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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, 2018

 

 

Item 1. Reports to Stockholders.

The semi-annual report to stockholders for the six months ended September 30, 2018 is filed herewith pursuant to Rule 30e-1 under the Investment Company Act of 1940.

Oxford Lane Capital Corp.

Semi-Annual Report

September 30, 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

 

13

Statement of Changes in Net Assets

 

14

Statement of Cash Flows

 

15

Notes to Financial Statements

 

16

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.

November 5, 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 six months ended September 30, 2018. The net asset value of our shares at that date was $9.93 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, 2018 was $10.60, up from $10.13 at March 31, 2018. The total return based on market value for Oxford Lane, for the six months ended September 30, 2018, as reflected in the Fund’s financial highlights, was 12.86%. This return reflects the change in market price for the six month period ended September 30, 2018, 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, 2018, as reflected in the Fund’s financial highlights, was 6.55%. Please refer to “Note 13. Financial Highlights” for further details. On November 2, 2018, the last reported sale price of the Fund’s common stock was $10.50.

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, 2018 was approximately $41.6 million, we received or were entitled to receive approximately $68.9 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, 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, 2018, we held debt investments in three different CLO structures, equity investments in approximately 100 different CLO structures and two investments in warehouse facilities.

Structurally, CLO vehicles are entities formed to purchase 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. They are subject to concentration limitations in order to limit a CLO vehicle’s exposure to a single credit.

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, 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 has created additional attractive risk-adjusted investment opportunities for us.

—   Investing in CLO securities, and CLO equity instruments and warehouse facilities in particular, requires a high level of research and analysis best conducted by knowledgeable market participants.

1

—   The U.S. CLO market is relatively large with total assets under management of approximately $544 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 $26 billion and the notional amount outstanding of the equity tranches is approximately $52 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 14. Risks and Uncertainties” carefully.

We continue to review a large number of CLO investment opportunities in the current market environment, and we expect that 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 September 30, 2018 — Source: Wells Fargo Securities, The CLO Monthly Market Overview, dated October 2, 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 SEPTEMBER 30, 2018
(unaudited)

Investment

 

Maturity

 

Fair Value

 

% of
Net Assets

Atrium XII CLO – CLO subordinated notes

 

April 22, 2027

 

$

 30,938,625

 

8.57

%

Madison Park Funding XXX, Ltd. – CLO subordinated notes

 

April 15, 2029

 

$

 21,471,630

 

5.95

%

MidOcean Credit CLO VI – CLO income notes

 

January 20, 2029

 

$

 18,772,000

 

5.20

%

Madison Park Funding XXIX, Ltd. – CLO subordinated
 warehouse notes

 

March 10, 2020

 

$

 18,000,000

 

4.99

%

Venture 33 CLO, Limited – CLO subordinated notes

 

July 15, 2031

 

$

 17,053,125

 

4.73

%

OFSI Fund VII, Ltd. – CLO subordinated notes

 

October 18, 2026

 

$

 15,862,000

 

4.39

%

Venture XXI CLO, Limited – CLO subordinated notes

 

July 15, 2027

 

$

 15,503,000

 

4.30

%

Shackleton 2013-IV-R CLO, Ltd. – CLO subordinated notes

 

April 13, 2031

 

$

 14,602,747

 

4.05

%

Madison Park Funding XXIX, Ltd. – CLO subordinated notes

 

October 18, 2030

 

$

 14,413,960

 

3.99

%

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

 

October 22, 2031

 

$

 13,747,300

 

3.81

%

Portfolio Investment Breakdown as of September 30, 2018
(Excludes cash and cash equivalents and other assets)

3

OXFORD LANE CAPITAL CORP.

STATEMENT OF ASSETS AND LIABILITIES
(unaudited)

 

 

September 30, 2018

ASSETS

 

 

 

 

Investments, at fair value (cost: $583,320,655)

 

$

 560,006,658

 

Cash and cash equivalents

 

 

7,957,188

 

Distributions receivable

 

 

8,981,923

 

Deferred offering costs on common stock

 

 

355,995

 

Interest receivable, including accrued interest purchased

 

 

198,743

 

Fee receivable

 

 

74,755

 

Prepaid expenses and other assets

 

 

32,501

 

Total assets

 

 

577,607,763

 

 

 

 

 

 

LIABILITIES

 

 

 

 

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

 

 

152,307,833

 

Securities sold under agreement to repurchase

 

 

42,493,500

 

Securities purchased not settled

 

 

15,190,260

 

Incentive fees payable to affiliate

 

 

2,934,442

 

Investment advisory fee payable to affiliate

 

 

2,775,092

 

Interest payable

 

 

589,422

 

Accrued expenses

 

 

308,412

 

Directors’ fees payable

 

 

66,250

 

Accrued offering costs

 

 

17,274

 

Administrator expense payable

 

 

11,767

 

Total liabilities

 

 

216,694,252

 

 

 

 

 

 

COMMITMENTS AND CONTINGENCIES (Note 11)

 

 

 

 

 

 

 

 

 

NET ASSETS applicable to common stock, $0.01 par value, 90,000,000 shares authorized, and 36,357,391 shares issued and outstanding

 

$

 360,913,511

 

 

 

 

 

 

 

 

 

 

 

NET ASSETS consist of:

 

 

 

 

Paid in capital

 

$

 452,809,888

 

Accumulated net realized losses on investments

 

 

(56,531,199

)

Accumulated realized gains on redemption of debt

 

 

574,950

 

Net unrealized depreciation on investments

 

 

(23,313,997

)

Distribution in excess of net investment income

 

 

(12,626,131

)

Total net assets

 

$

 360,913,511

 

 

 

 

 

 

Net asset value per common share

 

$

 9.93

 

Market price per share

 

$

 10.60

 

Percentage of market price premium to net asset value per share

 

 

6.75

%

See Accompanying Notes.

4

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
(unaudited)

COMPANY/INVESTMENT(1)(14)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR VALUE(2)

 

% of
Net Assets

Collateralized Loan Obligation – Debt Investments

 

 

 

 

 

 

 

 

 

 

 

 

Dryden 42 Senior Loan Fund

 

 

 

 

 

 

 

 

 

 

 

 

CLO secured notes – Class FR(3)(4)(6), 9.54% (LIBOR + 7.20%, due July 15, 2030)

 

$

 1,371,000

 

$

 1,236,309

 

$

 1,277,772

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mountain Hawk II CLO, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO secured notes – Class E(3)(4)(6), 7.15% (LIBOR + 4.80%, due July 20, 2024)

 

 

8,000,000

 

 

6,915,655

 

 

7,424,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OZLM XXII, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO secured notes – Class E(3)(4)(6), 9.73% (LIBOR + 7.39%, due January 17, 2031)

 

 

2,670,000

 

 

2,580,933

 

 

2,500,722

 

 

 

Total Structured Finance

 

 

 

 

$

 10,732,897

 

$

 11,202,494

 

3.10

%

Total Collateralized Loan Obligation – Debt Investments

 

 

 

 

$

 10,732,897

 

$

 11,202,494

 

3.10

%

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized Loan Obligation – Equity Investments

 

 

 

 

 

 

 

 

 

 

 

 

Structured Finance

 

 

 

 

 

 

 

 

 

 

 

 

AMMC CLO XI, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 15.37%, maturity April 30, 2031)

 

2,100,000

 

1,211,162

 

$

1,197,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AMMC CLO XII, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 15.28%, maturity November 10, 2030)

 

 

11,428,571

 

 

5,662,161

 

 

5,028,571

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Anchorage Capital CLO 5-R, Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 12.40%, maturity January 15, 2030)

 

 

4,000,000

 

 

4,088,584

 

 

3,669,236

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Apidos CLO XXI

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 16.96%, maturity July 18, 2027)

 

 

8,700,000

 

 

6,273,483

 

 

5,916,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Apex Credit CLO 2018 Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(9), (Estimated yield 19.90%, maturity April 25, 2031)

 

 

9,750,000

 

 

8,302,511

 

 

8,970,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 33.83%, maturity October 17, 2026)

 

 

5,750,000

 

 

4,926,709

 

 

4,881,406

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ares XL CLO Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 10.66%, maturity October 15, 2027)

 

 

5,100,000

 

 

4,293,177

 

 

3,585,026

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Atrium XII CLO

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(12), (Estimated yield 25.92%, maturity April 22, 2027)

 

 

34,762,500

 

 

24,456,220

 

 

30,938,625

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Babson CLO Ltd. 2016-III

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 15.22%, maturity January 15, 2028)

 

 

3,750,000

 

 

2,606,636

 

 

2,550,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Battalion CLO VI Ltd.

 

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(11), (Estimated yield -6.73%, maturity October 17, 2026)

 

 

5,000,000

 

 

1,439,894

 

 

1,000,000

 

 

 

 (Continued on next page)

See Accompanying Notes.

5

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
(unaudited)

COMPANY/INVESTMENT(1)(14)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR VALUE(2)

 

% of
Net Assets

Collateralized Loan Obligation – Equity Investments (continued)

 

 

 

 

 

 

 

 

 

 

 

Structured Finance (continued)

 

 

 

 

 

 

 

 

 

 

 

Battalion CLO VII Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 8.80%, maturity July 17, 2028)

 

$

 26,900,000

 

$

 17,555,339

 

$

 12,912,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Benefit Street Partners CLO V Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO preference shares(5)(7)(11), (Estimated yield 0.00%, maturity October 20, 2026)

 

 

11,500,000

 

 

1,307,569

 

 

920,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Blue Hill CLO, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity January 15, 2026)

 

 

15,125,000

 

 

783,578

 

 

 

 

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 -5.79%, maturity April 16, 2026)

 

 

2,000,000

 

 

799,660

 

 

520,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bristol Park CLO, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO income notes(5)(7), (Estimated yield 11.95%, maturity April 15, 2029)

 

 

10,000,000

 

 

7,777,702

 

 

7,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Canyon Capital CLO 2015-1, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(9), (Estimated yield 23.66%, maturity April 15, 2029)

 

 

10,000,000

 

 

6,010,714

 

 

6,400,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Carlyle Global Market Strategies CLO 2013-2, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 18.98%, maturity April 18, 2025)

 

 

16,500,000

 

 

10,422,586

 

 

11,273,155

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Covenant Credit Partners CLO II, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 31.36%, maturity October 17, 2026)

 

 

8,650,000

 

 

2,652,361

 

 

2,595,000

 

 

CLO subordinated fee notes(8), (Maturity October 17, 2026)

 

 

850,000

 

 

57,120

 

 

53,244

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cathedral Lake CLO 2013, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 20.18%, maturity October 15, 2029)

 

 

5,250,000

 

 

2,460,739

 

 

2,415,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cathedral Lake II, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 19.20%, maturity July 16, 2029)

 

 

2,875,000

 

 

1,993,284

 

 

1,955,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIFC Funding 2013-II, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO income notes(5)(7), (Estimated yield 20.32%, maturity October 18, 2030)

 

 

10,532,500

 

 

4,790,688

 

 

4,844,950

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIFC Funding 2014-III, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO income notes(5)(7), (Estimated yield 17.95%, maturity July 22, 2026)

 

 

11,000,000

 

 

6,859,509

 

 

5,940,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIFC Funding 2014, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 15.94%, maturity January 18, 2031)

 

 

8,500,000

 

 

4,986,412

 

 

4,420,000

 

 

 (Continued on next page)

See Accompanying Notes.

6

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
(unaudited)

COMPANY/INVESTMENT(1)(14)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR VALUE(2)

 

% of
Net Assets

Collateralized Loan Obligation – Equity Investments (continued)

 

 

 

 

 

 

 

 

 

 

 

Structured Finance (continued)

 

 

 

 

 

 

 

 

 

 

 

Dryden 42 Senior Loan Fund

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 21.67%, maturity July 15, 2030)

 

$

 7,000,000

 

$

 4,712,676

 

$

 4,994,913

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dryden 49 Senior Loan Fund

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 16.19%, maturity July 18, 2030)

 

 

6,425,000

 

 

5,302,337

 

 

4,947,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dryden 54 Senior Loan Fund

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(9), (Estimated yield 17.73%, maturity October 19, 2029)

 

 

2,500,000

 

 

2,040,226

 

 

2,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ellington CLO II, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(9), (Estimated yield 21.23%, maturity February 15, 2029)

 

 

4,000,000

 

 

3,675,777

 

 

3,560,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Figueroa CLO 2013-2, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 25.44%, maturity June 20, 2027)

 

 

8,500,000

 

 

4,287,663

 

 

4,675,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 17.62%, maturity July 20, 2029)

 

 

14,200,000

 

 

10,256,939

 

 

9,940,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Halcyon Loan Advisors Funding 2015-1 Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 24.35%, maturity April 20, 2027)

 

 

7,000,000

 

 

3,699,175

 

 

3,500,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Halcyon Loan Advisors Funding 2015-2 Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(9), (Estimated yield 30.91%, maturity July 25, 2027)

 

 

6,000,000

 

 

3,380,528

 

 

3,300,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Halcyon Loan Advisors Funding 2018-1 Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(9), (Estimated yield 18.49%, maturity July 20, 2031)

 

 

11,250,000

 

 

10,513,848

 

 

10,350,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Hull Street CLO Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield -28.71%, maturity October 18, 2026)

 

 

15,000,000

 

 

5,988,797

 

 

3,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ICG US CLO 2016-1, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 10.58%, maturity July 29, 2028)

 

 

4,750,000

 

 

4,744,998

 

 

4,080,773

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ivy Hill Middle Market Credit VII, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 15.74%, maturity October 20, 2029)

 

 

5,400,000

 

 

4,552,412

 

 

3,720,535

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jamestown CLO III, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7)(11), (Estimated yield 3.07%, maturity January 15, 2026)

 

 

15,575,000

 

 

2,483,795

 

 

1,401,750

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jamestown CLO IV, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 14.51%, maturity July 15, 2026)

 

 

9,500,000

 

 

3,442,545

 

 

2,143,319

 

 

 (Continued on next page)

See Accompanying Notes.

7

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2018
(unaudited)

COMPANY/INVESTMENT(1)(14)

 

PRINCIPAL AMOUNT

 

COST

 

FAIR VALUE(2)

 

% of
Net Assets

Collateralized Loan Obligation – Equity Investments (continued)

 

 

 

 

 

 

 

 

 

 

 

Structured Finance (continued)

 

 

 

 

 

 

 

 

 

 

 

Jamestown CLO V, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 11.41%, maturity January 17, 2027)

 

$

 8,500,000

 

$

 3,149,855

 

$

 2,720,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jamestown CLO VII, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 19.06%, maturity July 25, 2027)

 

 

7,000,000

 

 

4,840,840

 

 

4,620,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Longfellow Place CLO, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 18.67%, maturity April 15, 2029)

 

 

15,640,000

 

 

7,237,987

 

 

6,778,230

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Madison Park Funding X, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 8.54%, maturity January 20, 2025)

 

 

6,000,000

 

 

5,272,581

 

 

5,400,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Madison Park Funding XI, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 10.34%, maturity October 23, 2025)

 

 

1,236,843

 

 

868,283

 

 

816,316

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Madison Park Funding XXIV, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 10.53%, maturity January 20, 2028)

 

 

892,188

 

 

818,061

 

 

813,006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Madison Park Funding XXV, Ltd.

 

 

 

 

 

 

 

 

 

 

 

CLO subordinated notes(5)(7), (Estimated yield 14.05%, maturity April 25, 2029)

 

 

1,300,000

 

 

1,198,558

 

 

1,261,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Madison Park Funding XXVII, Ltd.