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Section 1: N-Q (N-Q)

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

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) (Zip code)

 

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: June 30, 2019

 

 

 

 

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS

JUNE 30, 2019

(Unaudited)

 

Item 1. Schedule of Investments

 

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), 11.10% (LIBOR + 8.50%, due April 15, 2029)  $775,000   $625,899   $643,018      
                     
Midocean Credit CLO VI                    
CLO secured notes - Class ER(3)(6), 9.42% (LIBOR + 6.90%, due January 20, 2029)   6,000,000    6,000,000    5,970,000      
                     
Mountain Hawk II CLO, Ltd.                    
CLO secured notes - Class E(3)(6), 7.39% (LIBOR + 4.80%, due July 20, 2024)   8,000,000    7,055,225    6,088,000      
                     
OZLM XIII, Ltd.                    
CLO secured notes - Class D(3)(6), 8.03% (LIBOR + 5.45%, due July 30, 2027)   9,500,000    8,805,177    8,730,500      
                     
OZLM XXII, Ltd.                    
CLO secured notes - Class E(3)(6), 9.98% (LIBOR + 7.39%, due January 17, 2031)   2,670,000    2,586,347    2,307,414      

Total Structured Finance - Debt Investments

       $25,072,648   $23,738,932    5.94%
Total Collateralized Loan Obligation - Debt Investments       $25,072,648   $23,738,932    5.94%
                     
Collateralized Loan Obligation - Equity Investments                    
Structured Finance - Equity Investments                    
ALM XVII, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 22.93%, maturity January 15, 2028)  $6,500,000   $3,731,575   $3,489,880      
                     
AMMC CLO XI, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 18.25%, maturity April 30, 2031)   2,100,000    1,267,390    1,113,000      
                     
AMMC CLO XII, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 19.04%, maturity November 10, 2030)   11,428,571    5,862,683    4,685,714      
                     
Anchorage Capital CLO 4- R, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 18.66%, maturity January 28, 2031)   6,000,000    5,102,246    4,920,000      
                     
Anchorage Capital CLO 5- R, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 14.64%, maturity January 15, 2030)   4,000,000    3,968,899    3,228,305      
                     
Anchorage Capital CLO 8, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 21.55%, maturity July 28, 2028)   6,000,000    4,990,457    4,920,000      
                     
Apex Credit CLO 2015-II, Ltd. (fka: JFIN CLO 2015-II Ltd.)                    
CLO subordinated notes(5)(7), (Estimated yield 16.96%, maturity October 17, 2026)   5,750,000    4,630,466    3,747,199      
                     
Apex Credit CLO 2018 Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 23.88%, maturity April 25, 2031)   9,750,000    7,664,330    7,304,911      
                     
Apex Credit CLO 2019 Ltd.                    
CLO subordinated notes(5)(7)(9), (Estimated yield 22.03%, maturity April 18, 2032)   16,000,000    13,483,394    13,600,000      
                     
Arch Street CLO, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 29.76%, maturity October 20, 2028)   3,000,000    1,986,586    2,010,000      
                     
Ares XXVII CLO, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 25.59%, maturity July 28, 2029)   17,000,000    8,071,455    7,659,760      

 

(Continued on next page)                                

 

See Accompanying Notes

 

2 

 

 

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)

JUNE 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)                     
Ares XXXVII CLO Ltd.                     
CLO subordinated notes(5)(7), (Estimated yield 26.65%, maturity October 15, 2030)  $15,000,000   $10,679,040   $10,996,655       
                      
Ares XL CLO Ltd.                     
CLO subordinated notes(5)(7), (Estimated yield 20.52%, maturity January 15, 2029)   10,100,000    7,207,433    6,018,937       
                      
Atlas Senior Loan Fund XII, Ltd.                     
CLO subordinated notes(5)(7), (Estimated yield 23.56%, maturity October 24, 2031)   1,500,000    1,075,679    1,125,000       
                      
Battalion CLO VI Ltd.                     
CLO preference shares (5)(7)(10), (Estimated yield 0.00%, maturity October 17, 2026)   5,000,000    439,349    150,000       
                      
Battalion CLO VII Ltd.                     
CLO subordinated notes(5)(7), (Estimated yield 13.02%, maturity July 17, 2028)   26,900,000    16,120,245    11,029,000       
                      
Benefit Street Partners CLO III Ltd.                     
CLO subordinated notes(5)(7), (Estimated yield 22.62%, maturity July 20, 2029)   5,000,000    2,264,942    2,250,000       
                      
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 -34.79%, maturity April 16, 2026)   2,000,000    558,414    360,000       
                      
Bristol Park CLO, Ltd.                     
CLO income notes(5)(7), (Estimated yield 10.34%, maturity April 15, 2029)   10,000,000    7,688,395    5,500,000       
                      
Canyon Capital CLO 2015-1, Ltd.                     
CLO subordinated notes(5)(7), (Estimated yield 24.42%, maturity April 15, 2029)   10,000,000    6,404,273    5,400,000       
                      
Carlyle Global Market Strategies CLO 2013-2, Ltd.                     
CLO subordinated notes(5)(7)(12), (Estimated yield 20.67%, maturity January 18, 2029)   16,098,067    10,340,544    9,062,372       
                      
Carlyle Global Market Strategies CLO 2014-5, Ltd.                     
CLO subordinated notes(5)(7), (Estimated yield 21.36%, maturity July 15, 2031)   5,500,000    3,441,464    2,970,000       
                      
Cathedral Lake CLO 2013, Ltd.                     
CLO subordinated notes(5)(7)(12), (Estimated yield 18.10%, maturity October 15, 2029)   6,350,000    2,937,495    2,476,500       
                      
Cathedral Lake II, Ltd.                     
CLO subordinated notes(5)(7)(12), (Estimated yield 22.21%, maturity July 15, 2029)   12,112,200    7,592,965    6,964,515       
                      
CIFC Funding 2013-III-R, Ltd.                     
CLO subordinated notes(5)(7), (Estimated yield 22.34%, maturity April 24, 2031)   4,900,000    2,427,625    2,450,000       
                      
CIFC Funding 2014, Ltd.                     
CLO income notes(5)(7), (Estimated yield 15.87%, maturity January 18, 2031)   6,000,000    3,659,445    3,165,000       
                      
CIFC Funding 2014-III, Ltd.                     
CLO income notes(5)(7)(12), (Estimated yield 20.63%, maturity October 22, 2031)   18,225,000    10,653,313    10,023,750       

 

(Continued on next page)                              

 

See Accompanying Notes

 

3 

 

 

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)

JUNE 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)                   
Dryden 49 Senior Loan Fund                   
CLO subordinated notes(5)(7), (Estimated yield 16.43%, maturity July 18, 2030)  $12,850,000   $9,623,860   $8,352,500     
                    
Dryden 54 Senior Loan Fund                   
CLO subordinated notes(5)(7), (Estimated yield 16.34%, maturity October 19, 2029)   2,500,000    2,042,350    1,775,000     
                    
Ellington CLO II, Ltd.                   
CLO subordinated notes(5)(7), (Estimated yield 16.71%, maturity February 15, 2029)   6,000,000    5,001,397    4,140,000     
                    
Figueroa CLO 2013-2, Ltd.                   
CLO subordinated notes(5)(7)(12), (Estimated yield 19.59%, maturity June 20, 2027)   8,500,000    4,185,179    3,995,000     
                    
Flatiron CLO 17 Ltd.                   
CLO subordinated notes(5)(7), (Estimated yield 22.22%, maturity May 15, 2030)   2,337,500    1,574,703    1,449,250     
                    
GoldenTree Loan Opportunities XI, Ltd.                   
CLO subordinated notes(5)(7), (Estimated yield 13.42%, maturity January 18, 2031)   3,000,000    2,413,752    2,040,000     
                    
Halcyon Loan Advisors Funding 2015-1 Ltd.                   
CLO subordinated notes(5)(7), (Estimated yield 17.36%, maturity April 20, 2027)   7,000,000    3,298,507    1,050,000     
                    
Halcyon Loan Advisors Funding 2018-1 Ltd.                   
CLO subordinated notes(5)(7)(12), (Estimated yield 17.30%, maturity July 20, 2031)   11,250,000    10,267,357    9,337,500     
                    
HPS Loan Management 10-2016, Ltd.                   
CLO subordinated notes(5)(7), (Estimated yield 18.26%, maturity January 20, 2028)   10,000,000    6,051,554    5,800,000     
                    
Hull Street CLO Ltd.                   
CLO subordinated notes(5)(7)(12), (Estimated yield -18.94%, maturity October 18, 2026)   15,000,000    4,197,718    900,000     
                    
ICG US CLO 2016-1, Ltd.                   
CLO subordinated notes(5)(7), (Estimated yield 9.21%, maturity July 29, 2028)   4,750,000    4,566,751    3,431,400     
                    
Ivy Hill Middle Market Credit VII, Ltd.                   
CLO subordinated notes(5)(7)(12), (Estimated yield 8.81%, maturity October 20, 2029)   5,400,000    4,456,594    3,073,010     
                    
Jamestown CLO III, Ltd.                   
CLO subordinated notes(5)(7)(10), (Estimated yield 0.00%, maturity January 15, 2026)   15,575,000    936,600         
                    
Jamestown CLO IV, Ltd.                   
CLO subordinated notes(5)(7), (Estimated yield 7.09%, maturity July 15, 2026)   9,500,000    2,841,440    950,000     
                    
Jamestown CLO VII, Ltd.                   
CLO subordinated notes(5)(7)(12), (Estimated yield 9.47%, maturity July 25, 2027)   13,912,500    6,799,198    5,565,000     
                    
Longfellow Place CLO, Ltd.                   
CLO subordinated notes(5)(7), (Estimated yield 18.71%, maturity April 15, 2029)   19,640,000    7,870,371    4,563,705     
                    
Madison Park Funding XV, Ltd.                   
CLO subordinated notes(5)(7), (Estimated yield 14.07%, maturity January 27, 2026)   7,000,000    4,221,299    3,920,000     
                    
Madison Park Funding XXII, Ltd.                   
CLO subordinated notes(5)(7)(12), (Estimated yield 17.97%, maturity October 25, 2029)   15,000,000    11,915,090    11,880,000     

 

(Continued on next page) 

 

See Accompanying Notes

 

4 

 

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)

JUNE 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)                    
Madison Park Funding XXIV, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 18.29%, maturity January 20, 2028)  $3,568,750   $2,634,428   $2,569,500     
                     
Madison Park Funding XXV, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 13.53%, maturity April 25, 2029)   1,300,000    1,174,417    1,014,000      
                     
Madison Park Funding XXIX, Ltd.                    
CLO subordinated notes(5)(7)(11)(12), (Estimated yield 13.40%, maturity October 18, 2047)   17,000,000    14,545,675    14,110,000      
                     
Madison Park Funding XXX, Ltd.                    
CLO subordinated notes(5)(7)(11)(12), (Estimated yield 20.29%, maturity April 15, 2029)   17,550,000    15,902,160    15,844,137      
                     
Madison Park Fund XLI, Ltd. (fka: Atrium XII CLO)                    
CLO subordinated notes(4)(5)(7)(11), (Estimated yield 17.22%, maturity April 22, 2027)   34,762,500    23,400,976    23,290,875      
                     
Marble Point CLO XI Ltd.                    
CLO income notes(5)(7), (Estimated yield 20.05%, maturity December 18, 2047)   4,000,000    2,915,498    2,840,000      
                     
Midocean Credit CLO III                    
CLO income notes(5)(7), (Estimated yield 22.61%, maturity April 21, 2031)   16,650,000    7,010,501    6,327,000      
                     
Midocean Credit CLO VI                    
CLO income notes(5)(7)(11), (Estimated yield 13.79%, maturity January 20, 2029)   29,700,000    24,494,001    17,560,125      
                     
Mountain Hawk II CLO, Ltd.                    
CLO secured notes (5)(7), (Estimated yield -18.80%, maturity July 20, 2024)   25,670,000    4,398,607    1,026,800      
                     
Mountain View CLO 2014-1 Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 22.60%, maturity October 15, 2026)   15,000,000    3,411,538    1,412,386      
                     
Mountain View CLO 2017-2 Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 21.83%, maturity January 16, 2031)   1,400,000    1,146,415    1,064,000      
                     
Ocean Trails CLO VI                    
CLO subordinated notes(5)(7), (Estimated yield 29.23%, maturity July 15, 2028)   4,000,000    3,352,217    2,773,740      
                     
Octagon Investment Partners XXII, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 20.03%, maturity January 22, 2030)   3,168,750    2,097,248    1,932,938      
                     
Octagon Investment Partners 33, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 16.65%, maturity January 20, 2031)   10,000,000    9,105,353    8,400,000      
                     
Octagon Investment Partners 38, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 18.21%, maturity July 20, 2030)   5,000,000    4,284,652    4,200,000      
                     
Octagon Investment Partners 39, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 16.94%, maturity October 20, 2030)   10,400,000    8,945,483    8,840,000      
                     
Octagon Investment Partners 40, Ltd.                    
CLO subordinated notes(4)(5)(7)(9), (Estimated yield 17.14%, maturity April 20, 2031)   47,250,000    41,803,035    42,052,500      
                     
Octagon Loan Funding, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 20.20%, maturity November 18, 2031)   1,774,526    1,016,925    1,011,480      

 

(Continued on next page)

 

See Accompanying Notes

 

5 

 

 

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)

JUNE 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)                    
OFSI Fund VII, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield -4.46%, maturity October 18, 2026)  $28,840,000   $17,679,875   $8,940,400     
                     
OFSI BSL VIII, Ltd.                    
CLO preferred shares(5)(7), (Estimated yield 21.21%, maturity August 16, 2029)   8,500,000    5,979,599    5,525,000      
                     
OFSI BSL IX, Ltd.                    
CLO preferred shares(5)(7)(12), (Estimated yield 18.69%, maturity July 31, 2118)   11,480,000    10,241,725    9,413,600      
                     
OHA Loan Funding 2012-1, Ltd.                    
CLO subordinated notes(5)(7)(10)(15), (Estimated yield 26.13%, maturity January 23, 2024)   7,400,000    1,047,586    1,480,000      
                     
OZLM Funding III, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 11.20%, maturity January 22, 2029)   12,000,000    7,435,885    5,520,000      
                     
OZLM VIII, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 22.03%, maturity October 17, 2029)   10,000,000    3,393,867    3,100,000      
                     
OZLM XIII, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 17.59%, maturity July 30, 2027)   23,000,000    12,498,178    9,890,000      
                     
OZLM XIV, Ltd.                    
CLO subordinated notes(5)(7)(11), (Estimated yield 10.98%, maturity January 15, 2029)   10,000,000    8,163,643    5,695,477      
                     
Regatta III Funding Ltd.                    
CLO subordinated notes(5)(7)(10)(16), (Estimated yield 0.00%, maturity April 15, 2026)   3,750,000    38,367    18,750      
                     
Seneca Park CLO, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 48.74%, maturity October 20, 2026)   6,000,000    855,929    900,000      
                     
Shackleton 2013-IV-R CLO, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 20.02%, maturity April 13, 2031)   11,750,000    9,822,729    7,692,660      
                     
Shackleton 2015-VII CLO, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 17.30%, maturity July 15, 2031)   12,500,000    9,332,417    6,965,585      
                     
Shackleton 2017-X CLO, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 10.49%, maturity April 20, 2029)   10,000,000    8,819,695    6,200,000      
                     
Sound Point CLO VI-R, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 17.73%, maturity October 20, 2031)   19,656,983    9,233,522    8,649,073      
                     
Steele Creek CLO 2016-1, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 18.98%, maturity June 15, 2031)   4,000,000    3,573,455    3,000,000      
                     
Telos CLO 2013-3, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 3.41%, maturity July 17, 2026)   14,332,210    8,461,554    4,586,307      
                     
Telos CLO 2013-4, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 18.87%, maturity January 17, 2030)   11,350,000    7,218,036    4,813,294      
                     
Telos CLO 2014-6, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 22.16%, maturity January 17, 2027)   21,400,000    9,137,917    7,520,764      

 

(Continued on next page)

 

See Accompanying Notes

 

6 

 

 

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)

JUNE 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)                    
Thacher Park CLO, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 28.30%, maturity October 20, 2026)  $4,500,000   $1,271,695   $1,305,000     
                     
THL Credit Wind River 2015-1 CLO Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 20.71%, maturity October 20, 2030)   1,300,000    817,975    838,500      
                     
THL Credit Wind River 2017-1 CLO Ltd.                    
CLO subordinated notes(5)(7)(11), (Estimated yield 10.80%, maturity April 18, 2029)   12,000,000    10,223,667    7,200,000      
                     
THL Credit Wind River 2017-4 CLO Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 15.95%, maturity November 20, 2030)   8,200,000    7,746,597    7,134,000      
                     
Tralee CLO II, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 27.94%, maturity July 20, 2029)   6,300,000    2,514,852    1,890,000      
                     
Tralee CLO IV, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 19.68%, maturity January 20, 2030)   13,270,000    11,797,177    9,023,600      
                     
Trinitas CLO VIII, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 19.94%, maturity July 20, 2117)   750,000    633,809    607,500      
                     
Tryon Park CLO, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 17.63%, maturity July 15, 2025)   4,226,000    1,395,851    1,267,800      
                     
Venture XIV CLO, Limited                    
CLO subordinated notes(5)(7)(12), (Estimated yield 22.02%, maturity August 28, 2029)   9,250,000    5,100,963    3,515,000      
                     
Venture XV CLO, Limited                    
CLO subordinated notes(5)(7)(12), (Estimated yield 9.66%, maturity July 15, 2028)   6,500,000    4,310,243    2,665,000      
                     
Venture XVII CLO, Limited                    
CLO subordinated notes(5)(7)(12), (Estimated yield 20.14%, maturity April 15, 2027)   17,000,000    11,121,192    7,733,958      
                     
Venture XX CLO, Limited                    
CLO subordinated notes(5)(7)(12), (Estimated yield 12.84%, maturity April 15, 2027)   6,000,000    4,128,409    3,060,000      
                     
Venture XXI CLO, Limited                    
CLO subordinated notes(5)(7), (Estimated yield 22.32%, maturity July 15, 2027)   30,000,000    18,717,680    14,700,000      
                     
Venture 32 CLO, Limited                    
CLO subordinated notes(5)(7), (Estimated yield 19.34%, maturity July 18, 2031)   3,500,000    3,205,488    3,045,000      
                     
Venture 37 CLO, Limited                    
CLO subordinated notes(5)(7)(9), (Estimated yield 19.71%, maturity July 15, 2032)   9,000,000    7,672,514    8,100,000      
                     
Vibrant CLO III, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 20.54%, maturity October 20, 2031)   5,000,000    3,633,853    3,250,000      
                     
Wellfleet 2016-2 CLO, Ltd.                    
CLO subordinated notes(5)(7), (Estimated yield 21.62%, maturity October 20, 2028)   10,000,000    8,493,685    6,500,000      
                     
West CLO 2014-1, Ltd.                    
CLO subordinated notes(5)(7)(12), (Estimated yield 32.30%, maturity July 18, 2026)   20,250,000    8,725,968    8,302,500      
                    

(Continued on next page)

 

See Accompanying Notes

 

7 

 

 

OXFORD LANE CAPITAL CORP.

SCHEDULE OF INVESTMENTS – (continued)

JUNE 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)                    
Zais CLO 8, Limited                    
CLO subordinated notes(5)(7)(12), (Estimated yield 27.42%, maturity April 15, 2029)  $3,000,000   $2,317,417   $2,370,000      
                     
Zais CLO 9, Limited                    
CLO subordinated notes(5)(7), (Estimated yield 21.05%, maturity July 20, 2031)   10,700,000    9,325,465    8,731,200      
                     
Other CLO equity related investments                    
CLO other(8)            2,216,337      
Total Structured Finance - Equity Investments       $675,094,145   $568,938,649    142.29%
Total Collateralized Loan Obligation - Equity Investments       $675,094,145   $568,938,649    142.29%
                     
Total Investments       $700,166,793   $592,677,581    148.23%
                     
Cash and Cash Equivalents                    
First American Government Obligations Fund(13)       $16,992,211   $16,992,211      
           Total Cash and Cash Equivalents       $16,992,211   $16,992,211    4.25%
                     
Total Investments and Cash and Cash Equivalents       $717,159,004   $609,669,792    152.48%
LIABILITIES IN EXCESS OF OTHER ASSETS             (209,833,405)     
NET ASSETS (equivalent to $8.01 per share based on 49,916,091 shares of common stock outstanding)            $399,836,387      

 

(Continued on next page)

 

See Accompanying Notes

 

8 

 

 

OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS – (continued)
JUNE 30, 2019
(Unaudited)

 

 

(1) 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, as amended (the “1940 Act”). In general, under the 1940 Act, we would be presumed to “control” a portfolio company if we owned more than 25% 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 Fund.
(3) Cost value reflects accretion of original issue discount or market discount.
(4) Investment represents greater than 5% of net assets.     
(5) Cost value reflects accretion of effective yield less any cash distributions received or entitled to be received from CLO equity investments.
(6) The CLO secured notes generally bear interest at a rate determined by reference to three-month LIBOR which resets quarterly. For each CLO debt investment, the rate provided is as of June 30, 2019.
(7) The CLO subordinated notes, preferred shares and income notes are considered equity positions in the CLO funds. Equity investments are entitled to recurring distributions which are generally equal to the remaining cash flow of the payments made by the underlying fund’s securities less contractual payments to debt holders and fund expenses. The estimated yield indicated is based upon a current projection of the amount and timing of these recurring distributions and the estimated amount of repayment of principal upon termination. Such projections are periodically reviewed and adjusted, and the estimated yield may not ultimately be realized.
(8) Fair value represents discounted cash flows associated with fees earned from CLO equity investments
(9) Investment has not made inaugural distribution for relevant period end.
(10) The CLO equity investment was optionally redeemed. See “Note 2. Summary of Significant Accounting Policies.”
(11) Securities held as collateral pursuant to repurchase agreement with Nomura Securities International, Inc. See “Note 2. Summary of Significant Accounting Policies.”
(12) The CLO equity is co-invested with the Fund’s affiliates pursuant to an exemptive order issued on June 14, 2017 by the Securities and Exchange Commission (“SEC”). See “Note 4. Related Party Transactions.”
(13) Represents cash equivalents held in a money market account as of June 30, 2019.
(14) The fair value of the investment was determined using significant unobservable inputs. See “Note 3. Fair Value.”
(15) This investment was optionally redeemed during the quarter ended June 30, 2019. See “Note 2. Summary of Significant Accounting Policies.”
(16) This investment represents our percent ownership in certain equity securities transferred to OXLC upon the redemption of this investment on October 25, 2018.                 

 

See Accompanying Notes

 

9 

 

 

OXFORD LANE CAPITAL CORP.
NOTES TO SCHEDULE OF INVESTMENTS
JUNE 30, 2019
(Unaudited)

 

NOTE 1. UNAUDITED INTERIM FINANCIAL STATEMENTS

 

The Schedule of Investments of Oxford Lane Capital Corp. (“OXLC,” “we,” “us,” “our,” or the “Fund”) are prepared in accordance with generally accepted accounting principles in the United States of America (“GAAP”) and pursuant to the requirements for reporting on Form N-Q. Accordingly, certain disclosures accompanying annual and semi-annual financial statements prepared in accordance with GAAP are omitted. In the opinion of management, all adjustments, consisting of normal recurring accruals, necessary for the fair statement of financial results for the interim periods have been omitted. The Schedule of Investments and notes thereto should be read in conjunction with the financial statements and notes thereto included in the Fund’s Form N-CSR for the year ended March 31, 2019, as filed with the SEC.

 

NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

INVESTMENT VALUATION

 

The Fund fair values its investment portfolio in accordance with the provisions of Financial Accounting Standards Board Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurement. Estimates made in the preparation of OXLC’s Schedule of Investments include the valuation of investments and the related amounts of unrealized appreciation and depreciation of investments recorded. OXLC 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 OXLC makes. OXLC is required to specifically fair value each individual investment on a quarterly basis.

 

ASC 820-10 clarifies 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. OXLC considers the attributes of current market conditions on an on-going basis and has determined that due to the general illiquidity of the market for its investment portfolio, whereby little or no market data exists.

 

Collateralized Loan Obligations — Debt and Equity

 

OXLC has acquired debt and equity positions in Collateralized Loan Obligations (“CLO”) investment vehicles and has purchased CLO warehouse facilities. These investments are special purpose financing vehicles. In valuing such investments, OXLC considers the indicative prices provided by a recognized industry pricing service as a primary source, and the implied yield of such prices, supplemented by actual trades executed in the market at or around period-end, as well as the indicative prices provided by the broker who arranges transactions in such investment vehicles. OXLC also considers those instances in which the record date for an equity distribution payment falls on the last day of the period, and the likelihood that a prospective purchaser would require a downward adjustment to the indicative price representing substantially all of the pending distribution. Additional factors include any available information on other relevant transactions, including firm bids and offers in the market and information resulting from bids-wanted-in-competition. In addition, OXLC considers the operating metrics of the specific investment vehicle, including compliance with collateralization tests, defaulted and restructured securities, and payment defaults, if any. Oxford Lane Management, LLC (“OXLC Management” or the “Adviser”) or the Fund’s board of directors (the “Board of Directors”) may elect to engage third-party valuation firms to provide assistance to our Valuation Committee and Board of Directors in valuing certain of our investments, including, but not limited to, when requested by the Board of Directors or the Adviser. If a third-party valuation firm is engaged by the Fund, it will provide the Board of Directors with a written report with respect to each investment it has reviewed. The Valuation Committee will evaluate the impact of such additional information, and factor it into its consideration of fair value.

  

10

 

 

OXFORD LANE CAPITAL CORP.
NOTES TO SCHEDULE OF INVESTMENTS
JUNE 30, 2019
(Unaudited)

 

NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (cont.)

 

Securities Sold Under Agreement to Repurchase

 

The Fund has entered into an agreement whereby it sold securities to be repurchased at an agreed-upon price and date. Under this agreement, the Fund accounts for this transaction as a collateralized financing transaction which is recorded at the contracted repurchase amount plus interest. The Fund’s securities sold under the agreement to repurchase are carried at cost; which approximates fair value. Refer to “Note 8. Borrowings Related to Securities Sold Under Agreement to Repurchase” in our most recent Annual Report as of March 31, 2019 for additional information.

 

SECURITIES TRANSACTIONS

 

Securities transactions are recorded on trade date. An optional redemption (“optionally redeemed”) feature of a CLO allows a majority of the holders of the equity securities issued by the CLO issuer, after the end of a specified non-call period, to cause the redemption of the secured notes issued by the CLO with proceeds paid either through the liquidation of the CLO’s assets or through a refinancing with new debt. The optional redemption is effectively a voluntary prepayment of the secured debt issued by the CLO prior to the stated maturity of such debt. Distributions received on CLO equity investments which were optionally redeemed are first applied to the remaining cost basis until it is reduced to zero, after which distributions are recorded as realized gains.

 

NOTE 3. FAIR VALUE

 

The Fund’s assets measured at fair value on a recurring basis subject to the disclosure requirements of ASC 820-10 at June 30, 2019 were as follows:

 

   Fair Value Measurements at Reporting Date Using      
                     
Assets ($ in millions)  Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
   Significant
Other Observable
Inputs
(Level 2)
   Significant
Unobservable
Inputs
(Level 3)
   Total 
                     
CLO debt  $   $   $23.7   $23.7 
                     
CLO equity           569.0    569.0 
                     
Total investments at fair value           592.7    592.7 
Cash and cash equivalents   17.0            17.0 
Total assets at fair value  $17.0   $   $592.7   $609.7 

 

Significant Unobservable Inputs for Level 3 Investments

 

In accordance with ASC 820-10, the following table provides quantitative information about the Fund’s Level 3 fair value measurements as of June 30, 2019. The Fund’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 Fund uses in determining fair value. If the Board of Directors or OXLC Management determines that additional techniques, sources or inputs are appropriate or necessary in a given situation, such additional work may be undertaken. The weighted average calculations in the table below are based on the fair value within each respective valuation technique and methodology and asset category.

 

   Quantitative Information about Level 3 Fair Value Measurements    
Assets  Fair Value as of 
 June 30, 2019
 Valuation
Techniques /
Methodologies
  Unobservable
Input
  Range / Weighted
Average(3)
 Impact to
Valuation from
an Increase in
Input(4)
    ($ in millions)              
CLO debt  $23.7   Market quotes  NBIP(1)  76.1%-99.5% / 88.1%   NA
                   
CLO equity   404.2   Market quotes  NBIP(1)  4.0%-90.3% / 55.8%   NA
    29.4   Recent Transaction  Actual trade  59.1%-79.2% / 65.9%   NA
    131.0   Yield Analysis  NBIP(1)  9.4%-84.0% / 49.4%   Decrease
    2.1   Liquidation Net Asset Value(5)  NBIP(1)  0.5%-20.0% / 7.6%   NA
                   
CLO equity - side letters   2.1   Discounted cash flow(2)  Discount rate(2)  12.6%-21.8% / 14.8%   Decrease
    0.1   Recent Transaction  Actual trade  94.3%  NA
                   
Total Fair Value for Level 3 Investments (6)  $592.7              

 

11

 

 

OXFORD LANE CAPITAL CORP.
NOTES TO SCHEDULE OF INVESTMENTS
JUNE 30, 2019
(Unaudited)

 

NOTE 3. FAIR VALUE (cont.)

 

(1) The Fund generally uses non-binding indicative prices (“NBIP”) provided by an independent pricing service or broker on or near the valuation date as the primary basis for the fair value determinations for CLO debt and equity investments, which may be adjusted for pending equity distributions as of the valuation date. These prices are non-binding, and may not be determinative of fair value. Each price is evaluated by the Board of Directors in conjunction with additional information compiled by OXLC Management, including performance and covenant compliance information as provided by the independent trustee.

(2) The Fund calculates the fair value of CLO equity side letters based upon the net present value of expected contractual payment streams discounted using estimated market yields for the equity tranche of the respective CLO vehicle.

(3) Weighted averages are calculated based on fair value of investments.

(4) The impact on fair value measurement of an increase in each unobservable input is in isolation. The discount rate is the rate used to discount future cash flows in a discounted cash flow calculation. An increase in discount rate, in isolation, would result in a decrease in a fair value measurement. Significant increases or decreases in any of the unobservable inputs in isolation may result in a significantly lower or higher fair value measurement.

(5) The fair value of those CLO equity positions which have been optionally redeemed are generally valued using a liquidation net asset value basis which represents the estimated expected residual value of the CLO as of the end of the period.