497AD 1 s121098_497ad.htm 497AD

  Filed pursuant to Rule 497(a)
  File No. 333-225462
  Rule 482 AD

 

 

OXLC  Oxford Lane Capital Corp. Investor Presentation Quarter Ended September 30, 2019

 

 

 

 

 

Disclaimer This presentation is neither an offer to sell, nor a solicitation of an offer to purchase, an interest in Oxford Lane Capital Corp. (“Oxford Lane”, “OXLC” or the “Fund”).  This presentation and the summaries contained herein, do not purport to be complete and no obligation to update or otherwise revise such information is being assumed. Nothing shall be relied upon as a promise or representation as to the future performance of the Fund. Such information is qualified in its entirety by reference to the more detailed discussions contained elsewhere in the Fund’s public filings with the Securities and Exchange Commission.  There is no guarantee that any of the estimates, targets or projections illustrated in this will be achieved. Any references herein to any of the Fund’s past or present investments or its past or present performance, have been provided for illustrative purposes only. It should not be assumed that these investments were or will be profitable or that any future investments by the Fund will be profitable or will equal the performance of these investments.  The information contained herein has been derived from financial statements and other documents provided by the portfolio companies and/or the third party manager of such portfolio companies unless otherwise stated. Certain information discussed in this presentation (including information relating to portfolio companies) was derived from third party sources and has not been independently verified and accordingly, OXLC makes no representation or warranty with respect to this information.  Past performance is not indicative of future results. In addition, there can be no assurance that unrealized gains/losses will be realized at the expected multiples shown as actual realized returns will depend on, among other factors, future operating results of each of the Fund’s current portfolio companies, the value of the assets and economic conditions at the time of disposition, any related transaction costs, and the timing and manner of any realization events, all of which may differ from the assumptions on which the Fund’s expected returns are based. In many instances, the Fund will not determine the timing or manner of any realization events with respect to its investments.  This presentation contains non-GAAP financial information. OXLC’s management uses this information in its internal analysis of results and believes that this information may be informative to investors in gauging the quality of OXLC’s financial performance, identifying trends in its results and providing meaningful period-to-period comparisons. See “Appendix – Reconciliation of Core Net Investment Income” in this presentation for more information.  Statements included herein may constitute “forward-looking statements,” which relate to future events or our future performance or financial condition. These statements are not guarantees of future performance, condition or results and involve a number of risks and uncertainties. Actual results may differ materially from those in the forward-looking statements as a result of a number of factors, including those described from time to time in our filings with the Securities and Exchange Commission. Oxford Lane undertakes no duty to update any forward-looking statements made herein, except as may be required by law. 2

 

 

 

 

 

Financial Highlights (FYE March 31, $ per share) 1 Q2-20 Q1-20 Q4-19 Q3-19 Q2-19 GAAP net investment income $ 0.31 $ 0.35 $ 0.34 $ 0.33 $ 0.35 GAAP realized (losses) gains $ (0.04) $ (0.01) $ (0.13) $ 0.01 $ 0.03 GAAP unrealized (depreciation) appreciation $ (1.70) $ (0.56) $ 0.75 $ (2.37) $ (0.12) Core net investment income2 $ 0.45 $ 0.43 $ 0.53 $ 0.47 $ 0.46 Distributions paid3 $ 0.405 $ 0.405 $ 0.405 $ 0.405 $ 0.405 Net asset value $ 6.63 $ 8.01 $ 8.32 $ 7.56 $ 9.93 (FYE March 31, $ in millions) Q2-20 Q1-20 Q4-19 Q3-19 Q2-19 Total fair value of investments $ 590.6 $ 592.7 $ 537.4 $ 467.2 $ 560.0 Number of portfolio investments4 119 115 108 95 103 Note: Certain figures may not tie out to financial statements due to rounding. 1. Per share amounts based on weighted average shares outstanding for the respective quarter presented. 2. Refer to Appendix for reconciliation of GAAP net investment income to core net investment income. 3. The Fund may also choose to distribute, annually, net realized capital gains that are generated on a tax basis. 4. Includes CLO debt, CLO equity, subordinated fee notes and other CLO equity related investments. 3

 

 

 

 

 

Summary Portfolio Highlights Portfolio Activity (FYE March 31, $ in millions) Q2-20 Q1-20 Q4-19 Q3-19 Q2-19 New investments $ 108.1 $ 138.5 $ 145.4 $ 74.1 $ 157.6 Sales / Repayments1 8.6 51.1 89.3 72.0 91.0 Net investment activity $ 99.5 $ 87.4 $ 56.1 $ 2.1 $ 66.5 Investment Portfolio by Asset Type2 Q2-20 Q1-20 Q4-19 Q3-19 Q2-19 CLO equity3 96% 96% 98% 98% 98% CLO debt 4% 4% 2% 2% 2% Note: Certain figures may not tie out to financial statements due to rounding. 1. Includes warehouse equity repayments. 2. At fair value as of quarter end. 3. Includes warehouse equity, subordinated fee notes and other CLO equity related investments. 4

 

 

 

 

 

CLO Equity & Warehouse Investment Highlights (FYE March 31, $ in millions) Q2-20 Q1-20 Q4-19 Q3-19 Q2-19 CLO Equity Cash income producing CLO equity at original cost1 $ 685.3 $ 620.2 $ 549.5 $ 500.5 $ 472.1 Non-cash income producing CLO equity at original cost1,2,3 123.7 102.3 104.5 74.9 97.4 Total CLO Equity1 $ 809.0 $ 722.5 $ 653.9 $ 575.4 $ 569.5 Warehouse Non-cash income producing warehouse investments at original cost1,2 $ - $ - $ - $ 21.9 $ 24.3 Total warehouse investments1 $ - $ - $ - $ 21.9 $ 24.3 ($ in millions) CLO Equity Breakdown of Non-cash Income Producing CLO Equity as of September 30, 20191,2 CLO Equity expected to make initial distribution by 12-31-19 at original cost $ 123.7 CLO Equity expected to make initial distribution by 3-31-20 at original cost - CLO Equity expected to make initial distribution by 6-30-20 at original cost - Total non-cash income producing CLO equity at original cost $ 123.7 Note: Certain figures may not tie out to financial statements due to rounding. 1. This number represents total dollar value (at original cost) of those assets held at quarter end. Excludes called deals. 2. Represents the amount of CLO equity investments (purchased in either the primary or secondary market) and warehouse financing which were not scheduled to make a distribution to OXLC during the quarter. For newly issued CLOs, it can generally take up to three quarters from initial issuance to receive the inaugural distribution payment from a CLO equity investment. 3. Does not include CLO positions which had either partial of full interest diversion. For the quarter ending September 30, 2019, OXLC’s CLO portfolio had interest diversion of approximately $355,000. 5

 

 

 

 

 

CLO Portfolio Summary As of September 30, 2019  Junior Tranche Interest Diversion Weighted Weighted Average Non-Call Reinvestment AAA Spread Weighted Average Diversity CLO Equity Positions CLO Vintage Year1 Tranche Type Overcollateralization Overcollateralization Average Rating Portfolio Life Period End* Period End* (L+)* Portfolio Spread* Score* Cushion* Cushion* Factor* (Years)* CLO Equity Position #1 2013 CLO Equity Callable July-17 0.82% -0.84% NR 3.55% 3287 35 3.55 CLO Equity Position #2 2014 CLO Equity Callable April-18 0.73% 1.86% NR 3.47% 3075 47 2.89 CLO Equity Position #3 2014 CLO Equity Callable July-18 0.69% 2.30% NR 3.30% 3100 55 3.78 CLO Equity Position #4 2014 CLO Equity Callable July-18 1.12% 1.61% NR 3.27% 3106 57 3.60 CLO Equity Position #5 2014 CLO Equity Callable July-18 0.92% 5.96% NR 3.61% 3407 38 3.58 CLO Equity Position #6 2014 CLO Equity Callable October-18 0.80% 0.06% NR 3.09% 2736 57 3.48 CLO Equity Position #7 2014 CLO Equity Callable October-18 1.22% 0.02% NR 3.34% 3118 53 3.36 CLO Equity Position #8 2014 CLO Equity Callable October-18 0.90% 3.85% NR 3.62% 3084 54 3.43 CLO Equity Position #9 2014 CLO Equity Callable October-18 1.16% 2.95% NR 3.31% 3142 61 3.77 CLO Equity Position #10 2014 CLO Equity Callable January-19 1.27% 0.21% NR 4.11% 3110 56 4.07 CLO Equity Position #11 2014 CLO Equity Callable January-19 1.19% 4.13% NR 3.52% 3069 65 4.07 CLO Equity Position #12 2015 CLO Equity Callable April-19 0.82% 3.38% NR 3.75% 2885 110 4.55 CLO Equity Position #13 2015 CLO Equity Callable April-19 0.99% 4.87% NR 3.37% 2754 67 3.88 CLO Equity Position #14 2015 CLO Equity Callable April-19 0.92% 0.01% NR 3.58% 2853 70 3.91 CLO Equity Position #15 2013 CLO Equity Callable June-19 0.85% 2.02% NR 3.37% 3061 73 4.25 CLO Equity Position #16 2015 CLO Equity Callable July-19 0.88% 2.89% NR 3.74% 2833 112 4.58 CLO Equity Position #17 2013 CLO Equity Callable July-19 1.30% 0.22% NR 3.98% 2947 56 4.26 CLO Equity Position #18 2015 CLO Equity Callable July-19 0.83% 1.98% NR 3.22% 2829 77 4.04 CLO Equity Position #19 2015 CLO Equity Callable October-19 0.91% 2.57% 1.57% 3.94% 2962 87 4.65 CLO Equity Position #20 2015 CLO Equity Callable January-20 0.83% 4.22% 3.73% 3.45% 2806 78 4.77 CLO Equity Position #21 2014 CLO Equity Callable April-20 0.88% 3.63% 2.63% 3.77% 2821 113 4.75 CLO Equity Position #22 2016 CLO Equity Callable July-20 0.94% 4.21% 3.67% 3.53% 2930 60 4.69 CLO Equity Position #23 2016 CLO Equity January-20 July-20 1.15% 5.03% 4.03% 3.57% 2935 79 4.55 CLO Equity Position #24 2014 CLO Equity Callable July-20 1.04% 5.65% 4.64% 3.65% 2847 65 4.79 CLO Equity Position #25 2016 CLO Equity Callable July-20 1.00% 4.30% 3.30% 3.85% 3322 63 5.13 CLO Equity Position #26 2016 CLO Equity Callable July-20 1.14% 4.49% 3.99% 3.79% 2876 73 4.97 CLO Equity Position #27 2015 CLO Equity Callable July-20 1.08% 3.43% 1.51% 3.45% 2780 80 4.67 CLO Equity Position #28 2016 CLO Equity October-19 October-20 1.17% 4.33% 3.33% 4.01% 3121 76 4.72 CLO Equity Position #29 2016 CLO Equity October-19 October-20 1.14% 3.94% 3.44% 3.73% 2947 82 4.74 CLO Equity Position #30 2018 CLO Equity Callable January-21 0.99% 4.23% 3.23% 3.90% NA NA 5.09 CLO Equity Position #31 2015 CLO Equity Callable January-21 1.16% 4.42% 2.92% 3.44% 2752 80 4.80 CLO Equity Position #32 2013 CLO Equity Callable January-21 0.89% 4.25% 3.75% 3.55% 2948 85 4.83 CLO Equity Position #33 2013 CLO Equity Callable January-21 1.55% 3.14% 2.14% 3.42% 2791 81 4.82 CLO Equity Position #34 2018 CLO Equity February-20 February-21 1.70% 2.16% 0.79% 5.89% 4478 55 3.90 CLO Equity Position #35 2015 CLO Equity Callable April-21 1.25% 4.14% 2.64% 3.54% 2837 74 4.94 CLO Equity Position #36 2013 CLO Equity Callable April-21 1.34% 2.92% 2.42% 3.48% 2910 72 4.78 CLO Equity Position #37 2018 CLO Equity Callable April-21 0.75% 4.91% 3.90% 3.48% 2974 77 4.91 CLO Equity Position #38 2018 CLO Equity Callable April-21 0.95% 3.58% 2.58% 4.14% 2938 91 5.02 CLO Equity Position #39 2017 CLO Equity Callable April-21 1.14% 5.04% 4.04% 3.43% 2827 79 4.88 6 CLO Equity Position #40 2014 CLO Equity Callable April-21 0.95% 4.09% 3.10% 3.52% 2888 77 4.62 CLO Equity Position #41 2016 CLO Equity April-20 April-21 1.25% 3.39% 2.39% 3.55% 2825 68 5.07 CLO Equity Position #42 2015 CLO Equity Callable July-21 1.31% 3.61% 2.61% 3.37% NA NA 4.72 CLO Equity Position #43 2013 CLO Equity Callable July-21 1.25% 2.47% 1.97% 3.43% 2855 88 4.79 CLO Equity Position #44 2013 CLO Equity Callable July-21 1.32% 1.61% 1.11% 3.75% 2879 82 4.81 CLO Equity Position #45 2017 CLO Equity Callable August-21 1.32% 4.94% 3.94% 3.89% 2909 74 4.87 CLO Equity Position #46 2013 CLO Equity Callable August-21 1.25% 1.97% 0.97% 3.81% 2793 109 4.79 CLO Equity Position #47 2016 CLO Equity April-20 October-21 1.11% 4.12% 3.14% 3.40% 2999 81 4.83 CLO Equity Position #48 2014 CLO Equity October-20 October-21 1.17% 3.21% 2.22% 3.45% 2830 79 4.71 CLO Equity Position #49 2016 CLO Equity Callable October-21 1.14% 4.01% 3.51% 3.52% 2809 62 4.79 CLO Equity Position #50 2013 CLO Equity October-19 October-21 1.53% 2.56% 1.06% 4.68% 3831 58 4.04 CLO Equity Position #51 2016 CLO Equity July-20 October-21 1.16% 4.00% 3.10% 3.52% 3024 77 4.78 CLO Equity Position #52 2017 CLO Equity Callable October-21 1.33% 3.50% 2.50% 3.45% 2880 78 4.89 CLO Equity Position #53 2016 CLO Equity Callable October-21 1.48% 4.23% 3.23% 3.47% 2870 74 4.71 CLO Equity Position #54 2016 CLO Equity Callable January-22 1.42% 4.78% 3.78% 3.40% 2851 79 4.75 CLO Equity Position #55 2017 CLO Equity January-20 January-22 1.25% 5.65% 4.65% 4.04% 2882 86 5.00 1. Year in which the deal was issued. *Source: As reported by Intex.

 

 

 

 

 

CLO Portfolio Summary (Continued) Junior Tranche Interest Diversion Weighted Weighted Average Non-Call Reinvestment AAA Spread Weighted Average Diversity CLO Equity Positions CLO Vintage Year1 Tranche Type Overcollateralization Overcollateralization Average Rating Portfolio Life Period End* Period End* (L+)* Portfolio Spread* Score* Cushion* Cushion* Factor* (Years)* CLO Equity Position #56 2013 CLO Equity January-20 January-22 1.23% 1.74% 0.64% 4.14% 2959 63 4.25 CLO Equity Position #57 2018 CLO Equity January-20 January-22 1.19% 3.64% 2.65% 3.75% 2896 84 4.99 CLO Equity Position #58 2018 CLO Equity October-19 January-22 1.05% 4.11% 3.11% 3.84% 3178 63 5.12 CLO Equity Position #59 2017 CLO Equity Callable April-22 1.18% 4.20% 3.74% 3.58% 2967 74 4.87 CLO Equity Position #60 2017 CLO Equity Callable May-22 1.25% 4.14% 3.34% 3.35% 2870 77 4.74 CLO Equity Position #61 2017 CLO Equity Callable July-22 1.21% 5.07% 4.07% 3.32% 2841 98 4.97 CLO Equity Position #62 2017 CLO Equity January-20 July-22 1.21% 4.35% 3.45% 3.63% 2939 81 5.70 CLO Equity Position #63 2013 CLO Equity Callable July-22 1.21% 3.35% 2.35% 3.38% 2982 84 4.85 CLO Equity Position #64 2015 CLO Equity October-19 October-22 1.17% 3.88% 3.27% 3.38% 3007 81 4.86 CLO Equity Position #65 2014 CLO Equity October-19 October-22 1.20% 3.48% 2.48% 3.35% 2954 67 4.72 CLO Equity Position #66 2017 CLO Equity October-19 October-22 1.20% 4.77% 3.67% 3.37% 2882 96 5.00 CLO Equity Position #67 2013 CLO Equity November-19 November-22 1.19% 3.68% 2.62% 3.35% 2749 92 4.54 CLO Equity Position #68 2017 CLO Equity November-19 November-22 1.15% 5.66% 4.66% 3.46% 2887 80 5.04 CLO Equity Position #69 2018 CLO Equity January-20 January-23 1.21% 4.32% 3.83% 3.61% 2644 79 5.02 CLO Equity Position #70 2014 CLO Equity January-20 January-23 1.10% 4.34% 3.84% 3.46% 2920 87 4.76 CLO Equity Position #71 2015 CLO Equity January-20 January-23 1.07% 4.93% 4.18% 3.43% 2919 64 4.93 CLO Equity Position #72 2017 CLO Equity January-20 January-23 1.18% 5.02% 4.02% 3.54% 2917 71 4.71 CLO Equity Position #73 2017 CLO Equity January-20 January-23 1.19% 4.19% 3.69% 3.80% 2733 76 5.34 CLO Equity Position #74 2014 CLO Equity January-20 January-23 1.06% 3.60% 2.61% 3.59% 2792 83 5.11 CLO Equity Position #75 2018 CLO Equity April-20 April-23 1.00% 2.85% 2.35% 3.44% 2922 76 4.88 CLO Equity Position #76 2018 CLO Equity July-20 April-23 1.03% 4.68% 3.67% 3.70% 2758 84 4.98 CLO Equity Position #77 2014 CLO Equity April-20 April-23 1.10% 2.03% 1.03% 3.47% 2875 72 4.99 CLO Equity Position #78 2018 CLO Equity April-20 April-23 0.98% 4.87% 4.37% 3.50% 2987 85 4.76 CLO Equity Position #79 2018 CLO Equity April-20 April-23 1.15% 4.67% 3.67% 3.93% 2838 71 5.20 CLO Equity Position #80 2012 CLO Equity April-20 April-23 1.01% 4.11% 3.04% 3.34% 2704 95 4.39 CLO Equity Position #81 2018 CLO Equity May-20 May-23 1.10% 4.51% 3.46% 3.40% 2876 80 4.87 CLO Equity Position #82 2014 CLO Equity July-20 July-23 1.15% 3.68% 2.70% 3.50% 3018 NA 4.65 CLO Equity Position #84 2018 CLO Equity July-20 July-23 1.17% 3.68% 2.69% 3.45% 2914 81 4.93 CLO Equity Position #83 2018 CLO Equity July-20 July-23 1.15% 5.04% 4.04% 3.80% 2787 74 5.11 CLO Equity Position #85 2018 CLO Equity July-20 July-23 1.09% 4.67% 3.67% 3.71% 2722 103 5.07 CLO Equity Position #86 2018 CLO Equity July-20 July-23 1.07% 3.24% 2.74% 3.75% 2707 81 5.19 CLO Equity Position #87 2018 CLO Equity July-20 July-23 1.12% 3.69% 3.19% 3.62% 2791 81 5.29 CLO Equity Position #88 2018 CLO Equity July-20 July-23 1.10% 4.79% 3.79% 3.66% 2870 77 5.27 CLO Equity Position #89 2018 CLO Equity July-20 July-23 1.20% 3.33% 2.83% 4.07% 2935 95 5.18 CLO Equity Position #90 2018 CLO Equity October-20 October-23 1.17% 4.15% 3.93% 3.51% 2891 79 5.01 CLO Equity Position #91 2014 CLO Equity October-20 October-23 1.21% 5.06% 3.11% 3.52% 2995 86 4.56 CLO Equity Position #92 2018 CLO Equity October-20 October-23 1.16% 4.52% 4.11% 3.57% 2684 83 5.31 CLO Equity Position #93 2018 CLO Equity October-20 October-23 1.25% 3.45% 2.45% 3.73% 2702 76 4.89 CLO Equity Position #94 2015 CLO Equity October-20 October-23 1.25% 3.78% 2.78% 3.65% 2801 77 4.80 CLO Equity Position #95 2015 CLO Equity October-20 October-23 1.18% 4.15% 3.40% 3.43% 2921 82 4.61 CLO Equity Position #96 2014 CLO Equity November-20 November-23 1.18% 4.04% 3.44% 3.62% 2751 83 4.95 CLO Equity Position #97 2019 CLO Equity January-21 January-24 1.37% 4.28% 3.28% 3.79% 2584 67 5.53 CLO Equity Position #98 2018 CLO Equity December-20 January-24 1.17% 5.05% 4.80% 3.44% 2864 79 4.78 CLO Equity Position #99 2019 CLO Equity April-21 April-24 NA 4.50% 3.50% 3.77% 2632 72 5.22 CLO Equity Position #100 2019 CLO Equity April-21 April-24 1.35% 5.03% 4.03% 3.71% 2758 72 5.44 CLO Equity Position #101 2013 CLO Equity July-21 July-24 1.37% 4.14% 3.14% 3.82% 2804 109 4.79 CLO Equity Position #102 2019 CLO Equity July-21 July-24 1.41% 4.64% 3.64% 4.06% 2763 92 5.36 Subtotal (Fair Value) $562,416,961 4 February-222 1.14%2 4.13%2 3.36%2 3.63%2 28832,3 78 2 4.852 CLO Debt Positions CLO Vintage Year1 Tranche Type Non-Call  Period End* Reinvestment Period End* AAA Spread (L+)* Junior Tranche  Overcollateralization  Cushion* Reinvestment Weighted Weighted Average Overcollateralization Average Rating Portfolio Spread* Cushion* Factor* Diversity Score* Weighted Average  Portfolio Life  (Years)* CLO Debt Position #1 2013 CLO Debt July-15 July-17 0.82% -0.84% NA 3.55% 3287 35 3.55 CLO Debt Position #2 2015 CLO Debt September-19 July-20 1.08% 3.43% 1.51% 3.45% 2780 80 4.67 CLO Debt Position #3 2015 CLO Debt September-19 July-20 1.08% 3.43% 1.51% 3.45% 2780 80 4.67 CLO Debt Position #4 2013 CLO Debt April-19 April-21 1.34% 2.92% 2.42% 3.48% 2910 72 4.78 CLO Debt Position #5 2016 CLO Debt April-20 April-21 1.25% 3.39% 2.39% 3.55% 2825 68 5.07 CLO Debt Position #6 2018 CLO Debt January-20 January-23 1.07% 3.78% 3.31% 3.48% 2822 77 4.85 CLO Debt Position #7 2013 CLO Debt July-21 July-24 1.37% 4.14% 3.14% 3.82% 2804 109 4.79 Subtotal (Fair Value) $25,208,901 August-20 2 1.09%2 3.29%2 2.13%2 3.52%2 29062,3 70 2 4.542 Total (Fair Value) $587,625,8624 January-222 1. Year in which the deal was issued. 2. Shown on a weighted average basis (based on Fair Value). 3. Weighted Average Rating Factor Score of 2883 and 2906, for OXLC’s CLO equity and debt tranche positions respectively, is equivalent to a Moody’s corporate debt rating of between B2 and B3 (B2 = 2720, B3 = 3490). 4. Excludes called deals, subordinated fee notes and other CLO equity related investments. *Source: As reported by Intex. 7

 

 

 

 

 

CLO Collateral Characteristics* 9/30/2019 6/30/2019 Number of Collateral Obligations1 2,054 2,108 Number of Obligors2 1,615 1,592 Top 10 Collateral Obligation Positions as% of Total Collateral3 3.95% 4.03% Collateral Weighted Average Price3 94.99% 95.31% Largest Individual Obligor Exposure3 0.93% 0.90% Average Individual Obligor Exposure3 0.06% 0.06% * Source: As reported by Intex. 8 Note: Excludes subordinated fee notes and other CLO equity related investments. 1. Represents the total number of collateral loan investments among all of OXLC’s CLO investments. 2. Represents the total number of unique Obligors among all of OXLC’s CLO investments. 3. These figures are calculated based on OXLC’s percentage interest in each CLO vehicle on a weighted average par basis.  

 

 

 

 

 

CLO Portfolio Metrics 9/30/2019 6/30/2019 Weighted average yield of CLO debt investments at current cost1 10.4% 11.8% Weighted average effective yield of CLO equity investments at current cost 16.4% 16.9% Weighted average effective yield of total investments at current cost 16.2% 16.8% Weighted average cash distribution yield of CLO debt at current cost2 8.7% 9.5% Weighted average cash distribution yield of CLO equity at current cost2 22.1% 19.8% Weighted average cash distribution yield of total cash income producing investments at current cost2 21.5% 19.4% 1. Includes non-cash amortization of OID. 2. Cash income producing investments represent those CLO debt and equity investments (excluding warehouses) which made a distribution payment to OXLC for the quarters ending 9/30/19 and 6/30/19, respectively. At current cost, OXLC had ~126.5 million and ~$112.7 million of CLO equity investments which were non-cash income producing for the quarters ending 9/30/19 and 6/30/19, respectively, but are all projected to be cash income producing and make their inaugural distribution payment no later than the quarter ending 12/31/19. The yield is calculated by taking the quarterly distributions received, annualizing such amount and dividing by the current cost basis of the cash income producing investments for the quarters ending 9/30/19 and 6/30/19, respectively.  

 

 

 

 

 

Investment Portfolio Composition* ▪ Top 30 aggregate industry exposures of the CLO vehicles represent ~99.7%1 of combined investments Top 30 Moody's Industry Exposure1 Top 30 Moody's Industry Exposure1 1. Healthcare & Pharmaceuticals 10.3% 16. Utilities: Electric 2.5% 2. High Tech 9.5% 17. Aerospace & Defense 2.3% 3. Banking, Finance, Insurance & Real Estate 7.9% 18. Containers, Packaging & Glass 2.3% 4. Services: Business 7.7% 19. Consumer Goods: Non Durable 2.0% 5. Hotels, Gaming & Leisure 5.5% 20. Media: Advertising, Printing & Publishing 2.0% 6. Telecommunications 5.1% 21. Transportation: Consumer 1.8% 7. Media: Broadcasting & Subscription 5.0% 22. Consumer Goods: Durable 1.8% 8. Chemicals, Plastics & Rubber 4.4% 23. Media: Diversified & Production 1.6% 9. Retail 3.6% 24. Transportation: Cargo 1.4% 10. Beverage, Food & Tobacco 3.5% 25. Metals & Mining 1.4% 11. Construction & Building 3.3% 26. Not Reported 0.9% 12. Energy: Oil & Gas 3.0% 27. Environmental Industries 0.7% 13. Services: Consumer 3.0% 28. Energy: Electricity 0.6% 14. Automotive 2.8% 29. Utilities: Oil & Gas 0.6% 15. Capital Equipment 2.7% 30. Wholesale 0.4% Total 99.7% 1. Exposures are determined by calculating the aggregate principal balance of the underlying corporate debt collateral held by OXLC’s CLO investments within the Moody’s industries indicated and dividing by the aggregate principal balance of all of the CLO vehicles’ underlying corporate debt collateral (excluding cash) on a weighted average basis for OXLC’s investments in each of those CLO vehicles. Weighted average exposures are as of September 30, 2019 and exclude recent CLO investments with missing or incomplete industry data, subordinated fee notes and other CLO equity related investments. All figures subject to rounding. * Source: As reported by Intex.  

 

 

 

 

 

Capital Structure Overview ($in thousands) Series 2023 Term Preferred Stock (OXLCO) Principal Amount1 Carrying Value1 Cost of Debt Call Date Maturity $90,400 $86,910 7.50% Callable Jun-23 Series 2024 Term Preferred Stock (OXLCM) $68,235 $66,650 6.75% 6/30/2020 Jun-24 Master Repurchase Agreement $35,000 $35,000 L + 2.90%2 Callable Apr-20 Total Preferred Stock and Debt $193,635 $188,560 Total Equity $392,489 Preferred Stock and Debt-to-Equity 0.48x Note: Certain figures may not tie out to financial statements due to rounding. 1. As of 9/30/2019. 2. Based on 3-month USD LIBOR. 11  

 

 

 

 

 

APPENDIX

 

 

 

 

 

Investment Portfolio Composition – CLO Debt Company Investment Manager Fair Value% of Total1,2 Longfellow Place CLO, Ltd. Class FRR NewStar Financial $505,455 0.1% Midocean Credit CLO VI Class ER MidOcean Credit Fund Management $5,436,600 0.9% Mountain Hawk II CLO, Ltd. Class E Western Asset Management $5,368,000 0.9% OZLM XIII, Ltd. Class D Och-Ziff Loan Management $8,393,250 1.4% OZLM XIII, Ltd. Class E Och-Ziff Loan Management $1,463,000 0.2% OZLM XXII, Ltd. Class E Och-Ziff Loan Management $2,112,771 0.4% Venture XV, Ltd. Class ER MJX Asset Management $1,929,825 0.3% Total Collateralized Loan Obligation - Debt Investments $25,208,901 4.3% 1. Based on percentage of total fair value of investments as of 9/30/19. 2. Certain percentages may not tie out to financial statements due to rounding. 13  

 

 

 

 

 

Investment Portfolio Composition – CLO Equity1 AMMC CLO XI, Ltd. Anchorage Capital CLO 4-R, Ltd. Anchorage Capital CLO 8, Ltd. Company ALM XVII, Ltd. AMMC CLO XII, Ltd. Anchorage Capital CLO 5-R, Ltd. Apex Credit CLO 2015-II, Ltd. (fka: JFIN CLO 2015-II Ltd.) Manager Fair Value% of Total2,3 Apollo Capital Management $3,038,165 0.5% American Money Management $987,000 0.2% American Money Management $3,657,143 0.6% Anchorage Capital Group $4,500,000 0.8% Anchorage Capital Group $14,923,151 2.5% Anchorage Capital Group $4,440,000 0.8% Jefferies Finance $2,517,626 0.4% Apex Credit CLO 2019 Ltd. Jefferies Finance $10,556,946 1.8% Arch Street CLO, Ltd. NewStar Financial $1,650,000 0.3% Ares XL CLO Ltd. Ares Management $5,311,937 0.9% Ares XXVII CLO, Ltd. Ares Management $6,979,760 1.2% Ares XXXVII CLO Ltd. Ares Management $9,951,010 1.7% Atrium XV Credit Suisse First Boston $16,626,250 2.8% B&M CLO 2014-1 LTD Bradford & Marzec $160,000 0.0% Battalion CLO VI Ltd. Brigade Capital Management $87,500 0.0% Battalion CLO VII Ltd. Brigade Capital Management $9,953,000 1.7% Benefit Street Partners CLO III Ltd. Benefit Street Partners $1,850,000 0.3% Benefit Street Partners CLO V Ltd. Benefit Street Partners $460,000 0.1% Bristol Park CLO, Ltd. GSO/Blackstone Debt Funds Management $4,700,000 0.8% Canyon Capital CLO 2015-1, Ltd. Canyon Capital Advisors $4,800,000 0.8% Carlyle Global Market Strategies CLO 2013-2, Ltd. Carlyle Group $8,344,368 1.4% Carlyle Global Market Strategies CLO 2014-5, Ltd. Carlyle Group $2,310,000 0.4% Cathedral Lake CLO 2013, Ltd. Carlson Capital $2,159,000 0.4% Cathedral Lake II, Ltd. Carlson Capital $6,298,344 1.1% CIFC Funding 2013-III-R, Ltd. CIFC Asset Management $2,009,000 0.3% Apex Credit CLO 2018 Ltd. Jefferies Finance $6,134,911 1.0% CIFC Funding 2014, Ltd. CIFC Asset Management $2,580,000 0.4% CIFC Funding 2014-III, Ltd. CIFC Asset Management $8,383,500 1.4% Dryden 49 Senior Loan Fund Prudential Financial (Pramerica) $7,196,000 1.2% Dryden 54 Senior Loan Fund Prudential Financial (Pramerica) $1,525,000 0.3% Elevation CLO 2015-4, Ltd. ArrowMark Colorado Holdings $6,579,000 1.1% Ellington CLO II, Ltd. Ellington Management Group $2,400,000 0.4% Figueroa CLO 2013-2, Ltd. TCW Asset Management $3,485,000 0.6% Flatiron CLO 17 Ltd. New York Life Investment Management $1,309,000 0.2% GoldenTree Loan Opportunities XI, Ltd. GoldenTree Asset Management $1,770,000 0.3% Halcyon Loan Advisors Funding 2015-1 Ltd. Halcyon Asset Management $630,000 0.1% Halcyon Loan Advisors Funding 2018-1 Ltd. Halcyon Asset Management $7,425,000 1.3% Hayfin Kingsland IX, Ltd. Hayfin Capital Management $13,325,896 2.3% HPS Loan Management 10-2016, Ltd. HPS Investment Partners $5,200,000 0.9% Hull Street CLO Ltd. Feingold O'Keeffe Capital $487,500 0.1% ICG US CLO 2016-1, Ltd. ICG Debt Advisors $3,182,975 0.5% Ivy Hill Middle Market Credit VII, Ltd. Ares Management $2,803,010 0.5% Jamestown CLO IV, Ltd. Investcorp Credit Management $538,161 0.1% Jamestown CLO VII, Ltd. Investcorp Credit Management $4,173,750 0.7% Longfellow Place CLO, Ltd. NewStar Financial $2,159,600 0.4% Madison Park Fund XLI, Ltd. (fka: Atrium XII CLO) Credit Suisse First Boston $19,814,625 3.4% Madison Park Funding XIII, Ltd. Credit Suisse $10,800,000 1.8% Madison Park Funding XV, Ltd. Credit Suisse First Boston $3,150,000 0.5% Madison Park Funding XXII, Ltd. Credit Suisse First Boston $10,500,000 1.8% Madison Park Funding XXIV, Ltd. Credit Suisse First Boston $1,998,500 0.3% Madison Park Funding XXIX, Ltd. Credit Suisse First Boston $12,920,000 2.2% Madison Park Funding XXV, Ltd. Credit Suisse First Boston $871,000 0.1% Madison Park Funding XXX, Ltd. Credit Suisse First Boston $14,186,997 2.4% Marble Point CLO XI Ltd. Marble Point $4,640,000 0.8% 1. Includes subordinated fee notes and other CLO equity related investments. 2. Based on percentage of total fair value of investments as of 9/30/19. 3. Certain percentages may not tie out to financial statements due to rounding. 14  

 

 

 

 

 

Investment Portfolio Composition – CLO Equity1 (Continued) Company Manager Fair Value% of Total2,3 Midocean Credit CLO III MidOcean Credit Fund Management $4,495,500 0.8% Midocean Credit CLO VI MidOcean Credit Fund Management $15,444,000 2.6% Mountain Hawk II CLO, Ltd. Western Asset Management $513,400 0.1% Mountain View CLO 2014-1 Ltd. Seix Advisors $830,179 0.1% Mountain View CLO 2017-2 Ltd. Seix Advisors $980,000 0.2% Nassau 2017-II Ltd. Nassau Corporate Credit $16,470,000 2.8% Ocean Trails CLO VI Five Arrows Managers $2,378,008 0.4% Octagon Investment Partners 33, Ltd. Octagon Credit Investors $7,500,000 1.3% Octagon Investment Partners 38, Ltd. Octagon Credit Investors $3,600,000 0.6% Octagon Investment Partners 39, Ltd. Octagon Credit Investors $7,696,000 1.3% Octagon Investment Partners 40, Ltd. Octagon Credit Investors $37,327,500 6.3% Octagon Investment Partners XXII, Ltd. Octagon Credit Investors $1,616,063 0.3% Octagon Loan Funding, Ltd. Octagon Credit Investors $905,008 0.2% OFSI BSL IX, Ltd. Orchard First Source Asset Management $8,265,600 1.4% OFSI BSL VIII, Ltd. Orchard First Source Asset Management $4,845,000 0.8% OFSI Fund VII, Ltd. Orchard First Source Asset Management $7,210,000 1.2% OHA Loan Funding 2012-1, Ltd. Oak Hill Advisors $444,000 0.1% OZLM Funding III, Ltd. Och-Ziff Loan Management $4,560,000 0.8% OZLM VIII, Ltd. Och-Ziff Loan Management $2,200,000 0.4% OZLM XIII, Ltd. Och-Ziff Loan Management $6,440,000 1.1% OZLM XIV, Ltd. Och-Ziff Loan Management $5,012,974 0.8% Regatta III Funding Ltd. Napier Park Global Capital $15,000 0.0% Seneca Park CLO, Ltd. GSO/Blackstone Debt Funds Management $480,000 0.1% Shackleton 2013-IV-R CLO, Ltd. Alcentra $5,810,013 1.0% Shackleton 2014-V-R CLO, Ltd. Alcentra $9,280,625 1.6% Shackleton 2015-VII CLO, Ltd. Alcentra $5,337,072 0.9% Shackleton 2017-X CLO, Ltd. Alcentra $12,258,240 2.1% Sound Point CLO VI-R, Ltd. Sound Point Capital Management $6,093,665 1.0% Sound Point CLO XXII, Ltd. Sound Point Capital Management $3,324,500 0.6% Telos CLO 2013-3, Ltd. Telos Asset Management $3,296,408 0.6% Telos CLO 2013-4, Ltd. Telos Asset Management $4,126,123 0.7% Telos CLO 2014-6, Ltd. Telos Asset Management $4,992,042 0.8% Thacher Park CLO, Ltd. GSO/Blackstone Debt Funds Management $1,035,000 0.2% THL Credit Wind River 2015-1 CLO Ltd. THL Credit Advisors $676,000 0.1% THL Credit Wind River 2017-1 CLO Ltd. THL Credit Advisors $6,120,000 1.0% THL Credit Wind River 2017-4 CLO Ltd. THL Credit Advisors $6,314,000 1.1% Tralee CLO II, Ltd. Par-Four Investment Management $945,000 0.2% Tralee CLO IV, Ltd. Par-Four Investment Management $6,635,000 1.1% Trinitas CLO VII, Ltd. Trinitas Capital Management $1,168,000 0.2% Trinitas CLO VIII, Ltd. Trinitas Capital Management $562,500 0.1% Venture 32 CLO, Limited MJX Asset Management $2,485,000 0.4% Venture 37 CLO, Limited MJX Asset Management $7,290,000 1.2% Venture XIV CLO, Limited MJX Asset Management $2,405,000 0.4% Venture XV CLO, Limited MJX Asset Management $2,835,038 0.5% Venture XVII CLO, Limited MJX Asset Management $5,623,378 1.0% Venture XX CLO, Limited MJX Asset Management $2,340,000 0.4% Venture XXI CLO, Limited MJX Asset Management $10,800,000 1.8% Vibrant CLO III, Ltd. DFG Investment Advisers $2,550,000 0.4% Wellfleet 2016-2 CLO, Ltd. Wellfleet Credit Partners $5,800,000 1.0% West CLO 2014-1, Ltd. Allianz Global Investors $6,885,000 1.2% Zais CLO 8, Limited ZAIS Group $1,920,000 0.3% Zais CLO 9, Limited ZAIS Group $6,848,000 1.2% Other CLO equity related investments $1,928,086 0.3% Total Collateralized Loan Obligation - Equity Investments $565,351,547 95.7% 1. Includes subordinated fee notes and other CLO equity related investments. 2. Based on percentage of total fair value of investments as of 9/30/19. 3. Certain percentages may not tie out to financial statements due to rounding. 15  

 

 

 

 

 

Reconciliation of Core Net Investment Income We provide information relating to core net investment income (“Core NII”) (a non-GAAP measure) on a supplemental basis. This measure is not provided as a substitute for GAAP net investment income (“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 cash distributions received, or entitled to be received (if any, in either case), on our CLO equity investments while excluding any cash distributions believed to represent a return of capital. 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. 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 from 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 for tax purposes, we are required, among other things, to distribute at least 90% of our investment company taxable income annually. 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. ($in millions, except per share) 1 For the three months ended 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Amount Per Share Amount Per Share Amount Per Share Amount Per Share Amount Per Share GAAP Net investment income $16.7 $0.312 $15.8 $0.349 $13.5 $0.343 $12.3 $0.330 $11.7 $0.352 CLO equity adjustments 7.5 $0.140 3.9 $0.085 7.3 $0.183 5.4 $0.144 3.5 $0.105 Core net investment income $24.2 $0.452 $19.7 $0.434 $20.8 $0.526 $17.7 $0.474 $15.2 $0.457 Note: Certain figures may not tie out to financial statements due to rounding. 1. Per share amounts based on weighted average shares outstanding for the respective quarter presented. 16  

 

 

 

 

 

Corporate Information Board of Directors Fiscal Year End Executive Corporate Officers Mark J. Ashenfelter - Chairman March 31 Jonathan H. Cohen Board Member and Chief Executive Officer John Reardon Saul B. Rosenthal Board Member and President David S. Shin Independent Audit Firm Bruce L. Rubin Chief Financial Officer Jonathan H. Cohen PricewaterhouseCoopers LLP Jerry Cummins Chief Compliance Officer Saul B. Rosenthal Corporate Offices Corporate Counsel Eversheds Sutherland (US) LLP Bruce L. Rubin Investor Relations 17 8 Sound Shore Drive Oxford Lane Capital Corp. Suite 255 Transfer Agent Tel: (203) 983-5280 Greenwich, CT 06830 Computershare Trust Company, N.A ir@oxlc.com Tel: 1-877-498-8861 Corporate Website www.computershare.com www.oxlc.com Securities Listing and Equity Indices Common Stock: "OXLC" - NasdaqGS Preferred Stock: "OXLCO" - NasdaqGS "OXLCM" - NasdaqGS