GREENWICH, CT--(Marketwire - Nov 6, 2012) -  Oxford Lane Capital Corp. (NASDAQ: [ OXLC ]) (the "Fund" or the "Company") is providing below certain financial information about the Company's investment portfolio as of September 30, 2012. On that date, the Company held 27 investments in Collateralized Loan Obligation ("CLO") vehicles, consisting of 16 junior debt investments and 11 equity investments (presented in the table below with the percentage of each CLO investment shown as a percentage of the Company's Net Asset Value - "NAV"). 

Source: Bloomberg L.P. ("Bloomberg"), Standard & Poor's Ratings Services ("S&P"), and Moody's Investors Service, Inc. ("Moody's")
NR - Not Rated.
* Ratings are current as of October 23, 2012
** NAV % adds up to less than 100% due to other assets on the balance sheet.

Investment Composition

The investments held by the CLO vehicles were primarily in companies domiciled in the United States (approximately 94%¹). The top 10 aggregate industry exposures of the CLO vehicles accounted for approximately 56%¹ of combined investments while the top 10 aggregate single obligor investments accounted for approximately 3.3%¹ (please refer to the following two tables). This results in a weighted average diversity score of 67² for our portfolio (which we believe is broadly comparable to industry diversity scores for other similar CLO vehicles). 

Source: Intex Source: Intex
* Reflects industry classifications established by Moody's.

CLO Compliance

As of September 30, 2012, each of the CLO vehicles was in material compliance with all of its respective collateral and coverage tests that were necessary for full payments to be made to the Company by each CLO vehicle.⁴ The current weighted average over-collateralization ("OC") cushion for the Company's CLO equity and debt investments was approximately 2.5% and 5.5%, respectively, as of September 30, 2012 (compared to 2.4% and 5.5%, respectively, as of June 30, 2012). As long as each CLO vehicle maintains a positive OC cushion with respect to the OC test associated with that CLO investment, a full payment is expected to be made to the Company.⁵

CLO Credit Quality

The current weighted average percentage of defaulted securities held by the CLOs (as reported by each CLO) was approximately 0.9% as of September 30, 2012 (compared to 1.0% as of June 30, 2012). The CLO vehicles which the Company has invested in have a weighted average WARF score (Weighted Average Rating Factor) of 2545 (compared to 2509 as of June 30, 2012) which is equivalent to a Moody's credit rating of between B1 and B2 (see ratings charts below), based on a ratings factor scale provided by Moody's. We believe the weighted average WARF score of our portfolio is broadly comparable to industry WARF scores for other similar CLO vehicles.

Company Profitability

The Company received or was entitled to receive cash interest payments of approximately $660k and equity distributions of approximately $3.2mm from its junior debt and equity tranche investments, respectively, for the quarter ending September 30, 2012. These payments represented a quarterly cash return of approximately 1.5% and 8.3% of the junior debt and equity tranche investments at market value (as of September 30, 2012), respectively, and on a combined basis, represented a quarterly cash return of approximately 4.7% of the Company's total portfolio at market value (as of September 30, 2012). For the quarter ending September 30, 2012 the Company received a full payment from each CLO vehicle (see table below).

The approximate weighted average WAS (Weighted Average Spread above LIBOR) for the CLO vehicles in which the Company has an equity investment was 4.0% and the approximate weighted averaged WACC (Weighted Average Cost of Capital above LIBOR) was 0.7%, resulting in approximately a 3.3% margin (before CLO vehicle expenses) as of September 30, 2012 (compared to a weighted average WAS and WACC of 3.8% and 0.7%, respectively, as of June 30, 2012). The weighted average reinvestment end date for the Company's equity positions was 6/2/14 (with a final legal weighted average maturity date of 6/3/21) which potentially allows on a weighted average basis for approximately 1.75 more years of full equity distribution payments followed by up to approximately 6.75 years of decreasing distribution payments to the Company, subject to CLO covenant compliance. During the quarter ending September 30, 2012, the Company received a weighted average cash distribution payment on its equity portfolio of approximately 8.3% (of par) with a price markup of approximately 15.4% (of par) from the prior quarter-end valuations (see table below).⁶

* Source: Bloomberg

Oxford Lane Capital Corp.

Oxford Lane Capital Corp. is a publicly-traded registered closed-end management investment company. It currently seeks to achieve its investment objective of maximizing total return by investing in securitization vehicles which, in turn, primarily invest in senior secured loans made to companies whose debt is unrated or is rated below investment grade. 

Forward-Looking Statements

This press release contains forward-looking statements subject to the inherent uncertainties in predicting future results and conditions. Any statements that are not statements of historical fact (including statements containing the words "believes," "plans," "anticipates," "expects," "estimates" and similar expressions) should also be considered to be forward-looking statements. Certain factors could cause actual results and conditions to differ materially from those projected in these forward-looking statements. These factors are identified from time to time in our filings with the Securities and Exchange Commission. We undertake no obligation to update such statements to reflect subsequent events.

Disclaimer

This document has been prepared by Oxford Lane Capital Corp. and is the sole responsibility of the Company. No liability whatsoever (whether in negligence or otherwise) arising directly or indirectly from the use of this document is accepted and no representation, warranty or undertaking, express or implied, is or will be made by the Company or any of their respective directors, officers, employees, advisers, representatives or other agents ("Agents") for any information or any of the opinions contained herein or for any errors, omissions or misstatements. The Company has relied on certain information provided from Intex, Bloomberg, S&P and Moody's but makes no representation with respect to the accuracy of such information provided by Intex, Bloomberg, S&P or Moody's. Neither the Company nor any of its respective Agents makes or has been authorized to make any representation or warranties (express or implied) in relation to the Company or as to the truth, accuracy or completeness of this document, or any other written or oral statement provided. In particular, no representation or warranty is given as to the achievement or reasonableness of, and no reliance should be placed on any projections, targets, estimates or forecasts contained in this document and nothing in this document is or should be relied on as a promise or representation as to the future.

¹ These percentages are based on the amount of CLO vehicles' underlying assets on a weighted average basis, without regard to the amount of the Company's investments in these CLO vehicles.

² Source: Intex Solutions, Inc. ("Intex").

³ These percentages for each of the respective tables above are calculated by taking the aggregate amount invested in the industries or debt securities and dividing by the aggregate amount of all of the CLO vehicles' underlying assets (excluding cash), without regard to the amount of the Company's investments in each of these CLO vehicles.

⁴ The CLO vehicles' indentures have a variety of covenant tests which those CLO vehicles may not be in compliance with in the future should credit markets deteriorate, the loans held by the CLO vehicles fail to make expected payments or otherwise not perform, or for a variety of other reasons. If those covenants are violated, it could result in principal paydowns of the CLO vehicles' higher-rated notes and/or interest diversion which may result in partial or non-payment of the quarterly amounts otherwise due to the Company.

⁵ Although we expect each of our current CLO equity and debt investments to maintain a positive OC cushion through maturity, there can be no assurance that such OC cushions will not be reduced to zero (or the CLO vehicle will not be in violation of the OC tests), either as a result of a deterioration in general economic conditions or other factors specific to the industries or specific companies in which such CLOs have invested. If that were to occur, our ability to receive payments on such CLO investments could be impaired, and we may lose a portion or all of our investment in such CLOs. 

⁶ All calculations in the above paragraph are based on par value.