Filed pursuant to Rule 424(b)(3)
File No. 333-236574
PROSPECTUS SUPPLEMENT
(To Prospectus dated June 1, 2020, Prospectus
Supplement
dated June 4, 2020, Prospectus
Supplement dated August 7, 2020, Prospectus
Supplement dated September 9, 2020, Prospectus
Supplement
dated November 6, 2020, and Prospectus
Supplement dated December 4, 2020)
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February 5, 2021
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Oxford Lane Capital Corp.
$500,000,000
Common Stock
This prospectus supplement supplements the
prospectus supplement dated June 4, 2020 (the “First Prospectus Supplement”), the prospectus supplement dated August
7, 2020 (the “Second Prospectus Supplement”), the prospectus supplement dated September 9, 2020 (the “Third Prospectus
Supplement”), the prospectus supplement dated November 6, 2020 (the “Fourth Prospectus Supplement”), the prospectus
supplement dated December 4, 2020 the (“Fifth Prospectus Supplement”), and the accompanying prospectus thereto dated
June 1, 2020 (the “Base Prospectus,” and, together with the First Prospectus Supplement, Second Prospectus Supplement,
Third Prospectus Supplement, Fourth Prospectus Supplement, Fifth Prospectus Supplement, and this prospectus supplement, the “Prospectus”),
which relate to the sale of shares of common stock of Oxford Lane Capital Corp. in an “at-the-market” offering pursuant
to an equity distribution agreement dated June 4, 2020, with Ladenburg Thalmann & Co. Inc. Oxford Lane Capital Corp.’s
(the “Company”) investment adviser, Oxford Lane Management, LLC (the “Adviser”), has agreed to pay to Ladenburg
Thalmann & Co. Inc., if necessary, a supplemental payment per share that will reflect the difference between the public offering
price per share and the net proceeds per share received by the Company in this offering such that the net proceeds per share received
by the Company (before expenses) are not below the Company’s then current net asset value per share.
You should carefully read the entire Prospectus
before investing in our common stock. You should also review the information set forth under the “Risk Factors”
section beginning on page 22 of the Base Prospectus and under the “Supplementary Risk Factors” sections beginning respectively
on page 5 of this prospectus supplement, page 5 of the Second Prospectus Supplement, and page 5 of the Fourth Prospectus Supplement,
as well as in our subsequent filings with the Securities and Exchange Commission that are incorporated by reference into the Prospectus,
before investing.
The terms “Oxford Lane,” the
“Company,” “we,” “us” and “our” generally refer to Oxford Lane Capital Corp.
PRIOR SALES PURSUANT TO THE “AT
THE MARKET” OFFERING
From June 4, 2020 to
February 3, 2021, we sold a total of 11,788,470 shares of common stock pursuant to the “at-the-market” offering. The
total amount of capital raised as a result of these sales of common stock was approximately $55.8 million and net proceeds were
approximately $54.8 million, after deducting the sales agent’s commissions and offering expenses.
JANUARY 2021 FINANCIAL UPDATE
On February 4, 2021, we announced the following
net asset value (“NAV”) estimate as of January 31, 2021.
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Management’s unaudited estimate of the range of the NAV per share of our common stock as
of January 31, 2021 is between $5.84 and $5.94. This estimate is not a comprehensive statement of our financial condition or results
for the month ended January 31, 2021. This estimate did not undergo the Company’s typical quarter-end financial closing procedures
and was not approved by the Company’s board of directors. We advise you that our NAV per share for the quarter ending March
31, 2021 may differ materially from this estimate, which is given only as of January 31, 2021.
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As of January 31, 2021, the Company had approximately 92.9 million shares of common stock issued
and outstanding.
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We believe that the
COVID-19 pandemic represents an extraordinary circumstance that materially impacts the fair value of and prospective cash flows
from the Company’s investments. As a result, the fair value of the Company’s portfolio investments may be materially
impacted after January 31, 2021 by circumstances and events that are not yet known. To the extent the Company’s portfolio
investments are further impacted by the effects of the COVID-19 pandemic, the Company may experience a material impact on its future
net investment income, the fair value of its portfolio investments, its financial condition and the financial condition of its
portfolio investments.
The preliminary financial data included
in this prospectus supplement has been prepared by, and is the responsibility of, Oxford Lane Capital Corp.'s management.
PricewaterhouseCoopers LLP has not audited, reviewed, compiled, or applied agreed-upon procedures with respect to the preliminary
financial data. Accordingly, PricewaterhouseCoopers LLP does not express an opinion or any other form of assurance with respect
thereto.
THIRD QUARTER FINANCIAL HIGHLIGHTS AND
RESULTS
On February 1, 2021, we announced the following
financial results and related information:
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On January 29, 2021, our Board of Directors declared the following distributions on our common stock:
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Month Ending
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Record Date
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Payment Date
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Amount Per Share
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April 30, 2021
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April 16, 2021
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April 30, 2021
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$
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0.0675
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May 31, 2021
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May 14, 2021
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May 28, 2021
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$
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0.0675
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June 30, 2021
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June 16, 2021
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June 30, 2021
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$
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0.0675
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Net asset value (“NAV”) per share as of December 31, 2020 stood at $5.44, compared with a NAV per share on September
30, 2020 of $3.88.
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Net investment income (“NII”), calculated in accordance with generally accepted accounting principles (“GAAP”),
was approximately $18.9 million, or $0.21 per share, for the quarter ended December 31, 2020.
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Our core net investment income (“Core NII”) was approximately $33.5 million, or $0.37 per share, for the quarter
ended December 31, 2020.
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Core NII represents NII adjusted for additional applicable cash distributions received, or entitled to be received (if any,
in either case), on our collateralized loan obligation (“CLO”) equity investments. See additional information under
“Supplemental Information Regarding Core Net Investment Income” below.
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We emphasize that our taxable income may materially differ from our GAAP NII and/or our Core NII, and that neither GAAP NII
nor Core NII should be relied upon as indicators of our taxable income.
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Total investment income for the third fiscal quarter amounted to approximately $31.4 million, which represented an increase
of approximately $1.3 million from the quarter ended September 30, 2020.
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For the quarter ended December 31, 2020 we recorded investment income from our portfolio as follows:
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$29.2 million from our CLO equity investments, and
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$2.2 million from our CLO debt investments and other income.
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Our total expenses for the quarter ended December 31, 2020 were approximately $12.5 million, compared with total expenses of
approximately $11.9 million for the quarter ended September 30, 2020.
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As of December 31, 2020, the following metrics applied (note that none of these metrics represented a total return to shareholders):
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The weighted average yield of our CLO debt investments at current cost was 10.5%, compared with 11.0% as of September 30, 2020.
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The weighted average effective yield of our CLO equity investments at current cost was 14.5%, compared with 14.5% as of September
30, 2020.
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The weighted average cash distribution yield of our CLO equity investments at current cost was 22.2%, compared with 14.9% as
of September 30, 2020.
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For the quarter ended December 31, 2020 we recorded a net increase in net assets resulting from operations of approximately
$156.5 million, or $1.75 per share, comprised of:
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Net investment income of approximately $18.9 million;
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Net realized losses of approximately $6.5 million; and
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Net unrealized appreciation of approximately $144.1 million.
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During the quarter ended December 31, 2020 we made additional CLO investments of approximately $133.0 million, and received
approximately $83.5 million from sales and repayments of our CLO investments.
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For the quarter ended December 31, 2020, we issued a total of approximately 4.5 million shares of common stock pursuant to
an “at-the-market” offering. After deducting the sales agent’s commissions and offering expenses, this resulted
in net proceeds of approximately $23.6 million. As of December 31, 2020, we had approximately 92.8 million shares of common stock
outstanding.
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On January 29, 2021, our Board of Directors
declared the required monthly dividends on our Series 2023 Term Preferred Shares, Series 2024 Term Preferred Shares and Series
2027 Term Preferred Shares (each, a “Share”) as follows:
Preferred
Shares Type
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Per Share Dividend
Amount Declared
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Record Dates
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Payment Dates
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Series 2023
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$
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0.15625000
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March 17, 2021, April 16, 2021, May 14, 2021
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March 31, 2021, April 30, 2021, May 28, 2021
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Series 2024
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$
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0.14062500
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March 17, 2021, April 16, 2021, May 14, 2021
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March 31, 2021, April 30, 2021, May 28, 2021
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Series 2027
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$
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0.13020833
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March 17, 2021, April 16, 2021, May 14, 2021
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March 31, 2020, April 30, 2021, May 28, 2021
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In accordance with their terms, each of
the Series 2023 Term Preferred Shares, Series 2024 Term Preferred Shares and Series 2027 Term Preferred Shares will pay a monthly
dividend at a fixed rate of 7.50%, 6.75% and 6.25%, respectively, of the $25.00 per share liquidation preference, or $1.875, $1.6875
and $1.5625 per share per year, respectively. This fixed annual dividend rate is subject to adjustment under certain circumstances,
but will not, in any case, be lower than 7.50%, 6.75% and 6.25% per year, respectively, for each of the Series 2023 Term Preferred
Shares, Series 2024 Term Preferred Shares and Series 2027 Term Preferred Shares.
Supplemental Information Regarding Core Net Investment Income
We provide information relating to Core
NII (a non-GAAP measure) on a supplemental basis. This measure is not provided as a substitute for GAAP NII, but in addition to
it. Our non-GAAP measures may differ from similar measures by other companies, even in the event of similar terms being utilized
to identify such measures. Core NII represents GAAP NII adjusted for additional applicable cash distributions received, or entitled
to be received (if any, in either case), on our CLO equity investments. OXLC’s management uses this information in its internal
analysis of results and believes that this information may be informative in gauging the quality of OXLC’s financial performance,
identifying trends in its results and providing meaningful period-to-period comparisons.
Income from investments in the “equity”
class securities of CLO vehicles, for GAAP purposes, is recorded using the effective interest method; this is based on an effective
yield to the expected redemption utilizing estimated cash flows, at current cost, including those CLO equity investments that have
not made their inaugural distribution for the relevant period end. The result is an effective yield for the investment in which
the difference between the actual cash received, or distributions entitled to be received, and the effective yield calculation
is adjusted to the cost. Accordingly, investment income recognized on CLO equity securities in the GAAP statement of operations
differs from the cash distributions actually received by the Company during the period (referred to below as “CLO equity
adjustments”).
Furthermore, in order for the Company
to continue qualifying as a regulated investment company (“RIC”) for tax purposes, we are required, among other things,
to distribute at least 90% of our investment company taxable income annually. Therefore, Core NII may provide a better indication
of our estimated taxable income for a reporting period than GAAP NII; we can offer no assurance that will be the case, however,
as the ultimate tax character of our earnings cannot be determined until after tax returns are prepared at the close of a fiscal
year. We note that this non-GAAP measure may not serve as a useful indicator of taxable earnings, particularly during periods of
market disruption and volatility, and, as such, our taxable income may differ materially from our Core NII.
The following table provides a reconciliation
of GAAP NII to Core NII for the three months ended December 31, 2020:
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Three Months Ended
December 31, 2020
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Amount
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Per Share
Amount
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GAAP Net investment income
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$
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18,893,642
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$
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0.21
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CLO equity adjustments
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$
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14,618,817
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$
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0.16
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Core Net investment income
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$
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33,512,459
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$
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0.37
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SUPPLEMENTARY RISK FACTORS
Investing in our common stock involves
a number of significant risks. Before you invest in our common stock, you should be aware of various risks, including those described
below and those set forth in the Second Prospectus Supplement, the Fourth Prospectus Supplement, and the Base Prospectus. You should
carefully consider these risk factors, together with all of the other information included in the Prospectus, before you decide
whether to make an investment in our common stock. The risks set out below and elsewhere in the Prospectus are not the only risks
we face. Additional risks and uncertainties not presently known to us or not presently deemed material by us may also impair our
operations and performance. If any of the following events occur, our business, financial condition, results of operations and
cash flows could be materially and adversely affected. In such case, our net asset value and the trading price of our common stock
could decline, and you may lose all or part of your investment. The risk factors described below, together with those set forth
in the Second Prospectus Supplement, the Fourth Prospectus Supplement, and the Base Prospectus, are the principal risk factors
associated with an investment in us as well as those factors generally associated with an investment company with investment objectives,
investment policies, capital structure or trading markets similar to ours.
We are currently operating in a period of capital markets
disruption and economic uncertainty.
The U.S. capital markets have experienced
extreme volatility and disruption following the global outbreak of COVID-19 that began in December 2019. The global impact of the
outbreak continues to evolve, and many countries have reacted by instituting quarantines, prohibitions on travel and the closure
of offices, businesses, schools, retail stores and other public venues. Businesses have also implemented similar precautionary
measures. Such measures, as well as the general uncertainty surrounding the dangers and impact of COVID-19, have created significant
disruption in supply chains and economic activity. While several countries, as well as certain states in the United States, have
begun to lift public health restrictions with the view to reopening their economies, recurring COVID-19 outbreaks have led to the
re-introduction of such restrictions in certain states in the United States and globally and could continue to lead to the re-introduction
of such restrictions elsewhere.
Although the Federal Food and Drug Administration
has authorized vaccines for emergency use starting in December 2020, it remains unclear how quickly the vaccines will be distributed
nationwide and globally, when “herd immunity” will be achieved in the United States and globally, and when the restrictions
that were imposed to slow the spread of the virus will be lifted entirely. The delay in distributing the vaccines could lead people
to continue to self-isolate and not participate in the economy at pre-pandemic levels for a prolonged period of time.
Even after the COVID-19 pandemic subsides,
the U.S. economy and most other major global economies may continue to experience a recession, and we anticipate our business and
operations could be materially adversely affected by a prolonged recession in the United States and other major markets. Additionally,
as of late December 2020, travelers from the United States are not allowed to visit Canada, Australia or the majority of countries
in Europe, Asia, Africa and South America. These continued travel restrictions may prolong the global economic downturn.
Global economic, political and market conditions may adversely
affect our business, results of operations and financial condition, including our revenue growth and profitability.
The current worldwide financial market
situation, as well as various social and political tensions in the United States and around the world, may contribute to increased
market volatility, may have long-term effects on the U.S. and worldwide financial markets, and may cause economic uncertainties
or deterioration in the United States and worldwide. The U.S. and global capital markets experienced extreme volatility and disruption
during the economic downturn that began in mid-2007, and the U.S. economy was in a recession for several consecutive calendar quarters
during the same period. In 2010, a financial crisis emerged in Europe, triggered by high budget deficits and rising direct and
contingent sovereign debt, which created concerns about the ability of certain nations to continue to service their sovereign debt
obligations. Risks resulting from such debt crisis and any future debt crisis in Europe or any similar crisis elsewhere could have
a detrimental impact on the global economic recovery, sovereign and non-sovereign debt in certain countries and the financial
condition of financial institutions generally.
In June 2016, the United Kingdom (the
“UK”) held a referendum in which voters approved an exit from the European Union, or “Brexit,” and, accordingly,
on February 1, 2017, the U.K. Parliament voted in favor of allowing the U.K. government to begin the formal process of
Brexit. The initial negotiations on Brexit commenced in June 2017. Brexit created political and economic uncertainty and instability
in the global markets (including currency and credit markets), and especially in the United Kingdom and the European Union, and
this uncertainty and instability may last indefinitely. On January 31, 2020, the UK ended its membership in the European Union.
Under the terms of the withdrawal agreement negotiated and agreed between the UK and the European Union, the UK’s departure
from the European Union was followed by a transition period (the “Transition Period”), which ran until December 31,
2020 and during which the UK continued to apply European Union law and was treated for all material purposes as if it were still
a member of the European Union.
On December 24, 2020, the European Union
and UK governments signed a trade deal that became provisionally effective on January 1, 2021 and that now governs the relationship
between the UK and European Union (the “Trade Agreement”). The Trade Agreement implements significant regulation around
trade, transport of goods and travel restrictions between the UK and the European Union. Notwithstanding the foregoing, the longer
term economic, legal, political and social implications of Brexit are unclear at this stage and are likely to continue to lead
to ongoing political and economic uncertainty and periods of increased volatility in both the UK and in wider European markets
for some time. In particular, Brexit could lead to calls for similar referendums in other European jurisdictions, which could cause
increased economic volatility in the European and global markets. This mid- to long-term uncertainty could have adverse effects
on the economy generally and on our ability to earn attractive returns. In particular, currency volatility could mean that our
returns are adversely affected by market movements. Potential decline in the value of the British Pound and/or the Euro against
other currencies, along with the potential further downgrading of the UK’s sovereign credit rating, could also have an impact
on the performance of certain investments made in the UK or Europe. There is continued concern about national-level support
for the Euro and the accompanying coordination of fiscal and wage policy among European Economic and Monetary Union member countries.
In addition, the fiscal policy of foreign
nations, such as Russia and China, may have a severe impact on the worldwide and U.S. financial markets.
There is uncertainty surrounding potential legal, regulatory
and policy changes by new presidential administrations in the United States that may directly affect financial institutions and
the global economy.
As a result of the United States presidential
election, which occurred on November 3, 2020, the Democratic Party controls the executive branch of government. The Democratic
Party also currently controls both the Senate and House of Representatives portions of the legislative branch of government. Changes
in federal policy, including tax policies, and at regulatory agencies that occur over time through policy and personnel changes
following elections, could lead to changes involving the level of oversight and focus on the financial services industry or the
tax rates paid by corporate entities. The nature, timing and economic and political effects of potential changes to the current
legal and regulatory framework affecting financial institutions remain highly uncertain. Uncertainty surrounding future changes
may adversely affect our operating environment and therefore our business, financial condition, results of operations and growth
prospects.
We and our investments are subject to interest rate risk.
Since we may incur leverage to make investments,
our net investment income depends, in part, upon the difference between the rate at which we borrow funds and the rate at which
we invest those funds.
Since the economic downturn that began
in 2007, interest rates have generally remained low and are currently at historic lows due to the U.S. Federal Reserve’s
recent lowering of certain interest rates as part of its efforts to ease the economic effects of the COVID-19 pandemic. Because
longer term inflationary pressure may result from the U.S. government’s fiscal policies and other challenges, because of
the relatively low interest rate environment in which we now operate, interest rates could continue to rise, rather than fall,
in the future. In a rising interest rate environment, any leverage that we incur may bear a higher interest rate than may currently
be available to us. There may not, however, be a corresponding increase in our investment income. Any reduction in the rate of
return on new investments relative to the rate of return on our current investments, and any reduction in the rate of return on
our current investments, could adversely impact our net investment income, reducing our ability to service the interest obligations
on, and to repay the principal of, our indebtedness, as well as our capacity to pay distributions to our stockholders.
The fair value of certain of our investments
may be significantly affected by changes in interest rates. Although senior secured loans are generally floating rate instruments,
our investments in senior secured loans through CLOs are sensitive to interest rate levels and volatility. Although CLOs are generally
structured to mitigate the risk of interest rate mismatch, there may be some difference between the timing of interest rate resets
on the assets and liabilities of a CLO. Such a mismatch in timing could have a negative effect on the amount of funds distributed
to CLO equity investors. In addition, CLOs may not be able to enter into hedge agreements, even if it may otherwise be in the best
interests of the CLO to hedge such interest rate risk. Furthermore, in the event of a significant rising interest rate environment
and/or economic downturn, loan defaults may increase and result in credit losses that may adversely affect our cash flow, fair
value of our assets and operating results. In the event that our interest expense were to increase relative to income, or sufficient
financing became unavailable, our return on investments and cash available for distribution to stockholders or to make other payments
on our securities would be reduced. In addition, future investments in different types of instruments may carry a greater exposure
to interest rate risk.
LIBOR Floor Risk. Because CLOs
generally issue debt on a floating rate basis, an increase in LIBOR will increase the financing costs of CLOs. Many of the senior
secured loans held by these CLOs have LIBOR floors such that, when LIBOR is below the stated LIBOR floor, the stated LIBOR floor
(rather than LIBOR itself) is used to determine the interest payable under the loans. Therefore, if LIBOR increases but stays below
the average LIBOR floor rate of the senior secured loans held by a CLO, there would not be a corresponding increase in the investment
income of such CLOs. The combination of increased financing costs without a corresponding increase in investment income in such
a scenario would result in smaller distributions to equity holders of a CLO.
LIBOR Risk. The CLOs in which we
invest typically obtain financing at a floating rate based on LIBOR. Regulators and law-enforcement agencies from a number of governments,
including entities in the United States, Japan, Canada and the United Kingdom, have conducted or are conducting civil and criminal
investigations into whether the banks that contribute to the British Bankers’ Association, or the “BBA,” in connection
with the calculation of daily LIBOR may have been under-reporting or otherwise manipulating or attempting to manipulate LIBOR.
A number of BBA member banks have entered into settlements with their regulators and law enforcement agencies with respect to alleged
manipulation of LIBOR, and investigations by regulators and governmental authorities in various jurisdictions are ongoing. There
can be no assurance that additional manipulations of LIBOR or other similar interbank offered rates will not be shown to have occurred.
Any such actions or other effects from the ongoing investigations could adversely affect the liquidity and value of our investments.
Additionally, such actions and effects could make it more difficult for CLO issuers to satisfy certain conditions set forth in
a CLO’s offering documents.
On July 27, 2017, the United Kingdom’s
Financial Conduct Authority, which currently regulates LIBOR, announced that it intends to phase out LIBOR by the end of 2021.
It is unclear at this time whether or not LIBOR will cease to exist or if new methods of calculating LIBOR will be established
such that it continues to exist after 2021. If LIBOR ceases to exist, we may need to renegotiate the credit agreements extending
beyond 2021 with our portfolio companies that utilize LIBOR as a factor in determining the interest rate to replace LIBOR with
the new standard that is established. The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates Committee,
a steering committee comprised of large US financial institutions, is considering replacing U.S. dollar LIBOR with a new index
calculated by short-term repurchase agreements, backed by Treasury securities.
On November 30, 2020, Intercontinental
Exchange, Inc. (ICE) announced that the ICE Benchmark Administration Limited (IBA), a wholly-owned subsidiary of ICE and the administrator
of LIBOR, will consider extending the LIBOR transition deadline to June 30, 2023. The announcement was supported by the FCA and
the U.S. Federal Reserve. Despite the announcement, regulators continue to emphasize the importance of LIBOR transition planning.
Recently, the CLOs we have invested in
have included, or have been amended to include, language permitting the CLO investment manager to implement a market replacement
rate (like those proposed by the ARRC of the Federal Reserve Board and the Federal Reserve Bank of New York) upon the occurrence
of certain material disruption events. However, we cannot ensure that all CLOs in which we are invested will have such provisions,
nor can we ensure the CLO investment managers will undertake the suggested amendments when able. Because we believe that CLO managers
and other CLO market participants have been preparing for an eventual transition away from LIBOR, we do not anticipate such a transition
to have a material impact on the liquidity or value of any of our LIBOR-referenced CLO investments. However, because the future
of LIBOR at this time is uncertain and the specific effects of a transition away from LIBOR cannot be determined with certainty
as of the date of this Prospectus, a transition away from LIBOR could:
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adversely impact the pricing, liquidity, value of, return
on and trading for a broad array of financial products, including any LIBOR-linked CLO investments;
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require extensive changes to documentation that governs
or references LIBOR or LIBOR-based products, including, for example, pursuant to time-consuming renegotiations of existing documentation
to modify the terms of outstanding investments;
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result in inquiries or other actions from regulators in
respect of our preparation and readiness for the replacement of LIBOR with one or more alternative reference rates;
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result in disputes, litigation or other actions with CLO
investment managers, regarding the interpretation and enforceability of provisions in our LIBOR-based CLO investments, such as
fallback language or other related provisions, including, in the case of fallbacks to the alternative reference rates, any economic,
legal, operational or other impact resulting from the fundamental differences between LIBOR and the various alternative reference
rates;
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require the transition and/or development of appropriate
systems and analytics to effectively transition our risk management processes from LIBOR-based products to those based on one
or more alternative reference rates, which may prove challenging given the limited history of the proposed alternative reference
rates; and
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cause us to incur additional costs in relation to any of
the above factors.
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In addition, the effect of a phase out
of LIBOR on U.S. senior secured loans, the underlying assets of the CLOs in which we invest, is currently unclear. To the extent
that any replacement rate utilized for senior secured loans differs from that utilized for a CLO that holds those loans, the CLO
would experience an interest rate mismatch between its assets and liabilities which could have an adverse impact on our net investment
income and portfolio returns.
LIBOR Mismatch. Many underlying
corporate borrowers can elect to pay interest based on 1-month LIBOR, 3-month LIBOR and/or other rates in respect of the loans
held by CLOs in which we are invested, in each case plus an applicable spread, whereas CLOs generally pay interest to holders of
the CLO’s debt tranches based on 3-month LIBOR plus a spread. The 3-month LIBOR currently exceeds the 1-month LIBOR by a
historically high amount, which may result in many underlying corporate borrowers electing to pay interest based on 1-month LIBOR.
This mismatch in the rate at which CLOs earn interest and the rate at which they pay interest on their debt tranches negatively
impacts the cash flows on a CLO’s equity tranche, which may in turn adversely affect our cash flows and results of operations.
Unless spreads are adjusted to account for such increases, these negative impacts may worsen as the amount by which the 3-month
LIBOR exceeds the 1-month LIBOR increases.
Low Interest Rate Environment.
As of the date of this prospectus, interest rates in the United States are at historic lows due to the U.S. Federal Reserve’s
recent lowering of certain interest rates as part of its efforts to ease the economic effects of the COVID-19 pandemic. With the
historically low interest rates, there is a risk that interest rates will rise once the COVID-19 pandemic abates.
The senior secured loans underlying the
CLOs in which we invest typically have floating interest rates. A rising interest rate environment may increase loan defaults,
resulting in losses for the CLOs in which we invest. In addition, increasing interest rates may lead to higher prepayment rates,
as corporate borrowers look to avoid escalating interest payments or refinance floating rate loans. Further, a general rise in
interest rates will increase the financing costs of the CLOs. However, since many of the senior secured loans within CLOs have
LIBOR floors, if LIBOR is below the average LIBOR floor, there may not be corresponding increases in investment income resulting
in smaller distributions to equity investors in these CLOs.
Our investments in CLO vehicles are
riskier and less transparent to us and our stockholders than direct investments in the underlying Senior Loans.
We have invested
principally in equity and junior debt tranches issued by CLO vehicles. Generally, there may be less information available to us
regarding the underlying debt investments held by such CLO vehicles than if we had invested directly in the debt of the underlying
companies. As a result, our stockholders may not know the details of the underlying securities of the CLO vehicles in which we
will invest. Our CLO investments will also be subject to the risk of leverage associated with the debt issued by such CLOs and
the repayment priority of senior debt holders in such CLO vehicles. Additionally, CLOs in which we invest are often governed by
a complex series of legal documents and contracts. As a result, the risk of dispute over interpretation or enforceability of the
documentation may be higher relative to other types of investments. For example, some documents governing the loans underlying
our CLO investments may allow for “priming transactions,” in connection with which majority lenders or debtors can
amend loan documents to the detriment of other lenders, amend loan documents in order to move collateral, or amend documents in
order to facilitate capital outflow to other parties/subsidiaries in a capital structure, any of which may adversely affect the
rights and security priority of the CLOs in which we are invested.
The accounting and
tax implications of such investments are complicated. In particular, reported earnings from the equity tranche investments of these
CLO vehicles are recorded under GAAP based upon an effective yield calculation. Current taxable earnings on these investments,
however, will generally not be determinable until after the end of the fiscal year of each individual CLO vehicle that ends within
the Company’s fiscal year, even though the investments are generating cash flow. In general, the tax treatment of these investments
may result in higher distributable earnings in the early years and a capital loss at maturity, while for reporting purposes the
totality of cash flows are reflected in a constant yield to maturity.
Some instruments
issued by CLO vehicles may not be readily marketable and may be subject to restrictions on resale. Securities issued by CLO vehicles
are generally not listed on any U.S. national securities exchange and no active trading market may exist for the securities of
CLO vehicles in which we may invest. Although a secondary market may exist for our investments in CLO vehicles, the market for
our investments in CLO vehicles may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement
periods. As a result, these types of investments may be more difficult to value.
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR
VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Debt Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Debt Investments(3)(6)
|
|
|
|
|
|
|
|
|
|
|
|
|
Allegro CLO II-S, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class E, 8.03% (LIBOR + 7.82%, due October 21, 2028)
|
|
06/24/2020
|
|
$
|
2,000,000
|
|
|
$
|
1,291,955
|
|
|
$
|
1,629,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlueMountain CLO 2018-1 Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class F, 8.42% (LIBOR + 8.21%, due July 30, 2030)
|
|
11/18/2019
|
|
|
8,500,000
|
|
|
|
5,909,204
|
|
|
|
6,672,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cathedral Lake II, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class E1R(11), 7.49% (LIBOR + 7.25%, due July 16, 2029)
|
|
11/19/2019
|
|
|
4,500,000
|
|
|
|
3,828,303
|
|
|
|
4,046,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CIFC Funding 2014, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class FR2, 8.12% (LIBOR + 7.90%, due January 18, 2031)
|
|
11/18/2019
|
|
|
4,000,000
|
|
|
|
3,073,076
|
|
|
|
3,221,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Elevation CLO 2020-11, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class E(11), 7.76% (LIBOR + 7.52%, due April 15, 2033)
|
|
02/21/2020
|
|
|
6,181,818
|
|
|
|
5,832,475
|
|
|
|
6,089,091
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Longfellow Place CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class FRR, 8.74% (LIBOR + 8.50%, due April 15, 2029)
|
|
03/26/2019
|
|
|
833,047
|
|
|
|
708,892
|
|
|
|
312,393
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mountain Hawk II CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class E, 5.02% (LIBOR + 4.80%, due July 22, 2024)
|
|
03/08/2017
|
|
|
9,000,000
|
|
|
|
8,097,833
|
|
|
|
4,489,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OZLM VII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class DR, 6.33% (LIBOR + 6.11%, due July 17, 2029)
|
|
06/18/2020
|
|
|
1,785,151
|
|
|
|
1,188,351
|
|
|
|
1,464,895
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OZLM XIII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class D, 5.66% (LIBOR + 5.45%, due July 30, 2027)
|
|
04/15/2019
|
|
|
9,500,000
|
|
|
|
8,934,676
|
|
|
|
8,455,000
|
|
|
|
|
|
CLO secured notes - Class E, 6.71% (LIBOR + 6.50%, due July 30, 2027)
|
|
09/26/2019
|
|
|
2,000,000
|
|
|
|
1,560,178
|
|
|
|
1,404,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OZLM XXII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class E, 7.61% (LIBOR + 7.39%, due January 17, 2031)
|
|
01/31/2018
|
|
|
2,670,000
|
|
|
|
2,597,255
|
|
|
|
2,078,862
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Saranac CLO VIII Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class E, 8.34% (LIBOR + 8.12%, due February 20, 2033)
|
|
02/05/2020
|
|
|
4,000,000
|
|
|
|
3,738,245
|
|
|
|
3,801,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shackleton 2017-X CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class E, 6.43% (LIBOR + 6.22%, due April 20, 2029)
|
|
11/07/2019
|
|
|
3,000,000
|
|
|
|
2,693,169
|
|
|
|
2,550,300
|
|
|
|
|
|
(Continued on next page)
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR
VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Debt Investments - (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Debt Investments(3)(6) (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Thacher Park CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class E1(11), 5.17% (LIBOR + 4.95%, due October 20, 2026)
|
|
08/18/2020
|
|
$
|
1,080,000
|
|
|
$
|
960,651
|
|
|
$
|
1,035,720
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Venture XV, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes - Class ER2(11), 7.43% (LIBOR + 7.19%, due July 15, 2032)
|
|
07/03/2019
|
|
|
2,250,000
|
|
|
|
2,090,316
|
|
|
|
1,737,900
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Structured Finance - Debt Investments
|
|
|
|
|
|
|
|
$
|
52,504,579
|
|
|
$
|
48,988,661
|
|
|
|
9.70
|
%
|
Total Collateralized Loan Obligation - Debt Investments
|
|
|
|
|
|
|
|
$
|
52,504,579
|
|
|
$
|
48,988,661
|
|
|
|
9.70
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Loan Obligation - Equity Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Equity Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Allegro CLO II-S, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 17.19%, maturity October 21, 2028)
|
|
02/06/2020
|
|
$
|
20,800,000
|
|
|
$
|
8,581,738
|
|
|
$
|
7,280,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ALM XVII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 7.49%, maturity January 15, 2028)
|
|
03/04/2019
|
|
|
6,500,000
|
|
|
|
3,340,697
|
|
|
|
2,325,279
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMMC CLO XI, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 17.49%, maturity April 30, 2031)
|
|
05/15/2018
|
|
|
1,200,000
|
|
|
|
546,882
|
|
|
|
582,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anchorage Capital CLO 1-R, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 29.88%, maturity April 13, 2031)
|
|
08/13/2020
|
|
|
10,000,000
|
|
|
|
6,016,889
|
|
|
|
7,225,087
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anchorage Capital CLO 4-R, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 15.84%, maturity January 28, 2031)
|
|
05/20/2019
|
|
|
6,000,000
|
|
|
|
4,621,155
|
|
|
|
4,200,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anchorage Capital CLO 5-R, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 21.55%, maturity January 15, 2030)
|
|
07/16/2019
|
|
|
26,586,000
|
|
|
|
19,217,150
|
|
|
|
18,148,217
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anchorage Capital CLO 7, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 32.42%, maturity October 15, 2027)
|
|
06/02/2020
|
|
|
12,750,000
|
|
|
|
5,904,552
|
|
|
|
7,873,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anchorage Capital CLO 8, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 9.94%, maturity July 28, 2028)
|
|
03/18/2019
|
|
|
6,000,000
|
|
|
|
4,409,630
|
|
|
|
3,540,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anchorage Capital CLO 13, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 27.77%, maturity April 15, 2032)
|
|
08/24/2020
|
|
|
10,000,000
|
|
|
|
6,525,275
|
|
|
|
7,159,220
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anchorage Capital CLO 17, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(17), (Estimated yield 13.04%, maturity November 19, 2022)
|
|
11/20/2020
|
|
|
10,250,000
|
|
|
|
10,250,000
|
|
|
|
10,250,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Apex Credit CLO 2015-II, Ltd. (fka: JFIN CLO 2015-II Ltd.)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity October 17, 2026)
|
|
11/22/2016
|
|
|
5,750,000
|
|
|
|
4,410,393
|
|
|
|
1,682,990
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Continued on next page)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR
VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Equity Investments - (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Equity Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Apex Credit CLO 2018 Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 18.20%, maturity April 25, 2031)
|
|
03/14/2018
|
|
$
|
11,750,000
|
|
|
$
|
7,458,841
|
|
|
$
|
6,527,256
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Apex Credit CLO 2019 Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 21.28%, maturity April 18, 2032)
|
|
05/13/2019
|
|
|
16,000,000
|
|
|
|
12,430,546
|
|
|
|
10,692,478
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Apex Credit CLO 2019-II Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 28.40%, maturity October 25, 2032)
|
|
10/27/2020
|
|
|
4,500,000
|
|
|
|
2,598,491
|
|
|
|
3,002,148
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Arch Street CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity October 20, 2028)
|
|
03/20/2019
|
|
|
5,250,000
|
|
|
|
2,773,087
|
|
|
|
945,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ares XXVII CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 14.13%, maturity July 28, 2029)
|
|
03/06/2019
|
|
|
17,000,000
|
|
|
|
8,413,212
|
|
|
|
6,191,917
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ares XXXVII CLO Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 27.87%, maturity October 15, 2030)
|
|
02/12/2019
|
|
|
25,000,000
|
|
|
|
16,360,877
|
|
|
|
15,679,442
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ares XL CLO Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 20.15%, maturity January 15, 2029)
|
|
11/30/2017
|
|
|
37,433,000
|
|
|
|
18,960,779
|
|
|
|
16,510,702
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ares LVIII CLO Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(9), (Estimated yield 19.44%, maturity January 15, 2033)
|
|
11/20/2020
|
|
|
24,000,000
|
|
|
|
16,382,111
|
|
|
|
16,023,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Atrium XV
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 17.29%, maturity January 23, 2031)
|
|
09/17/2019
|
|
|
21,000,000
|
|
|
|
14,896,059
|
|
|
|
14,700,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Battalion CLO VI Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(10), (Estimated yield 0.00%, maturity October 17, 2026)
|
|
01/24/2018
|
|
|
5,000,000
|
|
|
|
400,486
|
|
|
|
55,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Battalion CLO VII Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 5.71%, maturity July 17, 2028)
|
|
07/03/2018
|
|
|
26,900,000
|
|
|
|
14,640,323
|
|
|
|
9,684,000
|
|
|
|
|
|
(Continued on next page)
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR
VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Equity Investments - (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Equity Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Benefit Street Partners CLO V Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO preference shares(5)(7)(10), (Estimated yield 0.00%, maturity October 20, 2026)
|
|
07/27/2015
|
|
$
|
11,500,000
|
|
|
$
|
664,781
|
|
|
$
|
276,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bighorn I, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(17), (Estimated yield 11.94%, maturity December 08, 2022)
|
|
12/08/2020
|
|
|
8,000,000
|
|
|
|
8,000,000
|
|
|
|
8,000,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlueMountain Fuji US CLO II Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 26.05%, maturity October 20, 2030)
|
|
02/13/2020
|
|
|
25,928,606
|
|
|
|
14,805,395
|
|
|
|
14,520,019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlueMountain CLO 2015-4 Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 54.89%, maturity April 20, 2030)
|
|
07/22/2020
|
|
|
5,824,700
|
|
|
|
2,444,930
|
|
|
|
3,436,573
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlueMountain CLO 2016-3 Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 33.56%, maturity November 15, 2030)
|
|
08/18/2020
|
|
|
5,547,500
|
|
|
|
2,830,537
|
|
|
|
3,335,434
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlueMountain CLO 2018-1 Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 18.61%, maturity July 30, 2030)
|
|
01/14/2020
|
|
|
13,000,000
|
|
|
|
7,307,979
|
|
|
|
5,980,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlueMountain CLO 2018-3 Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 43.33%, maturity October 25, 2030)
|
|
06/11/2020
|
|
|
19,325,000
|
|
|
|
8,977,197
|
|
|
|
10,822,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
B&M CLO 2014-1 LTD
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity April 16, 2026)
|
|
10/30/2014
|
|
|
22,000,000
|
|
|
|
1,872,796
|
|
|
|
2,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Carlyle Global Market Strategies CLO 2013-2, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 8.41%, maturity January 18, 2029)
|
|
03/19/2013
|
|
|
16,098,067
|
|
|
|
8,923,941
|
|
|
|
5,033,794
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Carlyle Global Market Strategies CLO 2014-5, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 12.02%, maturity July 15, 2031)
|
|
03/27/2019
|
|
|
7,134,333
|
|
|
|
3,878,732
|
|
|
|
2,782,390
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Carlye US CLO 2020-2, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(9)(11), (Estimated yield 20.47%, maturity October 25, 2031)
|
|
10/21/2020
|
|
|
17,225,000
|
|
|
|
11,551,670
|
|
|
|
11,454,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Continued on next page)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR
VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Equity Investments - (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Equity Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Cathedral Lake CLO 2013, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 6.40%, maturity October 15, 2029)
|
|
05/31/2018
|
|
$
|
6,350,000
|
|
|
$
|
2,549,633
|
|
|
$
|
1,460,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cathedral Lake II, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 12.09%, maturity July 16, 2029)
|
|
05/31/2018
|
|
|
14,862,200
|
|
|
|
8,663,444
|
|
|
|
4,310,038
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cedar Funding XI CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 21.37%, maturity May 29, 2032)
|
|
10/27/2020
|
|
|
11,250,000
|
|
|
|
5,775,253
|
|
|
|
6,412,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CIFC Funding 2013-III-R, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 11.12%, maturity April 24, 2031)
|
|
03/19/2019
|
|
|
4,900,000
|
|
|
|
2,386,875
|
|
|
|
2,107,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CIFC Funding 2014-III, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO income notes(5)(7)(11), (Estimated yield 12.78%, maturity October 22, 2031)
|
|
03/06/2018
|
|
|
18,225,000
|
|
|
|
9,792,277
|
|
|
|
7,472,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dryden 33 Senior Loan Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 37.08%, maturity April 15, 2029)
|
|
11/18/2020
|
|
|
9,600,000
|
|
|
|
4,121,984
|
|
|
|
4,872,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
East West Investment Management CLO 2019-1, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 21.16%, maturity January 20, 2033)
|
|
11/20/2019
|
|
|
13,970,000
|
|
|
|
12,272,727
|
|
|
|
12,153,900
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Elevation CLO 2015-4, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 7.58%, maturity April 18, 2027)
|
|
09/05/2019
|
|
|
19,350,000
|
|
|
|
6,987,896
|
|
|
|
5,611,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Elevation CLO 2020-11, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(4)(5)(7)(11), (Estimated yield 24.40%, maturity April 15, 2033)
|
|
02/21/2020
|
|
|
24,000,000
|
|
|
|
21,407,446
|
|
|
|
22,080,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Highbridge Loan Management 3-2014, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 33.29%, maturity July 18, 2029)
|
|
06/19/2020
|
|
|
3,000,000
|
|
|
|
972,217
|
|
|
|
990,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICG US CLO 2016-1, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 12.50%, maturity July 29, 2028)
|
|
02/01/2018
|
|
|
12,250,000
|
|
|
|
7,083,515
|
|
|
|
5,540,920
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Continued on next page)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR
VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Equity Investments - (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Equity Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Jamestown CLO IV, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity July 15, 2026)
|
|
11/16/2017
|
|
$
|
9,500,000
|
|
|
$
|
2,446,315
|
|
|
$
|
285,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
KVK CLO 2013-1, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 45.30%, maturity January 14, 2028)
|
|
09/22/2020
|
|
|
1,450,000
|
|
|
|
277,807
|
|
|
|
348,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Longfellow Place CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity April 15, 2029)
|
|
01/11/2018
|
|
|
19,640,000
|
|
|
|
7,192,061
|
|
|
|
1,178,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Madison Park Funding XIII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 24.66%, maturity April 19, 2030)
|
|
09/17/2019
|
|
|
20,000,000
|
|
|
|
10,161,015
|
|
|
|
10,200,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Madison Park Funding XV, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 31.50%, maturity January 27, 2026)
|
|
03/07/2019
|
|
|
34,300,000
|
|
|
|
11,624,193
|
|
|
|
12,348,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Madison Park Funding XXXVIII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11)(17), (Estimated yield 13.12%, maturity July 09, 2022)
|
|
10/05/2020
|
|
|
15,000,000
|
|
|
|
15,000,000
|
|
|
|
15,000,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Madison Park Funding XX, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 28.29%, maturity July 27, 2030)
|
|
07/30/2020
|
|
|
3,500,000
|
|
|
|
1,936,531
|
|
|
|
2,380,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Madison Park Funding XXIV, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 11.68%, maturity October 20, 2029)
|
|
03/28/2019
|
|
|
3,568,750
|
|
|
|
2,374,838
|
|
|
|
1,891,438
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Madison Park Funding XXIX, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 16.82%, maturity October 18, 2047)
|
|
09/28/2018
|
|
|
3,930,000
|
|
|
|
7,465,857
|
|
|
|
3,112,560
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Madison Park Funding XXX, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 16.92%, maturity April 15, 2047)
|
|
02/23/2018
|
|
|
17,550,000
|
|
|
|
13,775,261
|
|
|
|
11,237,176
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Madison Park Funding XXXII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 20.43%, maturity January 22, 2048)
|
|
10/08/2019
|
|
|
12,250,000
|
|
|
|
8,761,809
|
|
|
|
8,575,000
|
|
|
|
|
|
(Continued on next page)
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR
VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Equity Investments - (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Equity Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Madison Park Fund XLI, Ltd. (fka: Atrium XII CLO)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 18.90%, maturity April 22, 2027)
|
|
10/08/2015
|
|
$
|
34,762,500
|
|
|
$
|
18,482,791
|
|
|
$
|
16,686,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Marble Point CLO XI Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO income notes(5)(7), (Estimated yield 3.05%, maturity December 18, 2047)
|
|
05/07/2019
|
|
|
8,500,000
|
|
|
|
5,273,211
|
|
|
|
3,995,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Midocean Credit CLO III
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO income notes(5)(7), (Estimated yield 0.00%, maturity April 21, 2031)
|
|
04/24/2019
|
|
|
16,650,000
|
|
|
|
7,356,303
|
|
|
|
1,665,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Midocean Credit CLO VI
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO income notes(5)(7), (Estimated yield 0.00%, maturity January 20, 2029)
|
|
11/08/2016
|
|
|
29,700,000
|
|
|
|
23,598,150
|
|
|
|
13,365,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mountain Hawk II CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO secured notes(5)(7), (Estimated yield 0.00%, maturity July 20, 2024)
|
|
11/15/2013
|
|
|
25,670,000
|
|
|
|
3,290,979
|
|
|
|
2,567
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mountain View CLO 2014-1 Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity October 15, 2026)
|
|
08/08/2018
|
|
|
15,000,000
|
|
|
|
2,506,803
|
|
|
|
1,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mountain View CLO 2017-2 Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 40.16%, maturity January 16, 2031)
|
|
07/27/2020
|
|
|
5,000,000
|
|
|
|
2,311,882
|
|
|
|
2,750,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nassau 2017-II Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity January 15, 2030)
|
|
09/17/2019
|
|
|
24,400,000
|
|
|
|
14,803,260
|
|
|
|
8,052,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NorthWoods Capital XIV-B, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 30.53%, maturity November 13, 2031)
|
|
12/18/2019
|
|
|
4,250,000
|
|
|
|
2,588,702
|
|
|
|
2,550,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ocean Trails CLO VI
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity July 15, 2028)
|
|
10/30/2018
|
|
|
4,000,000
|
|
|
|
3,150,808
|
|
|
|
1,782,487
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ocean Trails CLO VII
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 36.28%, maturity April 17, 2030)
|
|
10/21/2020
|
|
|
5,000,000
|
|
|
|
1,966,492
|
|
|
|
2,450,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Octagon Investment Partners XXII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 22.81%, maturity November 25, 2025)
|
|
06/07/2018
|
|
|
13,000,000
|
|
|
|
6,835,247
|
|
|
|
6,500,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Octagon Investment Partners 29, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 23.85%, maturity January 24, 2033)
|
|
08/24/2020
|
|
|
7,300,000
|
|
|
|
4,999,379
|
|
|
|
5,621,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Continued on next page)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR
VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Equity Investments - (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Equity Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Octagon Investment Partners 40, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(4)(5)(7), (Estimated yield 15.59%, maturity April 20, 2031)
|
|
02/14/2019
|
|
$
|
36,000,000
|
|
|
$
|
30,801,887
|
|
|
|
28,800,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OFSI Fund VII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(10), (Estimated yield 0.00%, maturity October 18, 2026)
|
|
08/05/2014
|
|
|
28,840,000
|
|
|
|
14,246,789
|
|
|
|
2,826,320
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OFSI BSL VIII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO preferred shares(5)(7), (Estimated yield 1.11%, maturity August 16, 2029)
|
|
04/26/2019
|
|
|
8,500,000
|
|
|
|
5,703,969
|
|
|
|
3,400,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OFSI BSL IX, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO preferred shares(5)(7)(11), (Estimated yield 11.29%, maturity July 31, 2118)
|
|
06/21/2018
|
|
|
11,480,000
|
|
|
|
9,676,160
|
|
|
|
6,888,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OHA Loan Funding 2012-1, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(10), (Estimated yield 0.00%, maturity January 23, 2025)
|
|
04/03/2019
|
|
|
7,400,000
|
|
|
|
24,417
|
|
|
|
495,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OZLM Funding III, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity January 22, 2029)
|
|
08/24/2018
|
|
|
12,000,000
|
|
|
|
7,279,331
|
|
|
|
3,480,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OZLM VII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 27.78%, maturity July 17, 2029)
|
|
01/29/2020
|
|
|
21,891,673
|
|
|
|
5,257,117
|
|
|
|
1,751,334
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OZLM VIII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity October 17, 2029)
|
|
01/18/2019
|
|
|
10,000,000
|
|
|
|
3,470,367
|
|
|
|
1,700,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OZLM XIII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity July 30, 2027)
|
|
03/19/2018
|
|
|
23,000,000
|
|
|
|
10,685,004
|
|
|
|
3,220,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OZLM XIV, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 8.20%, maturity January 15, 2029)
|
|
12/07/2015
|
|
|
36,920,000
|
|
|
|
20,641,836
|
|
|
|
12,455,414
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OZLM XVIII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 69.65%, maturity April 15, 2031)
|
|
06/10/2020
|
|
|
3,500,000
|
|
|
|
1,352,513
|
|
|
|
1,834,096
|
|
|
|
|
|
(Continued on next page)
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR
VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Equity Investments - (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Equity Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Park Avenue Institutional Advisers CLO Ltd 2018-1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 12.77%, maturity October 20, 2031)
|
|
10/11/2019
|
|
$
|
6,000,000
|
|
|
$
|
4,521,865
|
|
|
$
|
3,900,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PPM CLO 2 Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 19.39%, maturity April 16, 2032)
|
|
12/22/2020
|
|
|
12,000,000
|
|
|
|
6,674,274
|
|
|
|
7,440,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rockford Tower CLO 2019-2, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 22.66%, maturity August 20, 2032)
|
|
09/11/2020
|
|
|
5,000,000
|
|
|
|
3,340,725
|
|
|
|
3,650,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Seneca Park CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity July 17, 2026)
|
|
04/23/2019
|
|
|
6,000,000
|
|
|
|
770,666
|
|
|
|
180,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shackleton 2013-IV-R CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 26.87%, maturity April 13, 2031)
|
|
08/14/2018
|
|
|
24,500,000
|
|
|
|
11,308,110
|
|
|
|
10,706,619
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shackleton 2014-V-R CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 26.94%, maturity May 07, 2031)
|
|
09/17/2019
|
|
|
22,000,000
|
|
|
|
12,146,743
|
|
|
|
12,650,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sound Point CLO II,
Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 28.18%, maturity January 26, 2031)
|
|
06/16/2020
|
|
|
2,750,000
|
|
|
|
812,679
|
|
|
|
935,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sound Point CLO VI-R, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 8.64%, maturity October 20, 2031)
|
|
05/01/2018
|
|
|
24,656,983
|
|
|
|
9,189,371
|
|
|
|
5,917,676
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sound Point CLO XXII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 13.89%, maturity January 20, 2032)
|
|
09/19/2019
|
|
|
4,880,000
|
|
|
|
3,318,026
|
|
|
|
2,440,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telos CLO 2013-3, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity July 17, 2026)
|
|
01/25/2013
|
|
|
14,332,210
|
|
|
|
6,296,614
|
|
|
|
143,322
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telos CLO 2013-4, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity January 17, 2030)
|
|
07/11/2013
|
|
|
14,350,000
|
|
|
|
6,773,066
|
|
|
|
2,522,203
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telos CLO 2014-6, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity January 17, 2027)
|
|
11/08/2017
|
|
|
21,400,000
|
|
|
|
9,166,640
|
|
|
|
214,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Continued on next page)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
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)(11), (Estimated yield 2.76%, maturity October 20, 2026)
|
|
04/23/2019
|
|
$
|
4,500,000
|
|
|
$
|
1,199,621
|
|
|
$
|
1,035,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
THL Credit Wind River 2015-1 CLO Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 15.40%, maturity October 20, 2030)
|
|
06/12/2019
|
|
|
1,300,000
|
|
|
|
790,664
|
|
|
|
760,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
THL Credit Wind River 2017-1 CLO Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity April 18, 2029)
|
|
02/02/2017
|
|
|
12,000,000
|
|
|
|
8,477,908
|
|
|
|
6,000,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
THL Credit Wind River 2017-4 CLO Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 18.68%, maturity November 20, 2030)
|
|
10/30/2018
|
|
|
7,000,000
|
|
|
|
5,835,382
|
|
|
|
5,320,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tralee CLO II, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity July 20, 2029)
|
|
06/06/2018
|
|
|
6,300,000
|
|
|
|
2,151,851
|
|
|
|
378,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tralee CLO IV, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity January 20, 2030)
|
|
12/21/2017
|
|
|
13,270,000
|
|
|
|
10,075,345
|
|
|
|
4,909,900
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trinitas CLO VII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 24.43%, maturity January 25, 2031)
|
|
09/18/2019
|
|
|
3,000,000
|
|
|
|
1,618,759
|
|
|
|
1,470,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trinitas CLO VIII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 22.79%, maturity July 20, 2117)
|
|
03/12/2019
|
|
|
8,050,000
|
|
|
|
5,595,241
|
|
|
|
4,991,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Venture XV CLO, Limited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity July 15, 2032)
|
|
01/31/2018
|
|
|
9,450,126
|
|
|
|
5,543,172
|
|
|
|
1,701,023
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Venture XVII CLO, Limited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity April 15, 2027)
|
|
01/09/2017
|
|
|
17,000,000
|
|
|
|
9,639,081
|
|
|
|
1,558,146
|
|
|
|
|
|
(Continued on next page)
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR
VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Equity Investments - (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Equity Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Venture XX CLO, Limited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 1.28%, maturity April 15, 2027)
|
|
07/27/2018
|
|
$
|
7,200,000
|
|
|
$
|
2,486,811
|
|
|
$
|
360,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Venture 40 CLO, Limited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(9)(11), (Estimated yield 0.00%, maturity November 24, 2031)
|
|
10/16/2020
|
|
|
17,580,000
|
|
|
|
14,273,922
|
|
|
|
15,822,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Venture XXI CLO, Limited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity July 15, 2027)
|
|
08/16/2017
|
|
|
30,000,000
|
|
|
|
16,329,149
|
|
|
|
2,400,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Venture XXV CLO, Limited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 53.41%, maturity April 20, 2029)
|
|
09/25/2020
|
|
|
12,500,000
|
|
|
|
3,393,467
|
|
|
|
5,000,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Venture 32 CLO, Limited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 10.44%, maturity July 18, 2031)
|
|
02/20/2019
|
|
|
3,500,000
|
|
|
|
2,929,452
|
|
|
|
2,100,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Venture 37 CLO, Limited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 13.02%, maturity July 15, 2032)
|
|
05/28/2019
|
|
|
7,000,000
|
|
|
|
5,773,095
|
|
|
|
4,550,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Vibrant CLO III, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 29.48%, maturity October 20, 2031)
|
|
02/05/2019
|
|
|
26,250,000
|
|
|
|
10,203,404
|
|
|
|
10,500,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Vibrant CLO VIII, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 27.94%, maturity January 20, 2031)
|
|
11/30/2020
|
|
|
5,000,000
|
|
|
|
2,618,873
|
|
|
|
2,575,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wellfleet 2016-2 CLO, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity October 20, 2028)
|
|
09/28/2016
|
|
|
10,000,000
|
|
|
|
7,600,767
|
|
|
|
4,300,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wellfleet CLO X, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 23.99%, maturity April 20, 2032)
|
|
12/03/2020
|
|
|
7,310,000
|
|
|
|
4,897,929
|
|
|
|
4,824,600
|
|
|
|
|
|
West CLO 2014-1, Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity July 18, 2026)
|
|
11/16/2018
|
|
$
|
20,250,000
|
|
|
$
|
8,167,048
|
|
|
$
|
4,252,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Zais CLO 8, Limited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7)(11), (Estimated yield 0.00%, maturity April 15, 2029)
|
|
02/23/2018
|
|
|
3,000,000
|
|
|
|
2,117,862
|
|
|
|
660,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Zais CLO 9, Limited
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO subordinated notes(5)(7), (Estimated yield 0.00%, maturity July 20, 2031)
|
|
06/19/2018
|
|
|
10,700,000
|
|
|
|
8,788,288
|
|
|
|
3,531,000
|
|
|
|
|
|
(Continued on next page)
OXFORD LANE CAPITAL CORP.
SCHEDULE OF INVESTMENTS - (continued)
DECEMBER 31, 2020
(Unaudited)
COMPANY/INVESTMENT(1)(13)(14)
|
|
ACQUISITION DATE(15)
|
|
PRINCIPAL
AMOUNT
|
|
|
COST
|
|
|
FAIR VALUE(2)
|
|
|
% of
Net Assets
|
|
Collateralized Loan Obligation - Equity Investments - (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Structured Finance - Equity Investments (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Other CLO equity related investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO other(8)
|
|
Various(16)
|
|
|
|
|
|
|
896,476
|
|
|
|
1,997,078
|
|
|
|
|
|
Total Structured Finance - Equity Investments
|
|
|
|
|
|
|
|
$
|
845,451,828
|
|
|
$
|
649,452,763
|
|
|
|
128.56
|
%
|
Total Collateralized Loan Obligation - Equity Investments
|
|
|
|
|
|
|
|
$
|
845,451,828
|
|
|
$
|
649,452,763
|
|
|
|
128.56
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments
|
|
|
|
|
|
|
|
$
|
897,956,407
|
|
|
$
|
698,441,424
|
|
|
|
138.26
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash Equivalents
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First American Government Obligations Fund(12)
|
|
|
|
|
|
|
|
$
|
22,198,947
|
|
|
$
|
22,198,947
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Cash Equivalents
|
|
|
|
|
|
|
|
$
|
22,198,947
|
|
|
$
|
22,198,947
|
|
|
|
4.39
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments and Cash Equivalents
|
|
|
|
|
|
|
|
$
|
920,155,354
|
|
|
$
|
720,640,371
|
|
|
|
142.65
|
%
|
|
(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 December 31, 2020.
|
|
(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. Please refer to "Note 2. Summary of Significant Accounting Policies - Investment Income"
in Oxford Lane Capital Corp.’s (“OXLC”) most recently filed Form N-CSR for the six months ended September 30,
2020.
|
|
(10)
|
The CLO equity investment
was optionally redeemed. Please refer to "Note 2. Summary of Significant Accounting Policies - Securities Transactions"
in OXLC's most recently filed Form N-CSR for the six months ended September 30, 2020.
|
|
(11)
|
The CLO equity is co-invested
with the Fund’s affiliates. Please refer to “Note 4. Related Party Transactions” in OXLC's most recently filed
Form N-CSR for the six months ended September 30, 2020.
|
|
(12)
|
Represents cash equivalents
held in a money market account as of December 31, 2020.
|
|
(13)
|
The fair value of the investment
was determined using significant unobservable inputs. Please refer to "Note 3. Fair Value" in OXLC's most recently filed
Form N-CSR for the six months ended September 30, 2020.
|
|
(14)
|
The Fund generally acquires
its investments in private transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities
Act”). Unless otherwise noted, all of the Fund's investments are deemed to be “restricted securities” under
the Securities Act.
|
|
(15)
|
Acquisition date represents
the initial date of purchase.
|
|
(16)
|
Acquisition date includes
multiple investments purchased from August 2014 through December 2020.
|
|
(17)
|
The subordinated shares represent
an investment in a warehouse facility, which is a financing structure intended to aggregate loans that may be used to form the
basis of a CLO vehicle.
|
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