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Section 1: N-CSR (N-CSR)

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: March 31, 2018

 

Item 1. Reports to Stockholders.

The annual report to stockholders for the year ended March 31, 2018 is filed herewith pursuant to Rule 30e-1 under the Investment Company Act of 1940.

Oxford Lane Capital Corp.

Annual Report

March 31, 2018

oxfordlanecapital.com

 

OXFORD LANE CAPITAL CORP.

TABLE OF CONTENTS

 

 

Page

Letter to Stockholders

 

1

Top Ten Holdings

 

3

Statement of Assets and Liabilities

 

4

Schedule of Investments

 

5

Statement of Operations

 

11

Statement of Changes in Net Assets

 

12

Statement of Cash Flows

 

13

Notes to Financial Statements

 

14

Report of Independent Registered Public Accounting Firm

 

35

Distribution Reinvestment Plan

 

36

Management

 

37

Board Approval of the Investment Advisory Agreement

 

41

Submission of Matters to a Vote of Stockholders

 

42

Additional Information

 

43

i

Oxford Lane Capital Corp.

May 17, 2018

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 year ended March 31, 2018. The net asset value of our shares at that date was $10.08 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 March 31, 2018 was $10.13, down from $11.13 at March 31, 2017. The total return for Oxford Lane, for the year ended March 31, 2018, as reflected in the Fund’s financial highlights, was 6.41%. This return reflects the change in market price for the one-year period ended March 31, 2018, as well as the impact of $1.605 per share in distributions declared and paid. On May 16, 2018, the last reported sale price of the Fund’s common stock was $11.22.

We note that there may be significant differences between Oxford Lane’s earnings prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) 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 or may not represent a return of capital on a tax basis. While reportable GAAP revenue from our CLO equity investments for the year ended March 31, 2018 was approximately $71.1 million, we received or were entitled to receive approximately $108.6 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 CLO vehicles(1), which are collateralized primarily by a diverse portfolio of senior loans, and which generally have very little or no exposure to real estate loans, or mortgage loans or to 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 secured corporate loans that may be used to form the basis of a CLO vehicle. As of March 31, 2018, we held debt investments in four different CLO structures and equity investments in approximately 70 different CLO structures and four investments in warehouse facilities.

Structurally, CLO vehicles are entities formed to purchase and manage portfolios of primarily senior secured corporate loans. The loans within a CLO vehicle are limited to those which, on an aggregated basis, meet established credit criteria. They are subject to concentration limitations in order to limit a CLO vehicle’s exposure to individual credits and industries.

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. We believe that a number of factors support this conclusion, including:

    The long-term and relatively low-cost capital that many CLO vehicles have secured, compared with current asset spreads, and 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.

    The market to invest in warehouse facilities, which are short and medium-term facilities that are generally expected to form the basis of CLO vehicles (which the Fund may participate in or be repaid by), has created additional attractive risk-adjusted investment opportunities for us.

1

    Investing in CLO securities, and CLO equity instruments and warehouse facilities in particular, requires a high level of research and analysis. We believe that transactions in this market can only be adequately conducted by knowledgeable market participants as this market and these structures tend to be highly specialized.

    The U.S. CLO market is relatively large with total assets under management of approximately $495 billion.(2) We estimate that the notional amount outstanding of the junior-most debt tranches (specifically the tranches originally rated “BB” and “B”) is approximately $24 billion and the notional amount outstanding of the equity tranches is approximately $48 billion.(3)

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 13. Risks and Uncertainties” carefully.

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 and warehouse facilities.

Jonathan H. Cohen

Chief Executive Officer

____________

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.

2.    As of December 31, 2017 — Source: Wells Fargo Securities, The CLO Monthly Market Overview, dated May 1, 2018.

3.    Oxford Lane has estimated this amount based in part on the Wells Fargo Securities report (noted in footnote 2 above).

2

OXFORD LANE CAPITAL CORP.

TOP TEN HOLDINGS
AS OF MARCH 31, 2018

Investment

 

Maturity

 

Fair Value

 

% of
Net Assets

Atrium XII CLO – CLO subordinated notes

 

April 22, 2027

 

$

 33,024,375

 

11.39

%

Madison Park Funding XXX, Ltd. – CLO subordinated notes

 

April 15, 2029

 

 

 23,000,000

 

7.93

%

Midocean Credit CLO VI – CLO income notes

 

January 20, 2029

 

 

 19,760,000

 

6.82

%

OFSI Fund VII, Ltd. – CLO subordinated notes

 

October 18, 2026

 

 

18,457,600

 

6.37

%

Venture XXI CLO, Limited – CLO subordinated notes

 

July 15, 2027

 

 

15,293,500

 

5.27

%

THL Credit Wind River 2014-3 CLO Ltd. – CLO subordinated notes

 

January 22, 2027

 

 

15,009,300

 

5.18

%

Madison Park Funding, Ltd. (fka: Edition Funding, Ltd.) – CLO subordinated warehouse notes

 

October 22, 2018

 

 

15,000,000

 

5.17

%

Venture XXX CLO, Limited – CLO subordinated notes

 

January 15, 2031

 

 

14,440,000

 

4.98

%

Octagon Investment Partners 33, Ltd. – CLO subordinated notes

 

January 20, 2031

 

 

12,593,000

 

4.34

%

Tralee CLO IV, Ltd. – CLO subordinated notes

 

January 20, 2030

 

 

12,075,700

 

4.17

%

Portfolio Investment Breakdown as of March 31, 2018
(Excludes cash and cash equivalents and other assets)

3

OXFORD LANE CAPITAL CORP.

STATEMENT OF ASSETS AND LIABILITIES

 

 

March 31,
2018

ASSETS

 

 

 

 

Investments, at fair value (cost: $497,678,436)

 

$

 482,573,271

 

Cash and cash equivalents

 

 

20,334,222

 

Distributions receivable

 

 

5,058,855

 

Securities sold not settled

 

 

5,602,679

 

Deferred offering costs on common stock

 

 

229,162

 

Interest receivable, including accrued interest purchased

 

 

193,579

 

Prepaid expenses and other assets

 

 

115,824

 

Fee receivable

 

 

81,157

 

Total assets

 

 

514,188,749

 

 

 

 

 

 

LIABILITIES

 

 

 

 

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

 

 

151,682,429

 

Securities sold under agreement to repurchase

 

 

42,493,500

 

Securities purchased not settled

 

 

23,972,500

 

Incentive fees payable to affiliate

 

 

2,741,047

 

Investment advisory fee payable to affiliate

 

 

2,428,221

 

Interest payable

 

 

529,958

 

Accrued expenses

 

 

303,893

 

Accrued offering costs

 

 

17,274

 

Directors’ fees payable

 

 

58,750

 

Administrator expense payable

 

 

31,064

 

Total liabilities

 

 

224,258,636

 

 

 

 

 

 

COMMITMENTS AND CONTINGENCIES (Note 10)

 

 

 

 

 

 

 

 

 

NET ASSETS applicable to common stock, $0.01 par value, 90,000,000 shares authorized, and 28,768,899 shares issued and outstanding

 

$

 289,930,113

 

 

 

 

 

 

NET ASSETS consist of:

 

 

 

 

Paid in capital

 

$

372,850,102

 

Accumulated net realized losses on investments

 

 

(58,227,119

)

Accumulated realized gains on redemption of debt

 

 

574,950

Net unrealized depreciation on investments

 

 

(15,105,165

)

Distribution in excess of net investment income

 

 

(10,162,655

)

Total net assets

 

$

 289,930,113

 

 

 

 

 

 

Net asset value per common share

 

$

 10.08

 

Market price per share

 

$

 10.13

 

Percentage of market price premium to net asset value per share

 

 

0.50

%

See Accompanying Notes.

4

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS
MARCH 31, 2018

COMPANY/INVESTMENT(1)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR
VALUE(2)(15)

 

% of
Net Assets

Collateralized Loan Obligation – Debt Investments

 

 

 

 

 

 

 

 

 

 

 

 

Structured Finance

 

 

 

 

 

 

 

 

 

 

 

 

KVK 2014-3 Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO secured notes – Class F(3)(4)(6), 7.82% (LIBOR + 6.10%, due October 15, 2026)

 

$

 1,956,522

 

$

 1,616,782

 

$

 1,732,305

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mountain Hawk II CLO, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO secured notes – Class E(3)(4)(6), 6.54% (LIBOR + 4.80%, due July 20, 2024)

 

 

6,000,000

 

 

5,075,314

 

 

4,956,600

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OZLM XXII, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO secured notes – Class F(3)(4)(6), 9.10% (LIBOR + 7.39%, due January 17, 2031)

 

 

2,670,000

 

 

2,577,304

 

 

2,477,493

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Tralee CLO IV, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO secured notes – Class F(3)(4)(6), 9.44% (LIBOR + 7.50%, due January 20, 2030)

 

 

3,800,000

 

 

3,462,771

 

 

3,538,560

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Structured Finance

 

 

 

 

$

 12,732,171

 

$

 12,704,958

 

4.38

%

Total Collateralized Loan Obligation – Debt Investments

 

 

 

 

$

 12,732,171

 

$

 12,704,958

 

4.38

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized Loan Obligation – Equity Investments

 

 

 

 

 

 

 

 

 

 

 

 

Structured Finance

 

 

 

 

 

 

 

 

 

 

 

 

AMMC CLO XII, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 16.29%, maturity November 10, 2030)

 

$

 8,428,571

 

$

 4,214,773

 

$

 4,045,714

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Apidos CLO XXI

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 14.09%, maturity July 18, 2027)

 

 

8,700,000

 

 

5,965,523

 

 

6,090,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Allegro CLO IV, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 17.63%, maturity January 15, 2029)

 

 

3,000,000

 

 

2,322,594

 

 

2,306,324

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Anchorage Capital CLO 5-R, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 15.28%, maturity January 15, 2030)

 

 

4,000,000

 

 

4,122,309

 

 

3,899,061

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Apex Credit CLO 2018 Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(9)(11), (Estimated yield 21.10%, maturity April 25, 2031)

 

 

8,750,000

 

 

7,224,069

 

 

7,743,750

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 23.72%, maturity October 17, 2026)

 

 

5,750,000

 

 

4,860,109

 

 

4,867,680

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ares XXVI CLO Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity April 15, 2025)

 

 

15,115,000

 

 

1,102,520

 

 

302,300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ares XL CLO Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 14.09%, maturity October 15, 2027)

 

 

5,100,000

 

 

4,208,065

 

 

4,026,619

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Atrium XII CLO

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(13)(16), (Estimated yield 33.89%, maturity April 22, 2027)

 

 

34,762,500

 

 

24,780,821

 

 

33,024,375

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 (Continued on next page)

See Accompanying Notes.

5

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)
MARCH 31, 2018

COMPANY/INVESTMENT(1)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR
VALUE(2)(15)

 

% of
Net Assets

Collateralized Loan Obligation – Equity Investments (continued)

 

 

 

 

 

 

 

 

 

 

 

Structured Finance (continued)

 

 

 

 

 

 

 

 

 

 

 

Battalion CLO VI Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 27.83%, maturity October 17, 2026)

 

$

5,000,000

 

$

1,905,101

 

$

1,775,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Battalion CLO VII Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 4.71%, maturity October 17, 2026)

 

 

24,000,000

 

 

16,145,513

 

 

10,080,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Benefit Street Partners CLO V Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO preference shares (5)(7), (Estimated yield 12.34%, maturity October 20, 2026)

 

 

11,500,000

 

 

7,182,077

 

 

6,325,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Blue Hill CLO, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield -0.34%, maturity January 15, 2026)

 

 

15,125,000

 

 

4,483,658

 

 

3,073,285

 

 

CLO subordinated fee notes(8), (Maturity January 15, 2026)

 

 

96,635

 

 

17,931

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

B&M CLO 2014-1 LTD

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 13.82%, maturity April 16, 2026)

 

 

2,000,000

 

 

892,920

 

 

640,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bristol Park CLO, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO income notes(5)(7), (Estimated yield 12.89%, maturity April 15, 2029)

 

 

7,000,000

 

 

5,747,368

 

 

5,180,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Carlyle Global Market Strategies CLO 2013-2, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 23.53%, maturity April 18, 2025)

 

 

16,500,000

 

 

10,726,772

 

 

11,421,305

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CENT CLO 16, L.P.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 34.37%, maturity August 01, 2024)

 

 

10,500,000

 

 

7,247,086

 

 

6,720,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIFC Funding 2014-III, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO income notes(5)(7), (Estimated yield 13.48%, maturity July 22, 2026)

 

 

11,000,000

 

 

6,954,206

 

 

6,380,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIFC Funding 2014, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 18.14%, maturity January 18, 2031)

 

 

8,500,000

 

 

4,842,680

 

 

4,675,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dryden 42 Senior Loan Fund

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 15.52%, maturity July 15, 2027)

 

 

7,000,000

 

 

5,956,996

 

 

6,321,621

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dryden 49 Senior Loan Fund

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 17.14%, maturity July 18, 2030)

 

 

4,925,000

 

 

4,131,936

 

 

4,186,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Elevation CLO 2017-7, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(12)(13), (Estimated yield 19.04%, maturity July 15, 2030)

 

 

10,000,000

 

 

8,932,603

 

 

9,400,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Golub Capital Partners CLO 35(B), Ltd.,

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 12.07%, maturity July 20, 2029)

 

 

5,000,000

 

 

4,466,086

 

 

3,650,000

 

 

 (Continued on next page)

See Accompanying Notes.

6

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)
MARCH 31, 2018

COMPANY/INVESTMENT(1)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR
VALUE(2)(15)

 

% of
Net Assets

Collateralized Loan Obligation – Equity Investments (continued)

 

 

 

 

 

 

 

 

 

 

 

Structured Finance (continued)

 

 

 

 

 

 

 

 

 

 

 

Halcyon Loan Advisors Funding 2015-1 Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 33.83%, maturity April 20, 2027)

 

$

6,000,000

 

$

3,276,305

 

$

3,240,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Hull Street CLO Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 1.90%, maturity October 18, 2026)

 

 

15,000,000

 

 

7,856,475

 

 

4,050,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ICG US CLO 2016-1, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 8.77%, maturity July 29, 2028)

 

 

4,750,000

 

 

4,617,401

 

 

4,477,350

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ivy Hill Middle Market Credit VII, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 18.41%, maturity October 20, 2029)

 

 

5,400,000

 

 

4,444,425

 

 

3,907,190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jamestown CLO III, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 19.03%, maturity January 15, 2026)

 

 

15,575,000

 

 

8,264,570

 

 

7,008,750

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jamestown CLO IV, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 24.38%, maturity July 15, 2026)

 

 

9,500,000

 

 

3,451,982

 

 

2,816,135

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jamestown CLO V, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 30.72%, maturity January 17, 2027)

 

 

8,500,000

 

 

3,222,943

 

 

2,975,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Longfellow Place CLO, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 22.31%, maturity April 15, 2029)

 

 

14,640,000

 

 

6,917,669

 

 

7,457,165

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Madison Park Funding X, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 10.83%, maturity January 20, 2025)

 

 

3,000,000

 

 

2,609,856

 

 

2,760,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Madison Park Funding XXIX, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated warehouse notes(5)(7)(10)(12), (Estimated yield 13.96%, maturity March 10, 2020)

 

 

1,125,000

 

 

1,125,000

 

 

1,125,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Madison Park Funding XXX, Ltd. (fka: Edition Funding, Ltd.)

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated warehouse notes(5)(7)(10)(12), (Estimated yield 12.40%, maturity October 22, 2018)

 

 

15,000,000

 

 

15,000,000

 

 

15,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Madison Park Funding XXX, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(9)(12), (Estimated yield 17.97%, maturity April 15, 2029)

 

 

20,000,000

 

 

19,519,732

 

 

23,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Midocean Credit CLO VI

 

 

 

 

 

 

 

 

 

 

 

CLO income notes(5)(7)(13), (Estimated yield 12.62%, maturity January 20, 2029)

 

 

24,700,000

 

 

20,527,363

 

 

19,760,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Midocean Credit CLO VIII

 

 

 

 

 

 

 

 

 

 

 

CLO income notes(5)(7)(9)(12), (Estimated yield 23.02%, maturity February 20, 2031)

 

 

4,500,000

 

 

4,064,847

 

 

3,881,250

 

 

 (Continued on next page)

See Accompanying Notes.

7

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)
MARCH 31, 2018

COMPANY/INVESTMENT(1)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR
VALUE(2)(15)

 

% of
Net Assets

Collateralized Loan Obligation – Equity Investments (continued)

 

 

 

 

 

 

 

 

 

 

 

Structured Finance (continued)

 

 

 

 

 

 

 

 

 

 

 

Mountain Hawk II CLO, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 16.49%, maturity July 20, 2024)

 

$

25,670,000

 

$

8,323,900

 

$

3,850,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

North End CLO, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(11), (Estimated yield 2.22%, maturity July 17, 2025)

 

 

8,500,000

 

 

240,079

 

 

53,975

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Octagon Investment Partners 27, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 13.91%, maturity July 15, 2027)

 

 

5,000,000

 

 

3,929,029

 

 

3,879,527

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Octagon Investment Partners 33, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(13), (Estimated yield 15.80%, maturity January 20, 2031)

 

 

12,850,000

 

 

12,517,927

 

 

12,593,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OFSI Fund VII, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 13.74%, maturity October 18, 2026)

 

 

28,840,000

 

 

21,597,248

 

 

18,457,600