,000    15,675,000 
Total investments at fair value   537,697,939    391,468,839 
Cash and cash equivalents   122,905,470    4,494,793 
Restricted cash   96,729,990    23,183,698 
Deferred debt issuance costs   8,182,726    2,895,873 
Interest and distributions receivable   4,497,012    1,837,882 
Securities sold not settled   503,750    - 
Other assets   102,138    238,485 
Total assets  $770,619,025   $424,119,570 
           
LIABILITIES          
Notes payable - debt securitizations  $212,443,165   $99,710,826 
Convertible senior notes payable   105,000,000    - 
Accrued interest payable   1,027,631    1,076,113 
Investment advisory fee payable to affiliate   3,800,311    2,895,799 
Accrued capital gains incentive fee to affiliate   5,668,706    1,108,749 
Securities purchased not settled   34,561,217    13,352,500 
Accrued expenses   1,220,546    873,592 
Total liabilities   363,721,576    119,017,579 
           
NET ASSETS          
Common stock, $0.01 par value, 100,000,000 shares authorized, and 41,312,780 and 32,818,428 issued and outstanding, respectively   413,128    328,184 
Capital in excess of par value   452,280,904    376,991,540 
Net unrealized appreciation on investments   24,787,827    1,943,213 
Accumulated net realized losses on investments   (66,752,406)   (70,308,108)
Distributions in excess of investment income   (3,832,004)   (3,852,838)
Total net assets   406,897,449    305,101,991 
Total liabilities and net assets  $770,619,025   $424,119,570 
Net asset value per common share  $9.85   $9.30 

 

See Accompanying Notes.

 

3
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2012

(unaudited)

 

COMPANY(1)  INDUSTRY  INVESTMENT  PRINCIPAL
AMOUNT
   COST   FAIR VALUE(2)   % of Net
Assets
 
                       
Senior Secured Notes                          
                           
Algorithmic Implementations, Inc.
(d/b/a "Ai Squared")
  software  senior secured notes(4)(5)(6)
(9.84%, due September 11, 2013)
  $14,300,000   $14,239,639   $14,300,000    
                           
Aspen Dental Management, Inc.  healthcare  senior secured notes(4)(10)
(7.00%, due October 6, 2016)
   3,989,950    4,014,887    4,014,887      
                           
Attachmate Corporation  enterprise software  senior secured notes(4)(5)(9)(10)
(7.25%, due April 27, 2017)
   7,850,000    7,698,489    7,906,442      
                           
      second lien senior secured notes(4)(5)(9)
(11.00%, due November 22, 2018)
   13,000,000    12,659,186    12,714,000      
                           
Band Digital Inc.
(F/K/A "WHITTMANHART, Inc.")
  IT consulting  senior secured notes(3)(4)(6)(7)(13)
(0.0%, due December 31, 2013)
   1,831,768    1,803,000    1,145,000      
                           
Blue Coat System, Inc.  software  first lien senior secured notes(4)(5)(9)
(7.50%, due February 15, 2018)
   5,962,500    5,904,303    5,992,313      
                           
      second lien senior secured notes(4)(5)(10)
(11.50%, due August 15, 2018)
   5,214,286    5,147,507    5,318,572      
                           
BNY Convergex  financial intermediaries  second lien senior secured notes(4)(9)
(8.75%, due December 17, 2017)
   1,875,000    1,874,937    1,734,375      
                           
DG Fastchannel, Inc.  advertising  first lien senior secured notes(4)(5)(10)
(5.75%, due July 26, 2018)
   2,992,013    2,917,131    2,897,256      
                           
Diversified Machine, Inc.  autoparts manufacturer  first lien senior secured notes(4)(5)(9)
(9.29%, due December 1, 2016)
   2,605,833    2,583,105    2,549,365      
                           
Drew Marine Partners  shipping and transportation  first lien senior secured notes(4)(5)(9)
(6.25%, due September 1, 2014)
   3,456,250    3,421,467    3,456,250      
                           
Embanet-Compass Knowledge Group, Inc.  education  senior secured notes(4)(5)(6)(9)
(5.50%, due June 27, 2017)
   4,654,948    4,536,593    4,631,673      
                           
Endurance International Group, Inc.  web hosting  first lien senior secured notes(4)(5)(9)(10)
(7.75%, due December 28, 2016)
   15,960,000    15,850,571    15,999,900      
                           
First Data Corporation  financial intermediaries  first lien senior secured notes(4)(5)(9)(10)
(5.22%, due March 24, 2017)
   10,000,000    9,885,460    9,857,500      
                           
GenuTec Business Solutions, Inc.  interactive voice messaging services  senior secured notes(4)(5)(7)
(0.0%, due October 30, 2014)
   3,476,000    3,187,306    -      
                           
Getty Images, Inc.  printing and publishing  senior secured notes(4)(5)(6)(9)
(5.25%, due November 5, 2016)
   4,605,025    4,558,482    4,605,025      
                           
Global Tel Link Corp.  telecommunication services  senior secured notes(4)(5)(6)(9)(10)
(6.00%, due December 14, 2017)
   8,351,862    8,366,480    8,356,038      
                           
Goodman Global, Inc.  building and development  senior secured notes(4)(5)(6)(9)
(5.75%, due October 28, 2016)
   2,860,748    2,818,839    2,860,748      
                           
Grede Holdings LLC  auto parts manufacturer  senior secured notes(4)(9)
(7.00%, due April 3, 2017)
   4,900,000    4,821,753    4,893,875      
                           
GXS Worldwide Inc.  business services  senior secured notes(5)(9)
(9.75%, due June 15, 2015)
   8,000,000    7,924,464    8,290,000      

 

(Continued on next page)

 

See Accompanying Notes.

 

4
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED SCHEDULE OF INVESTMENTS - (Continued)

SEPTEMBER 30, 2012

(unaudited)

 

COMPANY(1)  INDUSTRY  INVESTMENT  PRINCIPAL
AMOUNT
   COST   FAIR VALUE(2)   % of Net
Assets
 
                       
Senior Secured Notes - (continued)                          
                           
HHI Holdings LLC  auto parts manufacturer  senior secured notes(4)(5)(9)
(7.75%, due March 21, 2017)
  $4,432,534   $4,418,411   $4,421,453    
                           
Hoffmaster Group, Inc.  retail  first lien senior secured notes(4)(5)(6)(9)(10)
(6.50%, due January 3, 2018)
   6,964,918    6,936,448    6,924,313      
                           
Immucor, Inc.  healthcare  senior secured term B notes(4)(5)(9)
(5.75% , due August 19, 2018)
   4,455,084    4,312,783    4,499,635      
                           
Infor, Inc.  enterprise software  first lien senior secured notes(4)(5)(10)
(5.25% , due April 5, 2018)
   1,000,000    995,009    995,000      
                           
Integra Telecom Holdings, Inc.  telecommunication services  first lien senior secured notes(4)(10)
(9.25%, due August 15, 2015)
   7,804,066    7,457,220    7,758,567      
                           
InfoNXX Inc.  telecommunication services  second lien senior secured notes(4)(5)(9)
(6.47% , due December 1, 2013)
   7,000,000    6,807,589    6,527,500      
                           
Mercury Payment Systems, LLC  financial intermediaries  senior secured notes(4)(6)(9)
(5.50%, due July 1, 2017)
   3,950,000    3,950,000    3,950,000      
                           
Merrill Communications, LLC  printing and publishing  second lien senior secured notes(3)(4)(5)(9)
(12.00% cash/4.87% PIK, due November 15, 2013)
   6,363,000    6,338,393    4,525,684      
                           
Mirion Technologies, Inc.  utilities  senior secured notes(4)(9)
(6.25%, due March 30, 2018)
   2,487,500    2,440,896    2,487,500      
                           
Mmodal, Inc.  healthcare  first lien senior secured notes(4)(5)(9)(10)
(6.75%, due August 17, 2019)
   10,000,000    9,885,945    9,887,500      
                           
National Healing Corp.  healthcare  senior secured notes(4)(5)(9)(10)
(8.25%, due November 30, 2017)
   10,724,734    10,467,083    10,724,734      
                           
National Vision, Inc.  retail  senior secured term B notes(4)(5)(9)(10)
(7.00%, due August 2, 2018)
   5,320,000    5,261,159    5,373,199      
                           
New Breed Logistics  logistics  senior secured term B notes(4)(5)(9)(10)
(6.00%, due October 1, 2019)
   8,000,000    8,000,000    7,920,000      
                           
Nextag, Inc.  retail  senior secured notes(4)(5)(6)(9)(10)
(7.00%, due January 27, 2016)
   15,023,278    14,452,733    14,560,111      
                           
NAB Holdings, LLC  financial intermediaries  first lien senior secured notes(4)(5)(6)(9)(10)
(7.00%, due April 24, 2018)
   8,887,500    8,854,485    8,909,719      
                           
Pegasus Solutions, Inc.  enterprise software  first lien senior secured notes(3)(4)(5)(6)(9)(10)
(7.75% cash/0.75% PIK, due April 17, 2013)
   9,164,737    8,788,675    8,660,676      
                           
      second lien senior secured notes(3)(5)(6)
(0.00% Cash/13.00% PIK, due April 15, 2014)
   6,390,892    5,093,032    5,623,985      
                           
Petco, Inc.  retail  senior secured notes(4)(9)
(4.50%, due November 24, 2017)
   4,949,495    4,745,817    4,964,987      
                           
Phillips Plastics Corporation  healthcare  senior secured notes(4)(5)(6)(9)
(6.50%, due February 12, 2017)
   2,970,000    2,948,289    2,945,260      
                           
Plato, Inc.  education  first lien senior secured notes(4)(5)(6)(9)
(7.50%, due May 17, 2018)
   4,937,500    4,860,197    4,937,500      
                           
Presidio IS Corp.  business services  senior secured notes(4)(6)(9)(10)
(7.25%, due March 31, 2017)
   10,000,000    9,970,646    9,900,000      
                           
RBS Holding Company  printing and publishing  term B senior secured notes(4)(5)(9)
(9.25%, due March 23, 2017)
   4,925,000    4,897,121    2,955,000      
                           
Renaissance Learning  education  senior secured notes(4)(5)(9)
(7.75%, due October 19, 2017)
   3,960,000    3,820,066    3,983,087      
                           
Roundy's Supermarkets, Inc.  grocery  term B senior secured notes(4)(5)(10)
(5.75%, due February 13, 2019)
   3,989,975    3,835,572    3,903,752      
                           
Rovi Solutions Corp.  digital media  senior secured notes(4)(5)(10)
(4.00%, due March 29, 2019)
   2,992,481    2,880,711    2,913,928      
                           
Securus Technologies  telecommunication services  second lien senior secured notes(4)(5)(9)
(10.75%, due May 18, 2018)
   5,400,000    5,307,255    5,339,250      
                           
Six3 Systems, Inc.  IT consulting  term B senior secured notes(4)(5)(9)(10)
(7.00%, due October 4, 2019)
   10,000,000    9,900,000    9,900,000      
                           
SkillSoft Corporation  business services  senior secured notes(4)(5)(6)(9)(10)
(5.00%, due May 26, 2017)
   5,980,346    5,938,303    6,032,674      

  

(Continued on next page)

See Accompanying Notes.

  

5
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED SCHEDULE OF INVESTMENTS - (Continued)

SEPTEMBER 30, 2012

(unaudited)

 

COMPANY(1)  INDUSTRY  INVESTMENT  PRINCIPAL
AMOUNT
   COST   FAIR VALUE(2)   % of Net
Assets
 
                       
Senior Secured Notes - (continued)                          
                           
SourceHOV, LLC  business services  second lien senior secured notes(4)(5)(10)
(10.50%, due May 19, 2018)
  $12,000,000   $11,000,220   $10,860,000    
                           
Sterling Infosystems, Inc.  business services  senior secured notes(4)(5)(9)
(7.25%, due February 1, 2018)
   2,743,125    2,692,935    2,736,267      
                           
Stratus Technologies, Inc.  computer hardware  first lien high yield notes(5)(9)
(12.00%, due March 29, 2015)
   9,520,000    9,000,486    8,925,000      
                           
Teleguam Holdings, LLC  telecommunication services  second lien senior secured notes(4)(5)(9)
(9.75%, due June 9, 2017)
   4,687,500    4,648,626    4,476,563      
                           
Unitek Global Services, Inc.  IT consulting  tranche B term loan (4)(5)(9)(10)
(9.00%, due April 15, 2018)
   10,872,500    10,596,257    10,655,050      
                           
US FT HoldCo. Inc.
(A/K/A Fundtech)
  financial intermediaries  senior secured notes(4)(5)(6)(9)
(7.50%, due November 30, 2017)
   5,955,000    5,814,985    5,962,444      
                           
Vision Solutions, Inc  software  second lien senior secured notes(4)(5)(9)(10)
(9.50%, due July 23, 2017)
   10,000,000    9,918,799    9,950,000      
                           
WEB.COM Group, Inc.  web hosting  senior secured notes(4)(5)(9)(10)(11)
(7.00%, due October 27, 2017)
   8,658,693    8,184,704    8,707,441      
                           
Total Senior Secured Notes             $359,634,449   $355,320,998    87.3%
                           
Subordinated Notes                          
                           
Fusionstorm, Inc.  IT value-added reseller  subordinated notes(4)(5)(6)
(11.74%, due February 28, 2013)
  $422,500   $422,351   $415,930      
                           
Shearer's Food Inc.  food products manufacturer  subordinated notes(3)(4)(5)(9)
(12.00% Cash/3.75% PIK, due March 31, 2016)
   4,342,823    4,273,929    4,473,108      
                           
Total Subordinated Notes             $4,696,280   $4,889,038    1.2%
                           
Collateralized Loan Obligation - Debt Investments                       
                           
Avenue CLO V LTD 2007-5A, 5X D1  structured finance  CLO secured notes(4)(5)(11)(12)
(4.01%, due April 25, 2019)
  $4,574,756   $2,461,070   $3,341,403      
                           
Canaras CLO - 2007-1A E  structured finance  CLO secured notes(4)(5)(11)(12)
(4.73%, due June 19, 2021)
   3,500,000    1,951,349    2,811,900      
                           
CGMS 2012 3A D  structured finance  CLO secured notes(4)(5)(11)(12)
(5.87%, due October 4, 2024)
   3,000,000    2,624,803    2,624,730      
                           
CIFC CLO - 2006-1A B2L  structured finance  CLO secured notes(4)(5)(11)(12)
(4.46%, due October 20, 2020)
   3,247,284    1,750,596    2,476,379      
                           
Emporia CLO 2007 3A E  structured finance  CLO secured notes(4)(5)(11)(12)
(4.15%, due April 23, 2021)
   10,991,000    7,755,279    8,204,782      
                           
Flagship 2005-4A D  structured finance  CLO secured notes(4)(5)(11)(12)
(5.17%, due June 1, 2017)
   2,612,988    1,736,422    2,311,188      
                           
Harbourview CLO VI LTD 6 6X D  structured finance  CLO secured notes(4)(5)(11)(12)
(4.06%, due December 27, 2019)
   5,000,000    3,293,062    3,762,500      
                           
Harch 2005-2A BB CLO  structured finance  CLO secured notes(4)(5)(11)(12)
(5.45%, due October 22, 2017)
   4,819,262    2,754,956    4,033,722      
                           
Hewetts Island CDO 2007 - 1RA E  structured finance  CDO secured notes(4)(5)(6)(11)(12)
(7.19%, due November 12, 2019)
   3,132,057    1,954,204    2,893,081      
                           
Hewetts Island CDO III 2005-1A D  structured finance  CDO secured notes(4)(5)(11)(12)
(6.19%, due August 9, 2017)
   6,363,074    3,731,467    5,832,394      
                           
Hewetts Island CDO IV 2006-4 E  structured finance  CDO secured notes(4)(5)(11)(12)
(4.99%, due May 9, 2018)
   7,897,268    5,748,199    6,554,732      
                           
Kingsland LTD 2007 4A E  structured finance  CDO secured notes(4)(5)(11)(12)
(3.81%, due April 16, 2021)
   4,000,000    2,552,288    2,840,000      
                           
Landmark V CDO LTD  structured finance  CDO senior secured notes(4)(5)(6)(11)(12)
(5.67%, due June 1, 2017)
   3,646,669    2,367,676    3,229,125      
                           
Latitude II CLO 2006 2A D  structured finance  CDO senior secured notes(4)(5)(6)(11)(12)
(4.14%, due December 15, 2018)
   2,828,018    1,658,428    2,121,014      

  

(Continued on next page)

 

See Accompanying Notes.

 

6
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED SCHEDULE OF INVESTMENTS - (Continued)

SEPTEMBER 30, 2012

(unaudited)

  

COMPANY(1)  INDUSTRY  INVESTMENT  PRINCIPAL
AMOUNT
   COST   FAIR VALUE(2)   % of Net
Assets
 
                       
Collateralized Loan Obligation - Debt Investments - (continued)                       
                           
Latitude III CLO 2007-3A  structured finance  CDO secured notes(4)(5)(11)(12)
(4.21%, due April 11, 2021)
  $4,000,000   $2,020,189   $3,100,000    
                           
Lightpoint CLO 2007-8A  structured finance  CDO secured notes(4)(5)(11)(12)
(6.96%, due July 25, 2018)
   5,000,000    3,033,898    4,605,000      
                           
Loomis Sayles CLO 2006-1AE  structured finance  CDO secured notes(4)(5)(11)(12)
(4.30%, due October 26, 2020)
   3,322,992    1,973,655    2,654,406      
                           
Marlborough Street CLO LTD 2007 1A E  structured finance  CDO secured notes(4)(5)(11)(12)
(4.11%, due April 18, 2019)
   3,000,000    2,112,462    2,389,800      
                           
Muir Grove CLO LTD 2007 1X E  structured finance  CDO secured notes(4)(5)(11)(12)
(8.45%, due March 25, 2020)
   7,690,915    6,806,439    7,789,358      
                           
Ocean Trails CLO II 2007-2a-d  structured finance  CLO subordinated secured notes(4)(5)(11)(12)
(4.96%, due June 27, 2022)
   3,649,700    2,167,397    2,928,154      
                           
Primus 2007 2X Class E CLO  structured finance  CLO notes (4)(5)(11)(12)
(5.20%, due July 15, 2021)
   2,834,633    2,203,346    2,182,668      
                           
Prospero CLO II BV  structured finance  CLO senior secured notes(4)(5)(11)(12)
(4.41%, due October 20, 2022)
   9,900,000    4,554,161    7,416,090      
                           
Sargas CLO I LTD  structured finance  CLO senior secured notes(4)(5)(11)(12)
(4.43%, due August 27, 2020)
   2,000,000    1,590,000    1,590,000      
                           
Total Collateralized Loan Obligation - Debt Investments          $68,801,346   $87,692,426    21.5%
                           
Collateralized Loan Obligation - Equity Investments                       
                           
ACA CLO 2006-2, Limited  structured finance  CLO preferred equity(11)(12)  $-   $2,200,000   $4,500,000      
                           
ACA CLO 2007-1a sub  structured finance  CLO preferred equity(11)(12)   -    10,583,500    11,346,000      
                           
ACAS 2012-1A CLO sub  structured finance  CLO preferred equity(11)(12)   -    4,050,000    4,050,000      
                           
Canaras CLO Equity - 2007-1A, 1X  structured finance  CLO income notes(11)(12)   -    4,355,000    5,400,000      
                           
GALE 2007-4A CLO  structured finance  CLO income notes(11)(12)   -    1,965,000    2,760,000      
                           
GSC Partners 2007-8X Sub CDO  structured finance  CLO income notes(11)(12)   -    4,110,000    6,000,000      
                           
Harbourview - 2006A CLO Equity  structured finance  CDO subordinates notes(11)(12)   -    3,639,870    4,254,250      
                           
Jersey Street 2006-1A CLO LTD  structured finance  CLO income notes(11)(12)   -    4,924,238    5,915,000      
                           
Kingsland LTD 2007-4X Sub  structured finance  CLO income notes(11)(12)   -    402,500    565,000      
                           
Lightpoint CLO 2005-3X  structured finance  CLO income notes(11)(12)   -    3,330,000    2,700,000      
                           
Lightpoint CLO VII LTD 2007-7  structured finance  CDO subordinates notes(11)(12)   -    1,562,500    1,800,000      
                           
Marea 2012-1A CLO  structured finance  CLO income notes(11)(12)   -    10,934,215    10,934,215      
                           
Marlborough Street 2007-1A  structured finance  CLO income notes(11)(12)   -    1,739,000    2,068,000      
                           
OCT11 2007-1A CLO  structured finance  CLO income notes(11)(12)   -    2,434,163    2,970,000      
                           
Rampart 2007-1A CLO Equity  structured finance  CDO subordinates notes(11)(12)   -    3,412,500    3,675,000      
                           
Sargas CLO 2006 -1A  structured finance  CDO subordinates notes(11)(12)   -    4,945,500    6,817,500      
                           
Stone Tower CLO LTD 2007 7X  structured finance  CDO subordinates notes(11)(12)   -    6,265,000    7,070,000      
                           
Total Collateralized Loan Obligation  - Equity Investments          $70,852,986   $82,824,965    20.4%
                           
Common Stock                          
                           
Algorithmic Implementations, Inc.  software  common stock  $-   $3,000,000   $2,150,000      
(d/b/a "Ai Squared")                          
                           
Integra Telecom Holdings, Inc.  telecommunication services  common stock(7)   -    1,712,396    2,362,451      
                           
Pegasus Solutions, Inc.  enterprise software  common equity(7)   -    62,595    41,488      
                           
Stratus Technologies, Inc.  computer hardware  common equity(7)   -    377,928    -      
                           
Total Common Stock Investments             $5,152,919   $4,553,939    1.1%

 

(Continued on next page)

 

See Accompanying Notes.

  

7
 

  

TICC CAPITAL CORP.

 

CONSOLIDATED SCHEDULE OF INVESTMENTS - (Continued)

SEPTEMBER 30, 2012

(unaudited)

 

COMPANY(1)  INDUSTRY  INVESTMENT  PRINCIPAL
AMOUNT
   COST   FAIR VALUE(2)   % of Net
Assets
 
                       
Preferred Equity                          
                           
GenuTec Business Solutions, Inc.  interactive voice messaging services  convertible preferred stock(7)  $-   $1,500,000   $-    
                           
Pegasus Solutions, Inc.  enterprise software  preferred equity(3)
(14.00% PIK dividend)
   -    1,360,510    1,367,328      
                           
Stratus Technologies, Inc.  computer hardware  preferred equity(7)   -    186,622    80,752      
                           
Total Preferred Equity Investments             $3,047,132   $1,448,080    0.4%
                           
Warrants                          
                           
Band Digital Inc.
(F/K/A "WHITTMANHART, Inc.")
  IT consulting  warrants to purchase common stock(7)  $-   $-   $-      
                           
Fusionstorm, Inc.  IT value-added reseller  warrants to purchase common stock(7)   -    725,000    968,493      
                           
Total Warrants             $725,000   $968,493    0.2%
                           
Total Investments             $512,910,112   $537,697,939    132.1%

  

 

 

(1)Other than Algorithmic Implementation, Inc. (d/b/a Ai Squared), which we may be deemed to control, 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 $28,093,220 of principal amount of debt investments which contain a PIK provision. Portfolio also includes one preferred equity position which contains a PIK dividend provision.
(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 $37,571,864; aggregate gross unrealized depreciation for federal income tax purposes is $31,312,556. Net unrealized appreciation is $6,259,308 based upon a tax cost basis of $531,438,631.
(9)All or a portion of this investment represents TICC CLO LLC collateral.
(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 Investment Company Act of 1940, as amended. Qualifying assets must represent at least 70% of the Company’s total assets at the time of acquisition of any additional non-qualifying assets.
(12)Investment not domiciled in the United States.
(13)Debt investment on non-accrued status at the relevant period end.

 

See Accompanying Notes.

 

8
 

  

TICC CAPITAL CORP.

 

CONSOLIDATED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2011

 

COMPANY (1)  INDUSTRY  INVESTMENT  PRINCIPAL AMOUNT   COST   FAIR VALUE(2)   % of Net 
Assets
 
Senior Secured Notes                          
                           
Airvana Network Solutions, Inc.  telecommunication services  senior secured notes (4)(5)(6)(9)
(10.00%, due March 25, 2015)
  $5,476,190   $5,386,864   $5,465,950    
                           
AKQA, Inc.  advertising  senior secured notes(4)(6)(9)
(5.09%, due March 20, 2013)
   7,730,214    7,730,214    7,575,604      
                           
Algorithmic Implementations, Inc.
(d/b/a “Ai Squared”)
  software  senior secured notes(4)(5)(6)
(9.84%, due September 11, 2013)
   14,550,000    14,434,371    14,550,000      
                           
American Integration Technologies, LLC  semiconductor capital equipment  senior secured notes(4)(5)
(11.75%, due December 31, 2013)
   23,401,906    21,116,076    22,582,839      
                           
Anchor Glass Container Corporation  packaging and glass  senior secured notes(4)(9)
(6.00%, due March 2, 2016)
   4,957,465    4,957,465    4,932,678      
                           
Attachmate Corporation  enterprise software  senior secured notes(4)(5)(9)
(6.50%, due April 27, 2017)
   4,937,500    4,793,262    4,816,531      
                           
Band Digital Inc.
(F/K/A “WHITTMANHART, Inc.”)
  IT consulting  senior secured notes(4)(6)
(15.58%, due December 31, 2012)
   1,900,000    1,900,000    1,900,000      
                           
BNY Convergex  financial intermediaries  second lien senior secured notes(4)(9)
(8.75%, due December 17, 2017)
   1,875,000    1,858,003    1,781,250      
                           
CHS/Community Health Systems, Inc.  healthcare  senior secured notes(4)(5)(6)(9)(10)
(3.96%, due July 25, 2014)
   3,979,849    3,714,932    3,838,087      
                           
Decision Resources, LLC  healthcare  first lien senior secured notes(4)(5)(9)
(7.00%, due December 28, 2016)
   4,950,000    4,890,742    4,702,500      
                           
      second lien senior secured notes(4)(5)
(9.50%, due May 13, 2018)
   5,333,333    5,283,543    5,226,667      
                           
Diversified Machine, Inc.  autoparts manufacturer  first lien senior secured notes(4)(5)(9)
(9.25%, due December 1, 2016)
   5,000,000    4,926,898    4,987,500      
                           
Embanet-Compass Knowledge Group, Inc.  education  senior secured notes(4)(5)(6)(9)
(5.50%, due June 27, 2017)
   4,975,000    4,831,896    4,825,750      
                           
Emdeon, Inc.  healthcare  senior secured notes(4)(5)(6)(9)
(6.75%, due November 2, 2018)
   1,950,000    1,892,562    1,964,625      
                           
Endurance International Group, Inc.  web hosting  first lien senior secured notes(4)(5)(9)
(7.75%, due December 28, 2016)
   10,000,000    9,900,000    9,950,000      
                           
GenuTec Business Solutions, Inc.  interactive voice messaging services  senior secured notes(4)(5)(7)
(0.0%, due October 30, 2014)
   3,476,000    3,152,069    2,000,000      
                           
Getty Images, Inc.  printing and publishing  senior secured notes(4)(5)(6)(9)
(5.25%, due November 5, 2016)
   5,000,000    4,941,392    5,000,000      
                           
Global Tel Link Corp.  telecommunication services  senior secured notes(4)(5)(6)(9)
(7.00%, due December 14, 2017)
   5,818,182    5,717,186    5,727,302      
                           
Goodman Global, Inc.  building and development  senior secured notes(4)(5)(6)(9)
(5.75%, due October 28, 2016)
   4,860,748    4,778,271    4,847,916      
                           
GRD Holding III  retail  senior secured notes(4)(5)(6)(9)
(8.75%, due October 5, 2017)
   4,000,000    3,610,953    3,520,000      
                           
GXS Worldwide Inc.  business services  senior secured notes(5)(9)
(9.75%, due June 15, 2015)
   8,000,000    7,906,828    7,440,000      

 

( Continued on next page )

 

See Accompanying Notes.

 

9
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED SCHEDULE OF INVESTMENTS – (Continued)

DECEMBER 31, 2011

 

COMPANY (1)  INDUSTRY  INVESTMENT  PRINCIPAL
AMOUNT
   COST   FAIR VALUE (2)   % of Net
Assets
 
Senior Secured Notes—(continued)                          
                           
HHI Holdings LLC  auto parts manufacturer  senior secured notes(4)(5)(9)
(7.00%, due March 21, 2017)
  $4,466,250   $4,448,122   $4,393,673    
                           
Hyland Software, Inc.  enterprise software  senior secured notes(4)(5)(6)(9)
(5.75%, due December 19, 2016)
   2,852,555    2,798,057    2,809,767      
                           
Immucor, Inc.  healthcare  senior secured term B notes(4)(5)(9)
(7.25%, due August 19, 2018)
   4,488,750    4,332,486    4,508,949      
                           
InfoNXX Inc.  telecommunication services  second lien senior secured notes(4)(5)(9)
(6.55%, due December 1, 2013)
   7,000,000    6,693,859    6,440,000      
                           
Mercury Payment Systems, LLC  financial intermediaries  senior secured notes(4)(6)(9)
(6.50%, due July 1, 2017)
   3,980,000    3,980,000    3,960,100      
                           
Merrill Communications, LLC  printing and publishing  second lien senior secured notes(3)(4)(5)(9)
(11.75% cash/2.62% PIK, due November 15, 2013)
   6,219,910    6,180,828    5,867,428      
                           
National Healing Corp.  healthcare  senior secured notes(4)(5)(9)
(8.25%, due November 30, 2017)
   6,000,000    5,702,372    5,760,000      
                           
Nextag, Inc.  retail  senior secured notes(4)(5)(6)(9)
(7.00%, due January 27, 2016)
   10,766,667    10,153,496    10,416,750      
                           
Pegasus Solutions, Inc.  enterprise software  first lien senior secured notes(4)(5)(6)(9)
(7.75%, due April 17, 2013)
   2,577,942    2,448,984    2,496,299      
                           
      second lien senior secured notes(3)(5)(6)
(0.00% Cash/13.00% PIK, due April 15, 2014)
   6,000,838    4,283,558    5,640,788      
                           
Petco, Inc.  retail  senior secured notes(4)(9)
(4.50%, due November 24, 2017)
   5,000,000    4,768,740    4,865,000      
                           
Phillips Plastics Corporation  healthcare  senior secured notes(4)(5)(6)(9)
(6.50%, due February 12, 2017)
   2,992,500    2,967,686    2,955,094      
                           
Power Tools, Inc.  software  senior secured notes(4)(5)(6)
(12.00%, due May 16, 2014)
   8,000,000    7,947,337    7,200,000      
                           
Presidio IS Corp.  business services  senior secured notes(4)(6)(9)
(7.25%, due March 31, 2017)
   4,743,590    4,743,590    4,672,436      
                           
RBS Holding Company  printing and publishing  term B senior secured notes(4)(5)(9)
(6.50%, due March 23, 2017)
   4,962,500    4,917,481    3,870,750      
                           
RCN Telecom Services, LLC  cable/satellite television  senior secured notes(4)(5)(9)
(6.50%, due August 26, 2016)
   4,974,811    4,890,594    4,878,847      
                           
Renaissance Learning  education  senior secured notes(4)(5)(9)
(7.75%, due October 19, 2017)
   3,990,000    3,833,900    3,920,175      
                           
Securus Technologies  telecommunication services  second lien senior secured notes(4)(5)(9)
(10.00%, due May 18, 2018)
   5,400,000    5,298,371    5,319,000      
                           
Shield Finance Co.  software  first lien term notes(4)(5)(9)(10)(11)
(7.75%, due June 15, 2016)
   3,790,914    3,662,185    3,781,437      
                           
SkillSoft Corporation  business services  senior secured notes(4)(5)(6)(9)
(6.50%, due May 26, 2017)
   5,000,000    4,952,306    4,952,100      
                           
SonicWall, Inc.  software  first lien senior secured notes(4)(5)(9)
(8.27%, due January 23, 2016)
   1,071,774    1,043,499    1,071,774      
                           
      second lien senior secured notes(4)(5)(9)
(12.00%, due January 23, 2017)
   5,000,000    4,873,705    4,950,000      

 

( Continued on next page )

 

See Accompanying Notes.

 

10
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED SCHEDULE OF INVESTMENTS – (Continued)

DECEMBER 31, 2011

 

COMPANY (1)  INDUSTRY  INVESTMENT  PRINCIPAL
AMOUNT
   COST   FAIR VALUE (2)   % of Net
Assets
 
Senior Secured Notes—(continued)                          
                           
SourceHOV, LLC  business services  second lien senior secured notes(4)(5)
(10.50%, due May 19, 2018)
  $8,000,000   $7,661,825   $6,560,000    
                           
Stratus Technologies, Inc.  computer hardware  first lien high yield notes(5)(9)
(12.00%, due March 29, 2015)
   9,753,000    9,098,094    9,753,000      
                           
Sunquest Information Systems,
Inc.
  healthcare  senior secured notes(4)(5)(6)(9)
(6.25%, due December 16, 2016)
   4,975,000    4,868,469    4,912,813      
                           
Syniverse Holdings, Inc.  telecommunication services  senior secured notes(4)(5)(6)(9)
(5.25%, due December 21, 2017)
   3,979,900    3,836,252    3,971,622      
                           
Teleguam Holdings, LLC  telecommunication services  second lien senior secured notes(4)(5)(9)
(9.75%, due June 9, 2017)
   4,687,500    4,643,890    4,593,750      
                           
Unitek Global Services, Inc.  IT consulting  tranche B term loan(4)(5)(9)
(9.00%, due April 15, 2018)
   7,940,000    7,713,041    7,701,800      
                           
US FT HoldCo. Inc.
(A/K/A US FT HoldCo. Inc.)
  financial intermediaries  senior secured notes(4)(5)(6)(9)
(7.50%, due November 30, 2017)
   6,000,000    5,844,017    5,880,000      
                           
Vision Solutions, Inc.  software  second lien senior secured notes(4)(5)(9)
(9.50%, due July 23, 2017)
   10,000,000    9,908,753    9,600,000      
                           
WEB.COM Group, Inc.  web hosting  senior secured notes(4)(5)(9)(10)
(7.00%, due October 27, 2017)
   5,000,000    4,428,688    4,575,000      
                           
Total Senior Secured Notes             $290,647,712   $289,913,551    95.0%
                           
Subordinated Notes                          
                           
Fusionstorm, Inc.  IT value-added reseller  subordinated notes(4)(5)(6)
(11.74%, due February 28, 2013)
  $1,022,500   $1,022,351   $962,939      
                           
Shearer’s Food Inc.  food products manufacturer  subordinated notes(3)(4)(5)(9)
(12.00% Cash/3.75% PIK, due March 31,
2016)
   4,221,193    4,141,875    3,967,921      
                           
Total Subordinated Notes             $5,164,226   $4,930,860    1.6%
                           
Collateralized  Loan Obligation—Debt Investments                       
                           
Avenue CLO V LTD 2007-5A D1  structured finance  CLO secured notes(4)(5)(10)(11)
(3.87%, due April 25, 2019)
  $4,574,756   $2,327,337   $2,511,999      
                           
Canaras CLO—2007-1A E  structured finance  CLO secured notes(4)(5)(10)(11)
(4.91%, due June 19, 2021)
   3,500,000    1,884,762    2,152,500      
                           
CIFC CLO—2006-1A B2L  structured finance  CLO secured notes(4)(5)(10)(11)
(4.41%, due October 20, 2020)
   3,247,284    1,679,332    2,061,863      
                           
Emporia CLO 2007 3A E  structured finance  CLO secured notes(4)(5)(10)(11)
(4.12%, due April 23, 2021)
   5,391,000    4,140,712    3,180,690      
                           
Flagship 2005-4A D  structured finance  CLO secured notes(4)(5)(10)(11)
(5.28%, due June 1, 2017)
   2,612,988    1,644,453    1,835,624      
                           
Harch 2005-2A BB CLO  structured finance  CLO secured notes(4)(5)(10)(11)
(5.42%, due October 22, 2017)
   4,819,262    2,580,789    3,108,424      
                           
Hewetts Island CDO 2007—1RA E  structured finance  CDO secured notes(4)(5)(10)(11)
(7.20%, due November 12, 2019)
   3,132,057    1,890,861    2,380,363      
                           
Hewetts Island CDO III 2005-1A D  structured finance  CDO secured notes(4)(5)(6)(10)(11)
(6.19%, due August 9, 2017)
   6,456,937    3,587,739    5,072,944      
                           
Hewetts Island CDO IV 2006-4 E  structured finance  CDO secured notes(4)(5)(10)(11)
(4.99%, due May 9, 2018)
   7,897,268    5,575,257    5,176,396      
                           
Landmark V CDO LTD.  structured finance  CDO senior secured notes(4)(5)(6)(10)(11)
(5.78%, due June 1, 2017)
   3,646,669    2,243,178    2,511,825      
                           
Latitude II CLO 2006 2A D  structured finance  CLO senior secured notes(4)(5)(6)(10)(11)
(4.30%, due December 15, 2018)
   2,828,018    1,575,173    1,753,371      

 

( Continued on next page )

See Accompanying Notes.

  

11
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED SCHEDULE OF INVESTMENTS – (Continued)

DECEMBER 31, 2011

 

COMPANY (1)  INDUSTRY  INVESTMENT  PRINCIPAL
AMOUNT
   COST   FAIR VALUE (2)   % of Net
Asset
 
Collateralized Loan Obligation - Debt Investments — (continued)                          
                           
Latitude III CLO 2007-3A  structured finance  CLO secured notes(4)(5)(10)(11)
(4.14%, due April 11, 2021)
  $4,000,000   $1,935,665   $2,360,000    
                           
Liberty CDO LTD 2005-1A C  structured finance  CDO secured notes(4)(5)(6)(10)(11)
(2.33%, due November 1,2017)
   1,986,259    1,155,372    1,311,924      
                           
Lightpoint CLO 2007-8A  structured finance  CLO secured notes(4)(5)(10)(11)
(6.90%, due July 25, 2018)
   5,000,000    2,896,267    3,700,000      
                           
Loomis Sayles CLO 2006-1AE  structured finance  CLO secured notes(4)(5)(10)(11)
(4.27%, due October 26, 2020)
   3,322,992    1,903,601    1,993,795      
                           
Ocean Trails CLO II 2007-2a-d  structured finance  CLO subordinated secured
notes(4)(5)(10)(11)
(4.90%, due June 27, 2022)
   3,649,700    2,079,669    2,189,820      
                           
Primus 2007 2X Class E CLO  structured finance  CLO notes (4)(5)(10)(11)
(5.15%, due July 15, 2021)
   2,834,633    2,168,472    1,686,607      
                           
Prospero CLO II BV  structured finance  CLO senior secured notes(4)(5)(10)(11)
(4.20%, due October 20, 2022)
   9,900,000    4,389,696    5,940,000      
                           
Total Collateralized Loan Obligation—Debt Investments             $45,658,335   $50,928,145    16.7%
                           
Collateralized Loan Obligation—Equity Investments                          
                           
ACA CLO 2006-2, Limited  structured finance  CLO preferred equity(10)(11)  $   $2,200,000   $3,750,000      
                           
Canaras CLO Equity - 2007-1A, 1X  structured finance  CLO income notes(10)(11)       4,355,000    3,825,000      
                           
GALE 2007-4A CLO  structured finance  CLO income notes(10)(11)       1,965,000    1,950,000      
                           
GSC Partners 2007-8X Sub CDO  structured finance  CLO income notes(10)(11)       4,110,000    4,560,000      
                           
Harbourview - 2006A CLO Equity  structured finance  CDO subordinated notes(10)(11)       3,639,870    2,729,350      
                           
Jersey Street 2006-1A CLO LTD.  structured finance  CLO income notes(10)(11)       4,924,237    4,229,225      
                           
Kingsland LTD 2007-4X Sub.  structured finance  CLO income notes(10)(11)       402,500    376,250      
                           
Lightpoint CLO 2005-3X  structured finance  CLO income notes(10)(11)       3,330,000    3,116,250      
                           
Lightpoint CLO VII LTD 2007-7  structured finance  CLO subordinated notes(10)(11)       1,562,500    1,360,000      
                           
Marlborough Street 2007-1A  structured finance  CLO income notes(10)(11)       1,739,000    1,504,000      
                           
OCT11 2007-1A CLO  structured finance  CLO income notes(10)(11)       2,434,162    2,351,250      
                           
Rampart 2007-1A CLO Equity  structured finance  CLO subordinated notes(10)(11)       3,412,500    2,870,000      
                           
Sargas CLO 2006 -1A  structured finance  CLO subordinated notes(10)(11)       4,945,500    6,666,000      
                           
Total Collateralized Loan Obligation—Equity Investments             $39,020,269   $39,287,325    12.9%
                           
Common Stock                          
                           
Algorithmic Implementations, Inc.  software  common stock  $   $3,000,000   $1,125,000      
                           
(d/b/a “Ai Squared”)                          
                           
Integra Telecomm, Inc.  telecommunication
services
  common stock(7)       1,712,397    1,051,271      
                           
Pegasus Solutions, Inc.  enterprise software  common equity(7)       62,595    959,999      
                           
Stratus Technologies, Inc.  computer hardware  common equity(7)       377,928          
                           
Total Common Stock Investments             $5,152,920   $3,136,270    1.0%

 

( Continued on next page )

See Accompanying Notes.

 

12
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED SCHEDULE OF INVESTMENTS – (Continued)

DECEMBER 31, 2011

 

COMPANY (1)  INDUSTRY  INVESTMENT  PRINCIPAL
AMOUNT
   COST   FAIR VALUE (2)   % of Net
Assets
 
Preferred Equity                          
                           
GenuTec Business Solutions, Inc.  interactive voice messaging services  convertible preferred stock(7)  $   $1,500,000   $    
                           
Pegasus Solutions, Inc.  enterprise software  preferred equity(3)
(14.00% PIK dividend)
       1,120,542    2,176,237      
                           
Stratus Technologies, Inc.  computer hardware  preferred equity(7)       186,622    318,451      
                           
Total Preferred Equity Investments             $2,807,164   $2,494,688    0.8%
                           
Warrants                          
                           
Band Digital Inc.
(F/K/A “WHITTMANHART, Inc.”)
  IT consulting  warrants to purchase common stock (7)  $   $   $      
                           
Fusionstorm, Inc.  IT value-added reseller  warrants to purchase common stock (7)       725,000    578,000      
                           
Power Tools, Inc.  software  warrants to purchase common stock(7)       350,000    200,000      
                           
Total Warrants             $1,075,000   $778,000    0.3%
                           
Total Investments             $389,525,626   $391,468,839    128.3%

 

(1)Other than Algorithmic Implementation, Inc. (d/b/a Ai Squared), which we may be deemed to control, 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 $16,441,941 of principal amount of debt investments which contain a PIK provision. Portfolio also includes one preferred equity position which contains a PIK dividend provision. For the year ending December 31, 2011, total PIK income is $1,474,475, which is derived from the following investments with a PIK provision: Merrill Communications, LLC ($150,893), Pegasus Solutions, Inc. ($710,143), Pegasus Solutions, Inc. Preferred Equity ($463,295) and Shearer’s Food Inc. ($150,144). See also Note 2 to the Consolidated Financial Statements.
(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 $18,879,992; aggregate gross unrealized depreciation for federal income tax purposes is $35,465,298. Net unrealized depreciation is $16,585,306 based upon a tax cost basis of $408,054,145.
(9)All or a portion of this investment represents TICC CLO LLC collateral.
(10)Indicates assets that the Company believes do not represent “qualifying assets” under Section 55(a) of the Investment Company Act of 1940, as amended. Qualifying assets must represent at least 70% of the Company’s total assets at the time of acquisition of any additional non-qualifying assets.
(11)Investment not domiciled in the United States.

 

See Accompanying Notes.

  

13
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED STATEMENTS OF OPERATIONS

(unaudited)

 

   Three Months
Ended
September 30, 2012
   Three Months
Ended
September 30, 2011
   Nine Months
Ended
September 30, 2012
   Nine Months
Ended
September 30, 2011
 
                 
INVESTMENT INCOME                    
From non-affiliated/non-control investments:                    
Interest income - debt investments  $8,908,966   $7,435,546   $27,159,248   $21,198,270 
Distributions from securitization vehicles and equity investments   6,025,634    3,196,002    17,919,415    9,079,259 
Commitment, amendment fee income and other income   278,613    60,953    4,524,825    506,972 
Total investment income from non-affiliated/non-control investments   15,213,213    10,692,501    49,603,488    30,784,501 
From control investments:                    
Interest income - debt investments   377,401    392,449    1,136,010    1,194,871 
Distributions from equity investments   -    -    62,041    - 
Total investment income from control investments   377,401    392,449    1,198,051    1,194,871 
Total investment income   15,590,614    11,084,950    50,801,539    31,979,372 
EXPENSES                    
Compensation expense   289,361    217,639    839,049    713,491 
Investment advisory fees   2,796,873    1,942,657    7,390,894    5,218,773 
Professional fees   420,696    386,087    1,647,733    847,301 
Interest expense and other debt financing expenses   1,398,975    434,283    3,052,056    434,283 
General and administrative   423,884    185,833    1,151,363    760,576 
Total expenses before incentive fees   5,329,789    3,166,499    14,081,095    7,974,424 
Net investment income incentive fees   1,003,437    455,864    4,360,917    1,444,415 
Capital gains incentive fees   4,649,814    (4,153,198)   4,559,957    873,288 
Total incentive fees   5,653,251    (3,697,334)   8,920,874    2,317,703 
Total expenses   10,983,040    (530,835)   23,001,969    10,292,127 
Net investment income   4,607,574    11,615,785    27,799,570    21,687,245 
Net change in unrealized appreciation (depreciation) on investments   21,471,506    (20,114,242)   22,844,614    (17,051,762)
Net realized gains on investments   1,777,564    83,178    3,555,702    2,713,526 
Net increase (decrease) in net assets resulting from operations  $27,856,644   $(8,415,279)  $54,199,886   $7,349,009 
                     
Net increase in net assets resulting from net investment income per common share:                    
Basic  $0.12   $0.36   $0.75   $0.67 
Diluted  $0.12   $0.36   $0.75   $0.67 
Net increase (decrease) in net assets resulting from operations per                    
common share:                    
Basic  $0.71   $(0.26)  $1.47   $0.23 
Diluted  $0.70   $(0.26)  $1.47   $0.23 
Weighted average shares of common stock outstanding:                    
Basic   39,383,076    32,672,294    36,859,005    32,327,163 
Diluted   39,880,940    32,672,294    37,026,172    32,327,163 

 

See Accompanying Notes.

 

14
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

(unaudited)

 

   Nine Months
Ended
September 30, 2012
   Year Ended
December 31, 2011
 
         
Increase in net assets from operations:          
Net investment income  $27,799,570   $30,000,141 
Net realized gains on investments   3,555,702    3,600,539 
Net change in unrealized appreciation (depreciation) on investments   22,844,614    (19,391,815)
           
Net increase in net assets resulting from operations   54,199,886    14,208,865 
           
           
Distributions to shareholders   (32,338,693)   (32,176,536)
           
Capital share transactions:          
Issuance of common stock (net of offering costs of $3,545,895 and $318,630, respectively)   78,426,107    6,360,019 
Reinvestment of dividends   1,508,158    2,592,102 
           
Net increase in net assets from capital share transactions   79,934,265    8,952,121 
           
Total increase (decrease) in net assets   101,795,458    (9,015,550)
Net assets at beginning of period   305,101,991    314,117,541 
Net assets at end of period (including over distributed net investment income of $3,832,004 and $3,852,838, respectively)  $406,897,449   $305,101,991 
Capital share activity:          
Shares sold   8,337,500    651,599 
Shares issued from reinvestment of dividends   156,852    280,462 
           
Net increase in capital share activity   8,494,352    932,061 

 

See Accompanying Notes.

 

15
 

 

TICC CAPITAL CORP.

 

CONSOLIDATED STATEMENTS OF CASH FLOWS

(unaudited)

 

   Nine Months
 Ended
September 30, 2012
   Nine Months
 Ended
September 30, 2011
 
         
CASH FLOWS FROM OPERATING ACTIVITIES          
Net increase in net assets resulting from operations  $54,199,886   $7,349,009 
Adjustments to reconcile net increase in net assets resulting from operations to net cash used by operating activities:          
Amortization of discounts   (4,289,325)   (3,691,433)
Amortization of discount on notes payable and deferred debt issuance costs   430,826    51,010 
Increase in investments due to PIK   (4,380,550)   (952,594)
Purchases of investments   (226,365,499)   (203,123,442)
Repayments of principal and reductions to investment cost value   115,860,293    79,432,400 
Proceeds from the sale of investments   20,051,265    8,407,096 
Net realized gains on investments   (3,555,702)   (2,713,526)
Net change in unrealized (appreciation) depreciation on investments   (22,844,614)   17,051,762 
Increase in interest and distributions receivable   (2,659,130)   (657,899)
Decrease (increase) in other assets   136,347    (41,174)
(Decrease) increase in accrued interest payable   (48,482)   383,273 
Increase in investment advisory fee payable   904,512    637,624 
Increase in accrued capital gains incentive fee   4,559,957    873,288 
Increase in accrued expenses   346,954    427,353 
Net cash used by operating activities   (67,653,263)   (96,567,253)
CASH FLOWS FROM INVESTING ACTIVIES          
Change in restricted cash   (73,546,292)   (46,216,337)
Net cash used by investing activities   (73,546,292)   (46,216,337)
CASH FLOWS FROM FINANCING ACTIVITIES          
Notes payable - debt securitizations (net of discount of $4,440,163 and $1,588,125, respectively)  $112,559,837   $99,661,875 
Proceeds from the issuance of convertible senior notes   105,000,000    - 
Deferred debt issuance costs   (5,545,177)   (3,014,393)
Proceeds from the issuance of common stock   81,972,002    6,678,649 
Offering expenses from the issuance of common stock   (3,545,895)   (318,630)
Distributions paid (net of stock issued under dividend reinvestment plan of $1,508,158 and $1,964,565, respectively)   (30,830,535)   (22,025,500)
Net cash provided by financing activities   259,610,232    80,982,001 
           
Net increase (decrease) in cash and cash equivalents   118,410,677    (61,801,589)
           
Cash and cash equivalents, beginning of period   4,494,793    68,780,866 
           
Cash and cash equivalents, end of period  $122,905,470   $6,979,277 
           
NON-CASH FINANCING ACTIVITIES          
Value of shares issued in connection with dividend reinvestment plan  $1,508,158   $1,964,565 
           
SUPPLEMENTAL DISCLOSURES          
Securities sold not settled  $503,750   $- 
Securities purchased not settled  $34,561,217   $10,947,626 
Cash paid for interest  $2,669,712   $- 

 

See Accompanying Notes.

 

16
 

 

TICC CAPITAL CORP.

 

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

SEPTEMBER 30, 2012

 

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 (“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 solely 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 financial statements and notes thereto included in the Company’s Form 10-K for the year ended December 31, 2011, 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 treated as a business development company 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”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. BDC Partners, LLC (“BDC Partners”) is the managing member of TICC Management and serves as the administrator of TICC.

 

On August 10, 2011, the Company completed a $225.0 million debt securitization financing transaction. The Class A Notes offered in the debt securitization were issued by TICC CLO LLC (the “2011 Securitization Issuer” or “ TICC CLO”), a subsidiary of TICC Capital Corp. 2011-1 Holdings, LLC (“Holdings”), a direct subsidiary of TICC, and the notes are secured by the assets held by the 2011 Securitization Issuer. The securitization was executed through a private placement of $101.25 million of Aaa/AAA Class A Notes of the 2011 Securitization Issuer. Holdings retained all of the subordinated notes, which totaled $123.75 million, and retained all the membership interests in the 2011 Securitization Issuer. For further information on this securitization, see Note 4.

 

On August 23, 2012, the Company completed a $160 million debt securitization financing transaction. The secured and subordinated notes offered in the debt securitization were issued by TICC CLO 2012-1 LLC (“2012 Securitization Issuer” or “TICC CLO 2012-1”), a newly formed special purpose vehicle that is a wholly-owned subsidiary of the Company. The secured notes of the 2012 Securitization Issuer have an aggregate face amount of $120 million and were issued in four classes. The class A-1 notes have an initial face amount of $88 million, are rated AAA(sf)/Aaa(sf) by Standard & Poor’s Ratings Services (S&P) and Moody’s Investors Service, Inc. (Moody’s), respectively, and bear interest at three-month LIBOR plus 1.75%. The class B-1 notes have an initial face amount of $10 million, are rated AA(sf)/Aa2(sf) by S&P and Moody’s, respectively, and bear interest at three-month LIBOR plus 3.50%. The class C-1 notes have an initial face amount of $11.5 million, are rated A(sf)/A2(sf) by S&P and Moody’s, respectively, and bear interest at three-month LIBOR plus 4.75%. The class D-1 notes have an initial face amount of $10.5 million, are rated BBB(sf)/Baa2(sf) by S&P and Moody’s, respectively, and bear interest at three-month LIBOR plus 5.75%. TICC presently owns all of the subordinated notes, which totaled $40 million, and $3 million of the class D-1 notes issued in this CLO transaction. For further information on this securitization, see Note 4.

 

The Company consolidated the results of its subsidiaries, Holdings, TICC CLO and TICC CLO 2012-1, in its consolidated financial statements as the subsidiaries are operated solely for investment activities of the Company, and the Company has substantial equity at risk. The creditors of TICC CLO and TICC CLO 2012-1 have received security interests in the assets owned by TICC CLO and TICC CLO 2012-1, respectively, and such assets are not intended to be available to the creditors of TICC (or any other affiliate of TICC).

 

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On September 26, 2012, the Company closed a private placement of 5-year unsecured 7.50% Senior Convertible Notes Due 2017 (the “Convertible Notes”). A total of $105 million aggregate principal amount of the Convertible Notes were issued at the closing. An additional $10 million aggregate principal amount of the Convertible Notes were issued on October 22, 2012 pursuant to the exercise of the initial purchasers’ option to purchase additional Convertible Notes. The Convertible Notes are convertible into shares of the Company’s common stock based on an initial conversion rate of 87.2448 shares of the Company’s 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, representing an approximately 10.0% conversion premium over the last reported sale price of the Company’s common stock on September 20, 2012, which was $10.42 per share. The conversion price for the Convertible Notes will be reduced for quarterly cash dividends paid to common shares to the extent that the quarterly dividend exceeds $0.29 cents per share, subject to adjustment. The Convertible Notes bear interest at an annual rate of 7.50%, payable semiannually in arrears on May 1 and November 1 of each year, beginning May 1, 2013. The Convertible Notes mature on November 1, 2017, unless previously converted in accordance with their terms. The Convertible Notes are general unsecured obligations of the Company, rank equally in right of payment with the Company’s future senior unsecured debt, and rank senior in right of payment to any potential subordinated debt, should any be issued in the future.

 

NOTE 3. INVESTMENT VALUATION

 

The most significant estimates made in the preparation of TICC’s consolidated financial statements are 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. TICC is required to specifically fair value each individual investment on a quarterly basis.

 

In May 2011, the FASB issued ASU 2011-04, “Fair Value Measurement which represents amendments to achieve common fair value measurement and disclosure requirements in US GAAP and IFRS .” The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurement and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011 and as such TICC has adopted this ASU beginning with the quarter ended March 31, 2012. TICC has increased its disclosures related to Level 3 fair value measurement, in addition to other required disclosures. There were no related impacts on TICC’s financial position or results of operations.

 

TICC adopted ASC 820-10, Fair Value Measurements and Disclosure, which establishes a three-level valuation hierarchy for disclosure of fair value measurements, on January 1, 2008. 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. TICC has determined that due to the general illiquidity of the market for its investment portfolio, whereby little or no market data exists, almost all of TICC’s investments are based upon “Level 3” inputs.

 

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 portfolio company valuations using the most recent portfolio company financial statements and forecasts. Since March 2004, TICC has engaged third-party valuation firms to provide assistance in valuing its bilateral investments and, more recently, for certain of its syndicated loans, although TICC’s Board of Directors ultimately determines the appropriate valuation of each such investment.

 

TICC’s process for determining the fair value of a bilateral investment begins with determining the enterprise value of the portfolio company. Enterprise value means the entire value of the company to a potential buyer, including the sum of the values of debt and equity securities used to capitalize the enterprise at a point in time. The fair value of TICC’s investment is based, in part, on the enterprise value at which the portfolio company could be sold in an orderly disposition over a reasonable period of time between willing parties other than in a forced or liquidation sale. The liquidity event whereby TICC exits a private investment is generally the sale, the recapitalization or, in some cases, the initial public offering of the portfolio company.

 

There is no one methodology to determine enterprise value and, in fact, for any one portfolio company, enterprise value is best expressed as a range of fair values, from which TICC derives a single estimate of enterprise value. To determine the enterprise value of a portfolio company, TICC analyzes the historical and projected financial results, as well as the nature and value of any collateral. TICC also uses industry valuation benchmarks and public market comparables. TICC also considers other events, including private mergers and acquisitions, a purchase transaction, public offering or subsequent debt or equity sale or restructuring, and include these events in the enterprise valuation process. TICC generally requires portfolio companies to provide annual audited and quarterly unaudited financial statements, as well as annual projections for the upcoming fiscal year.

 

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Typically, TICC’s bilateral debt investments are valued on the basis of a fair value determination arrived at through an analysis of the borrower’s financial and operating condition or other factors, as well as consideration of the entity’s enterprise value. The types of factors that TICC may take into account in valuing its investments include: market trading and transaction comparables, applicable market yields and multiples, security covenants, call protection provisions, the nature and realizable value of any collateral, the portfolio company’s ability to make payments and its earnings and discounted cash flows, among other factors. The fair value of equity interests in portfolio companies is determined based on various factors, including the enterprise value remaining for equity holders after the repayment of the portfolio company’s debt and other preference capital, and other pertinent factors such as recent offers to purchase a portfolio company, recent transactions involving the purchase or sale of the portfolio company’s equity securities, or other liquidity events. The determined equity values are generally discounted when TICC has a minority position, restrictions on resale, specific concerns about the receptivity of the capital markets to a specific company at a certain time, or other factors.

 

TICC will record unrealized depreciation on bilateral investments when TICC believes that an investment has become impaired, including where collection of a loan or realization of an equity security is doubtful. To the extent that TICC believes that it has become probable that a loan is not collectible or probable that an equity investment is not realizable, TICC will classify that amount as a realized loss. TICC will record unrealized appreciation if TICC believes that the underlying portfolio company has appreciated in value and TICC’s equity security has also appreciated in value. Changes in fair value, other than such changes that are considered probable of non-collection or non-realization, as described above, are recorded in the statement of operations as net change in unrealized appreciation or depreciation.

 

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 for which market quotations are not readily available 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, the frequency of those third-party valuations of TICC’s portfolio securities 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. TICC Management also retains the authority to seek, on TICC’s behalf, additional third party valuations with respect to both TICC’s bilateral portfolio securities and TICC’s syndicated loan investments. TICC’s Board of Directors retains ultimate authority as to the third-party review cycle as well as the appropriate valuation of each investment.

 

On April 9, 2009, the FASB issued additional guidelines under ASC 820-10-35, “ Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly ,” which provides guidance on factors that should be considered in determining when a previously active market becomes inactive and whether a transaction is orderly. In accordance with ASC 820-10-35, 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 for which TICC obtains indicative bid quotes for purposes of determining the fair value of its syndicated loan investments have shown these attributes of illiquidity as described by ASC-820-10-35. Due to limited market liquidity in the syndicated loan market, TICC believes that the non-binding indicative bids received from agent banks for certain syndicated investments that TICC owns may not be determinative of their fair value and therefore alternative valuation procedures may need to be undertaken. As a result, TICC has engaged 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. TICC has considered the factors described in ASC 820-10 and has determined that TICC is properly valuing the securities in its portfolio.

 

During the past several quarters, TICC has acquired a number of debt and equity positions in collateralized loan obligation (“CLO”) investment vehicles. These investments are special purpose financing vehicles. In valuing such investments, TICC considers the operating metrics of the specific investment vehicle, including compliance with collateralization tests, defaulted and restructured securities, and payment defaults, if any. In addition, TICC considers the indicative prices provided by a recognized industry pricing service as well as the indicative prices provided by the broker who arranges transactions in such investment vehicles, as well as any available information on other relevant transactions including firm bids and offers in the market. 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.

 

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The Company’s assets measured at fair value on a recurring basis subject to the disclosure requirements of ASC 820-10-35 at September 30, 2012, were as follows:

 

($ in millions)  Fair Value Measurements at Reporting Date Using     
Assets  Quoted Prices in
Active  Markets for
Identical Assets
(Level 1)
   Significant
Other 
Observable
Inputs
(Level 2)
   Significant
Unobservable
Inputs
(Level 3)
   Total 
Cash equivalents  $0.0   $0.0   $0.0   $0.0 
Senior Secured Notes   0.0    12.7    342.6    355.3 
CLO Debt   0.0    0.0    87.7    87.7 
CLO Equity   0.0    0.0    82.8    82.8 
Subordinated Notes   0.0    0.0    4.9    4.9 
Common Stock   0.0    0.0    4.6    4.6 
Preferred Shares   0.0    0.0    1.4    1.4 
Warrants to purchase equity   0.0    0.0    1.0    1.0 
                     
Total  $0.0   $12.7   $525.0   $537.7 

 

Significant Unobservable Inputs for Level 3 Investments

 

In accordance with ASU 2011-04, the following table provides quantitative information about the Company’s Level 3 fair value measurements as of September 30, 2012. 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 table, therefore, is not all-inclusive, but provides 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.

 

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