Good day and welcome to the Oxford Lane Capital Corp. First Fiscal Quarter Earnings Conference Call. All participants will be in a listen-only mode. After today's presentation, there will be an opportunity to ask questions. Please note this event is being recorded. I would now like to turn the conference over to Mr. Jonathan Cohen, CEO.

Please go ahead, sir..

Thanks very much. Good morning, everyone and welcome to the Oxford Lane Capital Corp. first fiscal quarter 2022 earnings conference call. I'm joined today by; Saul Rosenthal, our President; Bruce Rubin, our Chief Financial Officer; and Deep Maji, our Senior Managing Director and Portfolio Manager..

Sure, Jonathan. Today's conference call is being recorded. An audio replay of the call will be available for 30 days. Replay information is included in our press release that was issued earlier this morning. Please note that this call is the property of Oxford Lane Capital Corp.

Any unauthorized rebroadcast of this call in any form is strictly prohibited. At this point, please direct your attention to the customer disclosure in this morning's press release regarding forward-looking information.

Today's conference call includes forward-looking statements and projections that reflect the company's current views with respect to, among other things, future events and financial performance.

We ask that you refer to our most recent filings with the SEC for important factors that could cause actual results to differ materially from those indicated in these projections. We do not undertake to update our forward-looking statements unless required to do so by law.

During this call, we will use terms defined in the earnings release and also refer to non-GAAP measures. For definitions and reconciliations to GAAP, please refer to our earnings release posted on our website at www.oxfordlanecapital.com. With that, I'll turn the presentation back over to Jonathan..

Thanks, Bruce. On June 30th, 2021, our net asset value per share stood at $6.56 compared to a net asset value per share of $5.94 as of March 31st, 2021. For the quarter ended June 30th, we recorded a GAAP total investment income of approximately $41.7 million, representing an increase of approximately $5.6 million from the prior quarter.

The quarter's GAAP total investment income from our portfolio consisted of $40 million from our CLO equity investments and $1.7 million from our CLO debt investments and from other income.

Oxford Lane also recorded GAAP net investment income of approximately $25.3 million or $0.25 per share for the quarter ended June 30th, compared to approximately $21.6 million or $0.23 per share for the quarter ended March 31st.

Our core net investment income was approximately $42.4 million or $0.41 per share for the quarter ended June 30th, compared with approximately $44.9 million or $0.47 per share for the quarter ended March 31st.

During the quarter ended June 30th, we issued a total of approximately 7.6 million shares of our common stock pursuant to an aftermarket offering resulting in net proceeds of approximately $53.8 million.

For the quarter ended June 30th, we recorded net realized losses of approximately $4.3 million or $0.04 per share, we recorded net unrealized appreciation of approximately $59.2 million or $0.58 per share..

Thank you, Jonathan. During the quarter ended June 30th, 2021, the US loan market strengthened versus the quarter ended March 31st. The US loan prices as defined by the S&P/LSTA Leveraged Loan Index increased from 97.55% of par as of March 31st to 98.37% of par as of June 30th.

According to LCD during the quarter, pricing compression related to credit quality continued with BB rated loan prices increasing 0.1%, B rated loan prices increasing 0.42% and CCC rated loan prices increasing 1.4% on average.

The 12-month trailing default rate for the S&P/LSTA Leveraged Loan Index decreased to 1.25% by principal amount at the end of the quarter after starting the quarter at 3.15%. That rate has since decreased to 0.58% as of July 23rd.

Additionally, the distressed ratio defined as a percentage of loans with the price below 80% of par ended the quarter at approximately 1%, the lowest level since November 2014 and well below level seen in March 2020. During the quarter, the increase in US loan prices led to an increase in US CLO equity net asset values.

According to Wells Fargo, the median US CLO equity net asset value improved from 50.1% of par to 59.4% of par, while the median over collateralization - cushion increased from 294 basis points to 354 basis points. Additionally, the median Moody's CCC assets decreased from 6.5% to 5.2% or the median S&P CCC assets decreased from 7.2% to 6%..

Thanks very much, Deep. With that, operator, we're happy to open the call for any questions..

Thank you. We will now begin the question-and-answer session. .

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At this time, I'm not showing any questions, and this will conclude our question-and-answer session. I would like to turn the conference back over to Jonathan Cohen for any closing remarks. Please go ahead, sir..

Thank you very much, operator. We note that additional information about Oxford Lane's first fiscal quarter performance has been uploaded to our website at www.oxfordlanecapital.com. We'd like to thank everyone listening on the call today and on the replay and we thank everyone for their interests. Thanks very much..

This conference has now concluded. Thank you for attending today's presentation. You may now disconnect..