Jonathan Cohen - CEO, Portfolio Manager and Interested Director Bruce Rubin - CFO and Treasurer Debdeep Maji - Senior Portfolio Manager.

Analysts:.

Welcome to the Oxford Lane Fourth Fiscal Quarter Earnings Conference Call. [Operator Instructions]. Please note this event is being recorded. I would now like to turn the conference over to Jonathan Cohen. Please go ahead, sir..

Thanks very much. Good morning, and welcome, everyone, to the Oxford Lane Capital Corp.'s Fourth Fiscal Quarter 2017 Earnings Conference Call. I'm joined today by Saul Rosenthal, our President; Bruce Rubin, Chief Financial Officer and Treasurer.

Bruce, could you open the call today with a discussion regarding forward-looking statements?.

Sure, Jonathan. Today's call is being recorded. An audio replay of the conference call will be available for 30 days. Replay information is included in our press release that was released 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. I'd also like to call your attention to the customary disclosure in our press release this morning regarding forward-looking information.

Today's conference call includes forward-looking statements and projections, and we ask that you refer to our most recent filings at the SEC for important factors that could cause actual results to differ materially from these projections. We do not undertake to update our forward-looking statements unless required to do so by law.

To obtain copies of our latest SEC filings, please visit our website at www.oxlc.com. With that, I'll turn the presentation back to Jonathan..

Thanks, Bruce. At March 31, 2017, our net asset value per share stood at $10.20 compared with a net asset value per share at December 31, 2016, of $10.74.

For the quarter ended March 31, 2017, we recorded GAAP total investment income of approximately $17.3 million representing an increase of approximately $2.7 million when compared to the quarter ended December 31.

That increase in GAAP investment income for the quarter was primarily driven by continued strong performance within our CLO equity portfolio during the quarter.

The March quarter's GAAP investment income from our portfolio was produced as follows, for approximately $16.7 million from our CLO equity investments and approximately $600,000 from our CLO debt investments and from other income.

Oxford Lane also recorded GAAP net investment income of approximately $9.8 million or $0.45 per share for the quarter ended March 31, 2017, compared with the prior quarter's $7.7 million or $0.38 per share.

For the quarter ended March 31, 2017, we recorded net realized losses of approximately $2.4 million or $0.11 per share and net unrealized depreciation of approximately $6.7 million or $0.31 per share. We had a net increase in net assets resulting from operations of approximately $800,000 or $0.04 per share for the quarter.

As of March 31, 2017, the following weighted average yields were calculated. The weighted average yield of our CLO debt investment at current cost was approximately 9.6% compared with 9.1% as of December 31.

The weighted average GAAP effective yield of our CLO equity investments at current cost was approximately 19.4% compared with 17.6% as of December 31, 2016. And the weighted average cash yield of our CLO equity investments at current cost was approximately 22.4% compared to 23.8% as of December 31.

We note that the cash yields calculated on our CLO equity investments are based on the cash income distributions we received or were entitled to receive at each respective period-end. Our core net investment income or core NII was approximately $9.3 million or $0.43 per share for the quarter ended March 31, 2017.

We note that core NII represents GAAP net investment income adjusted for additional cash distributions received or entitled to be received, if any in either case, on our CLO equity investments. Please see our earnings release for a reconciliation of core NII to GAAP NII.

During the quarter ended March 31, 2017, we made additional CLO equity investments of approximately $91.1 million. Also during the same quarter, we received cash proceeds of approximately $68.5 million from the sales and repayments of CLO investments.

During the quarter ended March 31, we saw continued strength in syndicated corporate loan prices with the S&P/LSTA Leveraged Loan Index increasing from 98.08% as of 12/31 to 98.22% as of 3/31/2017. As of May 12, 2017, the S&P/LSTA Leveraged Loan Index stood at 98.32%.

And with that, I'd like to turn the call over to Deep Maji to talk about some of the portfolio work that we did during the quarter..

Sure. During the quarter ending March 31, 2017, tighter leveraged loan credit spreads continued to generally reduce the weighted average spreads of the loan assets in our CLO investments.

That reduction in credit spreads on CLO collateral, coupled with a meaningful increase in 3-month LIBOR during the 2016 calendar year, has led to lower current and projected cash flow distribution payments from many CLO equity tranches.

Although cash flow payments have been reduced, the strength in the loan market continues to create opportunities in the CLO market for us as higher NAVs present us with the greater possibilities for CLO calls and for opportunistic investments in CLO junior debt at discounts to par.

As I've mentioned, CLO liability spreads continued to generally tighten during the quarter, presenting us with ongoing refinancing as well as resetting opportunities. A reset is a refinancing that includes an extension of the reinvestment period of the CLO.

With both the CLO collateral and liability spreads at nearly their tightest levels since the 2008 credit crisis and with 3-month LIBOR at just over 1%, we believe that the CLO asset class is generally well positioned for any widening of spreads and/or dislocation in the markets.

Since we began investing in the CLO market, we have focused on both the primarily and secondary markets and have varied our emphasis according to which offered better relative value at various times.

We continue to make investments in CLO warehouses, which allow collateral managers to purchase assets in the primary market and opportunistically in the secondary market. We continue to pursue our CLO investment strategy where we see opportunities to generate attractive cash flows and/or potential for capital appreciation.

Additionally, as we continue to actively manage our portfolio as we see attractive sales opportunities in the secondary market.

While we continue to generally focus on longer-dated CLO equities with longer reinvestment periods that should have additional time to build par value and invest in wider credit spreads compared to today's corporate loan environment, we continue to evaluate a variety of different CLO equity and debt profiles that we believe may provide us with attractive risk-adjusted returns.

We believe that the CLO market continues to present us with a compelling investment opportunity set, especially as we continue to see a broad dispersion in pricing across vintages and profiles..

Thanks very much, Deep. We note that additional information about Oxford Lane's fourth fiscal quarter performance has now been posted to our website at www.oxlc.com. And with that, operator, we're happy to open the call for any questions..

Operator:.

We'd like to thank everyone for their continued interest in Oxford Lane Capital, and we look forward to speaking to everyone again very soon. Thank you all very much..

The conference has now concluded. Thank you for attending today's presentation, and you may now disconnect..