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Section 1: N-CSRS (N-CSRS)

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

__________________

FORM N-CSR

__________________

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-22432

__________________

Oxford Lane Capital Corp.

(Exact name of registrant as specified in charter)

__________________

8 Sound Shore Drive, Suite 255
Greenwich, CT 06830

(Address of principal executive offices)

Jonathan H. Cohen
Chief Executive Officer
Oxford Lane Capital Corp.
8 Sound Shore Drive, Suite 255
Greenwich, CT 06830

(Name and address of agent for service)

__________________

Registrant’s telephone number, including area code: (203) 983-5275

Date of fiscal year end: March 31

Date of reporting period: September 30, 2019

 

 

Item 1. Reports to Stockholders.

The semi-annual report to stockholders for the six months ended September 30, 2019 is filed herewith pursuant to Rule 30e-1 under the Investment Company Act of 1940.

Oxford Lane Capital Corp.

Semi-Annual Report

September 30, 2019

oxfordlanecapital.com

IMPORTANT NOTICE REGARDING ELECTRONIC DELIVERY

Beginning in May 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of shareholder reports for Oxford Lane Capital Corp. (the “Company”) such as this report will no longer be sent by mail, unless you specifically request paper copies of the reports from the Company or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Company’s website, and you will be notified each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you do not need to take any action. For shareholder reports and other communications from the Company issued prior to May 2021, you may elect to receive such reports and other communications electronically. If you own shares of the Company through a financial intermediary, you may contact your financial intermediary to elect to receive materials electronically. This information is available free of charge by contacting us by mail at 8 Sound Shore Drive, Suite 255, Greenwich, CT 06830, by telephone at (203) 983-5275 or on our website at http://www.oxfordlanecapital.com.

You may elect to receive all future reports in paper, free of charge. If you own shares of the Company through a financial intermediary, you may contact your financial intermediary to elect to continue to receive paper copies of your shareholder reports after May 2021. This information is available free of charge by contacting us by mail at 8 Sound Shore Drive, Suite 255, Greenwich, CT 06830, by telephone at (203) 983-5275 or on our website at http://www.oxfordlanecapital.com. If you make such an election through your financial intermediary, your election to receive reports in paper may apply to all funds held through your financial intermediary.

 

OXFORD LANE CAPITAL CORP.

TABLE OF CONTENTS 

 

Page

Letter to Stockholders

 

1

Important Information

 

2

Top Ten Holdings

 

3

Statement of Assets and Liabilities

 

4

Schedule of Investments

 

5

Statement of Operations

 

14

Statement of Changes in Net Assets

 

15

Statement of Cash Flows

 

16

Notes to Financial Statements

 

17

Distribution Reinvestment Plan

 

39

Management

 

40

Board Approval of the Investment Advisory Agreement

 

44

Submission of Matters to a Vote of Stockholders

 

45

Additional Information

 

46

i

Oxford Lane Capital Corp.

November 1, 2019
To Our Stockholders:

We are pleased to submit to you the report of Oxford Lane Capital Corp. (“we”, “us”, “our”, the “Fund” or “Oxford Lane”) for the six months ended September 30, 2019. The net asset value of our shares at that date was $6.63 per common share. The Fund’s common stock is traded on the NASDAQ Global Select Market and its share price can differ from its net asset value. The Fund’s closing price at September 30, 2019 was $9.30, compared to $9.84 at March 31, 2019. The total return based on market value for Oxford Lane, for the six months ended September 30, 2019, as reflected in the Fund’s financial highlights, was 2.43%. This return reflects the change in market price for the six month period ended September 30, 2019, as well as the impact of $0.81 per share in distributions declared and paid. The total return based on net asset value (“NAV”) for the six months ended September 30, 2019, as reflected in the Fund’s financial highlights, was (10.58%). Please refer to “Note 13. Financial Highlights” for further details. On October 31, 2019, the last reported sale price of the Fund’s common stock was $9.34.

We note that there may be significant differences between Oxford Lane’s earnings prepared in accordance with generally accepted accounting principles (“GAAP”) in the United States of America and our taxable earnings, particularly related to collateralized loan obligation (“CLO”) equity investments where our taxable earnings are based upon the distributable share of earnings as determined under tax regulations for each CLO equity investment, while GAAP earnings are based upon an effective yield calculation. Additionally, as our taxable earnings are not generally known until after our distributions are made, those distributions may represent a return of capital on a tax basis. While reportable GAAP revenue from our CLO equity investments for the six months ended September 30, 2019 was approximately $53.7 million, we received or were entitled to receive approximately $68.4 million in distributions from our CLO equity investments.

Investment Review

The Fund’s investment objective is to maximize its portfolio’s risk-adjusted total return over its investment horizon. Our current focus is to seek that return by investing in equity and junior tranches of CLO vehicles(1), which are collateralized primarily by a diverse portfolio of senior loans, which are senior secured loans made to companies whose debt is unrated or is rated below investment grade, and which generally have little to no exposure to real estate loans, mortgage loans or pools of consumer-based debt, such as credit card receivables or auto loans. Our investment strategy also includes investing in warehouse facilities, which are financing structures intended to aggregate senior loans that may be used to form the basis of a CLO vehicle. As of September 30, 2019, we held debt investments in six different CLO structures, and equity investments in approximately 110 different CLO structures.

Structurally, CLO vehicles are entities formed to originate and manage a portfolio of loans. The loans within a CLO vehicle are limited to those which, on an aggregated basis, meet established credit criteria and are subject to concentration limitations in order to limit a CLO vehicle’s exposure to a single credit or industry.

An investment in our Fund carries with it a significant number of meaningful risks, certain of which are discussed in the notes to our financial statements. Investors should read “Note 14. Risks and Uncertainties” carefully.

Investment Outlook

We believe that the market for CLO-related assets continues to provide us with opportunities to generate attractive risk-adjusted returns over the long term.

The long-term and relatively low-cost capital that many CLO vehicles have secured, compared with current asset spreads, have created opportunities to purchase certain CLO equity and junior debt instruments that may produce attractive risk-adjusted returns. Additionally, given that the CLO vehicles we invest in are cash flow-based vehicles, this term financing may be beneficial in periods of market volatility.

____________

1.       A CLO vehicle is formed by issuing various classes or “tranches” of debt (with the most senior tranches being rated “AAA” to the most junior tranches typically being rated “BB” or “B”) and equity. The tranches of CLO vehicles rated “BB” or “B” may be referred to as “junk.” The equity of a CLO vehicle is generally structured to absorb the CLO’s losses before any of the CLO’s debt tranches, and it also has the lowest level of payment priority among the CLO’s tranches; therefore, the equity is typically the riskiest tranche of a CLO vehicle.

1

We continue to review a large number of CLO investment opportunities in the current market environment, and we expect that the majority of our portfolio holdings, over the near to intermediate-term, will continue to be comprised of CLO debt and equity securities, with the more significant focus over the near-term likely to be on CLO equity securities.

Jonathan H. Cohen

Chief Executive Officer

This letter is intended to assist stockholders in understanding the Fund’s performance during the six months ended September 30, 2019. The views and opinions in this letter were current as of November 1, 2019. Statements other than those of historical facts included herein may constitute forward-looking statements and are not guarantees of future performance or results and involve a number of risks and uncertainties. Actual results may differ materially from those in the forward-looking statements as a result of a number of factors. The Fund undertakes no duty to update any forward-looking statement made herein. Information contained on our website is not incorporated by reference into this stockholder letter and you should not consider information contained on our website to be part of this stockholder letter or any other report we file with the Securities and Exchange Commission.

Important Information

This report is transmitted to the stockholders of the Fund and is furnished pursuant to certain regulatory requirements. This report and the information and views herein do not constitute investment advice, or a recommendation or an offer to enter into any transaction with the Fund or any of its affiliates. This report is provided for informational purposes only, does not constitute an offer to sell securities of the Fund and is not a prospectus. From time to time, the Fund may have a registration statement relating to one or more of its securities on file with the U.S. Securities and Exchange Commission (“SEC”).

An investment in the Fund is not appropriate for all investors. The investment program of the Fund is speculative, entails substantial risk and includes investment techniques not employed by traditional mutual funds. An investment in the Fund is not intended to be a complete investment program. Shares of closed-end investment companies, such as the Fund, frequently trade at a discount from their net asset value (“NAV”), which may increase investors’ risk of loss. Past performance is not indicative of, or a guarantee of, future performance. The performance and certain other portfolio information quoted herein represents information as of September 30, 2019. Nothing herein should be relied upon as a representation as to the future performance or portfolio holdings of the Fund. Investment return and principal value of an investment will fluctuate, and shares, when sold, may be worth more or less than their original cost. The Fund’s performance is subject to change since the end of the period noted in this report and may be lower or higher than the performance data shown herein.

About Oxford Lane Capital Corp.

Oxford Lane Capital Corp. is a publicly-traded registered closed-end management investment company. It currently seeks to achieve its investment objective of maximizing risk-adjusted total return by investing in debt and equity tranches of collateralized loan obligation (“CLO”) vehicles. 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.

Forward-Looking Statements

This report may contain “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. Statements other than statements of historical facts included in this report may constitute forward-looking statements and are not guarantees of future performance or results and involve a number of risks and uncertainties. Actual results may differ materially from those in the forward-looking statements as a result of a number of factors, including those described in the Fund’s filings with the SEC. The Fund undertakes no duty to update any forward-looking statement made herein. All forward-looking statements speak only as of the date of this report.

2

OXFORD LANE CAPITAL CORP.

TOP TEN HOLDINGS
AS OF SEPTEMBER 30, 2019
(Unaudited)

Investment

 

Maturity

 

Fair Value

 

% of
Net Assets

Octagon Investment Partners 40, Ltd. – CLO subordinated notes

 

April 20, 2031

 

$

37,327,500

 

9.51%

Madison Park Fund XLI, Ltd. (fka: Atrium XII CLO) – CLO subordinated notes

 

April 22, 2027

 

$

19,814,625

 

5.05%

Atrium XV – CLO subordinated notes

 

January 23, 2031

 

$

16,626,250

 

4.24%

Nassau 2017-II Ltd. – CLO subordinated notes

 

January 15, 2030

 

$

16,470,000

 

4.20%

Midocean Credit CLO VI – CLO income notes

 

January 20, 2029

 

$

15,444,000

 

3.93%

Anchorage Capital CLO 5-R, Ltd. – CLO subordinated notes

 

January 15, 2030

 

$

14,923,151

 

3.80%

Madison Park Funding XXX, Ltd. – CLO subordinated notes

 

April 15, 2047

 

$

14,186,997

 

3.61%

Hayfin Kingsland IX, Ltd. – CLO subordinated notes

 

April 28, 2031

 

$

13,325,896

 

3.40%

Madison Park Funding XXIX, Ltd. – CLO subordinated notes

 

October 18, 2047

 

$

12,920,000

 

3.29%

Shackleton 2017-X CLO, Ltd. – CLO subordinated notes

 

April 20, 2029

 

$

12,258,240

 

3.12%

Portfolio Investment Breakdown as of September 30, 2019
(Excludes cash equivalents and other assets)
(Unaudited)

3

OXFORD LANE CAPITAL CORP.

STATEMENT OF ASSETS AND LIABILITIES

 

(Unaudited)

   

September 30,
2019

ASSETS

 

 

 

 

Investments, at fair value (cost: $789,015,644)

 

$

590,560,448

 

Cash equivalents

 

 

25,519,069

 

Distributions receivable

 

 

11,271,045

 

Interest receivable, including accrued interest purchased

 

 

498,284

 

Deferred offering costs on common stock

 

 

165,536

 

Fee receivable

 

 

61,246

 

Prepaid expenses and other assets

 

 

50,682

 

Total assets

 

 

628,126,310

 

   

 

 

 

LIABILITIES

 

 

 

 

Mandatorily redeemable preferred stock, net of discount and deferred issuance costs (10,000,000 shares authorized, 6,345,416 shares issued and outstanding)

 

 

153,559,207

 

Securities sold under agreement to repurchase

 

 

35,000,000

 

Securities purchased not settled

 

 

38,775,230

 

Incentive fees payable to affiliate

 

 

4,183,018

 

Investment advisory fee payable to affiliate

 

 

3,215,416

 

Interest payable

 

 

461,814

 

Accrued expenses

 

 

307,825

 

Directors’ fees payable

 

 

70,000

 

Accrued offering costs

 

 

45,881

 

Administrator expense payable

 

 

18,859

 

Total liabilities

 

 

235,637,250

 

   

 

 

 

COMMITMENTS AND CONTINGENCIES (Note 11)

 

 

 

 

   

 

 

 

NET ASSETS applicable to common stock, $0.01 par value, 90,000,000 shares authorized, and 59,191,517 shares issued and outstanding

 

$

392,489,060

 

   

 

 

 

NET ASSETS consist of:

 

 

 

 

Paid in capital

 

$

639,580,835

 

Total distributable earnings/(accumulated losses)

 

 

(247,091,775

)

Total net assets

 

$

392,489,060

 

Net asset value per common share

 

$

6.63

 

Market price per share

 

$

9.30

 

Percentage of market price premium to net asset value per share

 

 

40.27

%

See Accompanying Notes.

4

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019
(Unaudited)

COMPANY/INVESTMENT(1)(14)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR
VALUE
(2)

 

% OF
NET ASSETS

Collateralized Loan Obligation – Debt Investments

               

Structured Finance – Debt Investments

               

Longfellow Place CLO, Ltd.

 

 

   

 

   

 

     

 

CLO secured notes – Class FRR(3)(6), 10.80% (LIBOR + 8.50%, due April 15, 2029)

 

$

775,000

 

$

629,734

 

$

505,455

   

 

   

 

   

 

   

 

     

 

Midocean Credit CLO VI

 

 

   

 

   

 

     

 

CLO secured notes – Class ER(3)(6), 9.18% (LIBOR + 6.90%,
due January 20, 2029)

 

 

6,000,000

 

 

6,000,000

 

 

5,436,600

   

 

   

 

   

 

   

 

     

 

Mountain Hawk II CLO, Ltd.

 

 

   

 

   

 

     

 

CLO secured notes – Class E(3)(6), 7.08% (LIBOR + 4.80%,
due July 20, 2024)

 

 

8,000,000

 

 

7,102,259

 

 

5,368,000

   

 

   

 

   

 

   

 

     

 

OZLM XIII, Ltd.

 

 

   

 

   

 

     

 

CLO secured notes – Class D(3)(6), 7.72% (LIBOR + 5.45%,
due July 30, 2027)

 

 

9,500,000

 

 

8,826,839

 

 

8,393,250

   

 

   

 

   

 

   

 

     

 

OZLM XIII, Ltd.

 

 

   

 

   

 

     

 

CLO secured notes – Class E(3)(6), 8.77% (LIBOR + 6.50%,
due July 30, 2027)

 

 

2,000,000

 

 

1,463,188

 

 

1,463,000

   

 

   

 

   

 

   

 

     

 

OZLM XXII, Ltd.

 

 

   

 

   

 

     

 

CLO secured notes – Class E(3)(6), 9.69% (LIBOR + 7.39%,
due January 17, 2031)

 

 

2,670,000

 

 

2,588,172

 

 

2,112,771

   

 

   

 

   

 

   

 

     

 

Venture XV, Ltd.

 

 

   

 

   

 

     

 

CLO secured notes – Class ER2(3)(6)(12), 9.49% (LIBOR + 7.19%, due July 15, 2032)

 

 

2,250,000

 

 

2,072,956

 

 

1,929,825

 

 

 

Total Structured FinanceDebt Investments

 

 

   

$

28,683,148

 

$

25,208,901

 

6.42

%

Total Collateralized Loan ObligationDebt Investments

 

 

   

$

28,683,148

 

$

25,208,901

 

6.42

%

   

 

   

 

   

 

     

 

Collateralized Loan Obligation – Equity Investments

 

 

   

 

   

 

     

 

Structured Finance – Equity Investments

 

 

   

 

   

 

     

 

ALM XVII, Ltd.

 

 

   

 

   

 

     

 

CLO subordinated notes(5)(7), (Estimated yield 27.38%, maturity January 15, 2028)

 

$

6,500,000

 

$

3,712,246

 

$

3,038,165

   

 

   

 

   

 

   

 

     

 

AMMC CLO XI, Ltd.

 

 

   

 

   

 

     

 

CLO subordinated notes(5)(7)(12), (Estimated yield 16.27%, maturity April 30, 2031)

 

 

2,100,000

 

 

1,260,914

 

 

987,000

   

 

   

 

   

 

   

 

     

 

AMMC CLO XII, Ltd.

 

 

   

 

   

 

     

 

CLO subordinated notes(5)(7)(12), (Estimated yield 14.70%, maturity November 10, 2030)

 

 

11,428,571

 

 

5,894,504

 

 

3,657,143

   

 

   

 

   

 

   

 

     

 

Anchorage Capital CLO 4-R, Ltd.

 

 

   

 

   

 

     

 

CLO subordinated notes(5)(7)(12), (Estimated yield 18.35%, maturity January 28, 2031)

 

 

6,000,000

 

 

5,088,762

 

 

4,500,000

   

 

   

 

   

 

   

 

     

 

Anchorage Capital CLO 5-R, Ltd.

 

 

   

 

   

 

     

 

CLO subordinated notes(5)(7), (Estimated yield 24.52%, maturity January 15, 2030)

 

 

20,000,000

 

 

15,847,148

 

 

14,923,151

   

 

   

 

   

 

   

 

     

 

Anchorage Capital CLO 8, Ltd.

 

 

   

 

   

 

     

 

CLO subordinated notes(5)(7)(12), (Estimated yield 21.95%, maturity July 28, 2028)

 

 

6,000,000

 

 

4,984,745

 

 

4,440,000

   

 

(Continued on next page)

See Accompanying Notes.

5

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)
SEPTEMBER 30, 2019
(Unaudited)

COMPANY/INVESTMENT(1)(14)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR
VALUE
(2)

 

% OF
NET ASSETS

Collateralized Loan Obligation – Equity Investments (continued)

               

Structured Finance – Equity Investments (continued)

               

Apex Credit CLO 2015-II, Ltd. (fka: JFIN CLO 2015-II Ltd.)

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 16.51%, maturity October 17, 2026)

 

$

5,750,000

 

$

4,465,729

 

$

2,517,626

   
   

 

   

 

   

 

     

Apex Credit CLO 2018 Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 23.08%, maturity April 25, 2031)

 

 

9,750,000

 

 

7,615,159

 

 

6,134,911

   
   

 

   

 

   

 

     

Apex Credit CLO 2019 Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7)(9)(12), (Estimated yield 20.46%, maturity April 18, 2032)

 

 

16,000,000

 

 

12,735,569

 

 

10,556,946

   
   

 

   

 

   

 

     

Arch Street CLO, Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7)(12), (Estimated yield 23.89%, maturity October 20, 2028)

 

 

3,000,000

 

 

1,940,601

 

 

1,650,000

   
   

 

   

 

   

 

     

Ares XXVII CLO, Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 26.55%, maturity July 28, 2029)

 

 

17,000,000

 

 

8,363,479

 

 

6,979,760

   
   

 

   

 

   

 

     

Ares XXXVII CLO Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 24.55%, maturity October 15, 2030)

 

 

15,000,000

 

 

10,790,826

 

 

9,951,010

   
   

 

   

 

   

 

     

Ares XL CLO Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 21.33%, maturity January 15, 2029)

 

 

10,100,000

 

 

7,149,909

 

 

5,311,937

   
   

 

   

 

   

 

     

Atrium XV

 

 

   

 

   

 

     

CLO subordinated notes(5)(7)(12), (Estimated yield 16.83%, maturity January 23, 2031)

 

 

23,500,000

 

 

16,733,550

 

 

16,626,250

   
   

 

   

 

   

 

     

Battalion CLO VI Ltd.

 

 

   

 

   

 

     

CLO preference shares (5)(7)(10), (Estimated yield 0.00%, maturity October 17, 2026)

 

 

5,000,000

 

 

414,168

 

 

87,500

   
   

 

   

 

   

 

     

Battalion CLO VII Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 14.33%, maturity July 17, 2028)

 

 

26,900,000

 

 

16,025,492

 

 

9,953,000

   
   

 

   

 

   

 

     

Benefit Street Partners CLO III Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 25.42%, maturity July 20, 2029)

 

 

5,000,000

 

 

2,328,739

 

 

1,850,000

   
   

 

   

 

   

 

     

Benefit Street Partners CLO V Ltd.

 

 

   

 

   

 

     

CLO preference shares (5)(7)(10), (Estimated yield 0.00%, maturity October 20, 2026)

 

 

11,500,000

 

 

852,715

 

 

460,000

   
   

 

   

 

   

 

     

B&M CLO 2014-1 LTD

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield -29.82%, maturity April 16, 2026)

 

 

2,000,000

 

 

469,067

 

 

160,000

   
   

 

   

 

   

 

     

Bristol Park CLO, Ltd.

 

 

   

 

   

 

     

CLO income notes(5)(7), (Estimated yield 8.54%, maturity
April 15, 2029)

 

 

10,000,000

 

 

7,568,873

 

 

4,700,000

   

(Continued on next page)

See Accompanying Notes.

6

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)
SEPTEMBER 30, 2019
(Unaudited)

COMPANY/INVESTMENT(1)(14)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR
VALUE
(2)

 

% OF
NET ASSETS

Collateralized Loan Obligation – Equity Investments (continued)

               

Structured Finance – Equity Investments (continued)

               

Canyon Capital CLO 2015-1, Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 23.14%, maturity April 15, 2029)

 

$

10,000,000

 

$

6,516,802

 

$

4,800,000

   
   

 

   

 

   

 

     

Carlyle Global Market Strategies CLO 2013-2, Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7)(12), (Estimated yield 19.07%, maturity January 18, 2029)

 

 

16,098,067

 

 

10,425,076

 

 

8,344,368

   
   

 

   

 

   

 

     

Carlyle Global Market Strategies CLO 2014-5, Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 16.43%, maturity July 15, 2031)

 

 

5,500,000

 

 

3,402,503

 

 

2,310,000

   
   

 

   

 

   

 

     

Cathedral Lake CLO 2013, Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7)(12), (Estimated yield 17.45%, maturity October 15, 2029)

 

 

6,350,000

 

 

2,899,316

 

 

2,159,000

   
   

 

   

 

   

 

     

Cathedral Lake II, Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7)(12), (Estimated yield 22.22%, maturity July 15, 2029)

 

 

12,112,200

 

 

7,628,527

 

 

6,298,344

   
   

 

   

 

   

 

     

CIFC Funding 2013-III-R, Ltd.

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 20.36%, maturity April 24, 2031)

 

 

4,900,000

 

 

2,450,144

 

 

2,009,000

   
   

 

   

 

   

 

     

CIFC Funding 2014, Ltd.

 

 

   

 

   

 

     

CLO income notes(5)(7), (Estimated yield 15.32%, maturity January 18, 2031)

 

 

6,000,000

 

 

3,677,284

 

 

2,580,000

   
   

 

   

 

   

 

     

CIFC Funding 2014-III, Ltd.

 

 

   

 

   

 

     

CLO income notes(5)(7)(12), (Estimated yield 18.99%, maturity October 22, 2031)

 

 

18,225,000

 

 

10,604,237

 

 

8,383,500

   
   

 

   

 

   

 

     

Dryden 49 Senior Loan Fund

 

 

   

 

   

 

     

CLO subordinated notes(5)(7), (Estimated yield 17.52%, maturity July 18, 2030)

 

 

12,850,000

 

 

9,601,956

 

 

7,196,000