UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-22432

 

Oxford Lane Capital Corp.

(Exact name of registrant as specified in charter)

 

8 Sound Shore Drive, Suite 255
Greenwich, CT 06830

(Address of principal executive offices)

Jonathan H. Cohen
Chief Executive Officer
Oxford Lane Capital Corp.
8 Sound Shore Drive, Suite 255
Greenwich, CT 06830

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: (203) 983-5275

Date of fiscal year end: March 31

Date of reporting period: September 30, 2015

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Item 1. Reports to Shareholders.

The semi-annual report to shareholders for the six months ended September 30, 2015 is filed herewith pursuant to rule 30e-1 under the Investment Company Act of 1940.

Oxford Lane Capital Corp.
 
 
 
 
 

Semi-Annual Report
 
 
 
 
 

September 30, 2015
 
 
 
 
 

oxfordlanecapital.com

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OXFORD LANE CAPITAL CORP.
 
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		Page
Letter to Shareholders			1
Top Ten Holdings			3
Statement of Assets and Liabilities			4
Schedule of Investments			5
Statement of Operations			8
Statements of Changes in Net Assets			9
Statement of Cash Flows			10
Notes to Financial Statements			11
Distribution Reinvestment Plan			27
Management			28
Board Approval of the Investment Advisory Agreement			32
Additional Information			33

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Oxford Lane Capital Corp.

November 16, 2015

To Our Shareholders:

We are pleased to submit to you the report of Oxford Lane Capital Corp. (“we”, “us”, “our”, the “Fund” or “Oxford Lane”) for the six months ended September 30, 2015. The net asset value of our shares at that date was $11.33 per common share. The Fund’s common stock is traded on the NASDAQ Global Select Market and its share price can differ from its net asset value. The Fund’s closing price at September 30, 2015 was $11.41, down from $14.82 at March 31, 2015. The total return for Oxford Lane, for the six months ended September 30, 2015, as reflected in the Fund’s financial highlights, was (15.54%). This return reflects the change in market price for the period, as well as the positive impact of $1.20 per share in distributions declared and paid of $0.60 per share and $0.60 distributions declared and unpaid. On November 13, 2015, the last reported sale price of the Fund’s common stock was $11.18.

We draw your attention to our distribution policy, which has been discussed in earlier reports, as we believe that the Fund’s position deserves close attention. Oxford Lane is subject to significant and variable differences between its accounting income and its taxable income particularly as it relates to our collateralized loan obligation (“CLO”) equity investments. We invest in CLO entities which generally constitute “passive foreign investment companies” and which are subject to complex tax rules; the calculation of taxable income attributed to a CLO equity investment can be dramatically different from the calculation of income for financial reporting purposes. Taxable income is based upon the distributable share of earnings as determined under tax regulations for each CLO equity investment, which may be consistent with the cash flows generated by those investments (although significant differences are possible), while accounting income is currently based upon an effective yield calculation. The Fund’s final taxable earnings for the six months ending September 30, 2015 will not be known until our tax returns are filed but our experience has been that cash flows have historically represented a generally reasonable estimate of taxable earnings. While reportable GAAP earnings from our CLO equity investments for the six months ended September 30, 2015 were approximately $28.6 million, we received or were entitled to receive approximately $43.1 million in distributions. In general, we currently expect our annual taxable income to be higher than our GAAP earnings on the basis of the difference between cash distributions actually received (and record date distributions to be received) and the effective yield income. Our distribution policy is based upon our estimate of our taxable net investment income, with further consideration given to our realized gains or losses, if any, on a taxable basis.

Investment Review

The Fund’s investment objective is to maximize its portfolio’s risk adjusted total return over our investment horizon. Our current focus is to seek that return by investing in structured finance investments, specifically CLO vehicles which primarily own senior secured corporate loans. Our investment strategy also includes investing in warehouse facilities, which are financing structures intended to aggregate senior secured corporate loans that may be used to form the basis of a CLO vehicle. As of September 30, 2015, we held debt investments in three different CLO structures, equity investments in 38 different CLO structures, and subordinated notes (i.e. “equity”) in two warehouse facilities. We may also invest, on an opportunistic basis, in corporate debt securities on a direct basis and a variety of other corporate credits.

The Fund has thus far implemented its investment objective by purchasing in both the primary and secondary markets the income notes and subordinated notes (sometimes referred to as “equity”) and junior debt tranches of various CLO vehicles and the equity tranches of various warehouse facilities. Structurally, CLO vehicles are entities formed to purchase and manage portfolios of primarily senior secured corporate loans.

The loans within a CLO vehicle are limited to those which, on an aggregated basis, meet established credit criteria. They are subject to concentration limitations in order to limit a CLO vehicle’s exposure to individual credits and industries. The CLO vehicles which the Fund focuses on are collateralized primarily by senior secured corporate loans, and generally have minimal or no exposure to real estate loans, mortgage loans or to pools of consumer-based debt, such as credit card receivables or auto loans.

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Investment Outlook

We believe that the market for CLO-related assets continues to provide us with the opportunities to generate attractive risk-adjusted returns within our strategies over the long term. We believe that a number of factors support this conclusion, including:

An investment in our Fund carries with it a significant number of meaningful risks, certain of which are discussed in the notes to our financial statements. Investors should read “Note 11. Risks and Uncertainties” carefully.

We continue to review a large number of CLO investment vehicles in the current market environment, and we expect that the majority of our portfolio holdings, over the near to intermediate-term, will continue to be focused on CLO debt and equity securities, with the more significant focus over the near-term on CLO equity securities and warehouse facilities.

Jonathan H. Cohen
Chief Executive Officer

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OXFORD LANE CAPITAL CORP.
 
TOP TEN HOLDINGS
AS OF SEPTEMBER 30, 2015
(unaudited)

Investment		Maturity				Fair Value				% of Net Assets
Seneca Park CLO, Ltd. – subordinated notes			July 17, 2026			$	24,029,601				11.89	%
Catamaran CLO 2015-1 Ltd – subordinated notes			April 22, 2027				20,784,480				10.29	%
Atrium XII CLO – subordinated notes			July 20, 2016				20,000,000				9.90	%
Wind River 2014-3 CLO Ltd. – subordinated notes			January 22, 2027				18,802,600				9.31	%
Battalion CLO VII Ltd. – subordinated notes			October 17, 2026				18,240,000				9.03	%
OFSI Fund VII, Ltd. – subordinated notes			October 18, 2026				18,191,234				9.00	%
TICP CLO IV, Ltd. – subordinated notes			July 20, 2027				16,195,000				8.01	%
Cedar Funding III CLO, Ltd. – subordinated notes			May 20, 2026				16,000,000				7.92	%
AIMCO CLO, Series 2014-A – subordinated notes			July 20, 2026				14,841,274				7.34	%
OZLM VII Ltd. – subordinated notes			July 17, 2026				14,553,189				7.20	%

Portfolio Investment Breakdown
(Excludes cash and other assets)

FAIR VALUE BY INVESTMENT TYPE

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OXFORD LANE CAPITAL CORP.
 
STATEMENT OF ASSETS AND LIABILITIES
(unaudited)

		September 30, 2015
ASSETS
Investments, at fair value (cost: $408,846,697)		$	360,761,943
Cash and cash equivalents			2,769,774
Distributions receivable			11,839,389
Deferred issuance costs on mandatorily redeemable preferred stock			6,345,289
Deferred offering costs on common stock			114,655
Interest receivable, including accrued interest purchased			163,093
Fee receivable			219,629
Prepaid expenses and other assets			17,631
Total assets			382,231,403
LIABILITIES
Mandatorily redeemable preferred stock, net of discount (10,000,000 shares authorized, and 6,790,433 shares issued and outstanding)			165,339,093
Distribution payable			10,704,791
Investment advisory fees payable to affiliate			2,239,798
Incentive fees payable to affiliate			1,478,338
Administrator expense payable			29,055
Directors' fees payable			49,000
Accrued expenses			321,532
Total liabilities			180,161,607
COMMITMENTS AND CONTINGENCIES (See Note 8)
NET ASSETS applicable to common stock, $0.01 par value, 90,000,000 shares authorized, and 17,841,318 shares issued and outstanding		$	202,069,796
NET ASSETS consist of:
Paid in capital			275,702,099
Accumulated net realized loss on investments			(8,217,505	)
Net unrealized depreciation on investments			(48,084,754	)
Distributions in excess of net investment income			(17,330,044	)
Total net assets		$	202,069,796
Net asset value per common share		$	11.33
Market price per share		$	11.41
Market price premium to net asset value per share			0.71	%

 
 
See Accompanying Notes

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OXFORD LANE CAPITAL CORP.
 
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2015
(unaudited)

COMPANY(1)		INDUSTRY				INVESTMENT				PRINCIPAL AMOUNT				COST				FAIR VALUE(2)				% of Net Assets
Collateralized Loan Obligation – Debt Investments
Neuberger Berman CLO XIII, Ltd.			structured finance				CLO secured notes –  Class F(3)(4)(5) (LIBOR + 6.50%, due January 23, 2024)			$	4,500,000			$	3,941,891			$	3,826,800
OFSI Fund VII, Ltd.			structured finance				CLO secured notes –  Class F(3)(4)(5) (LIBOR + 5.65%, due October 18, 2026)				5,564,000				4,664,211				4,074,517
Telos CLO 2013-3, Ltd.			structured finance				CLO secured notes –  Class F(3)(4)(5) (LIBOR + 5.50%, due January 17, 2024)				3,000,000				2,733,138				2,300,700
Total Collateralized Loan Obligation – Debt Investments														$	11,339,240			$	10,202,017				5.05	%
Collateralized Loan Obligation – Equity Investments
AIMCO CLO, Series 2014-A			structured finance				CLO subordinated notes(4)(6) (Estimated yield 14.41%, maturity July 20, 2026)			$	26,000,000			$	19,053,776			$	14,841,274
AMMC CLO XII, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 15.35%, maturity May 10, 2025)				7,178,571				4,393,272				4,307,143
Ares XXV CLO Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 9.52%, maturity January 17, 2024)				15,500,000				10,345,503				8,370,000
Ares XXVI CLO Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 16.10%, maturity April 15, 2025)				7,500,000				4,692,213				3,866,714
Ares XXIX CLO Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 12.27%, maturity April 17, 2026)				12,750,000				9,975,262				7,440,953
Atrium XII CLO			structured finance				CLO subordinated notes(8)(9) (Estimated yield 14.00%, maturity July 20, 2016)				20,000,000				20,000,000				20,000,000
Battalion CLO VII Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 13.07%, maturity October 17, 2026)				24,000,000				20,422,309				18,240,000
Benefit Street Partners CLO IV Ltd.			structured finance				CLO preference shares(4)(6) (Estimated yield 12.81%, maturity July 20, 2026)				10,000,000				8,994,139				7,600,000
Benefit Street Partners CLO V Ltd.			structured finance				CLO preference shares(4)(6) (Estimated yield 11.67%, maturity October 20, 2026)				15,000,000				12,620,624				11,250,000
B&M CLO 2014-1 LTD			structured finance				CLO subordinated notes(4)(6) (Estimated yield 18.46%, maturity April 16, 2026)				2,000,000				1,303,373				1,140,000
Carlyle Global Market Strategies CLO 2013-2, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 22.19%, maturity April 18, 2025)				10,125,000				6,899,534				7,028,021
Carlyle Global Market Strategies CLO 2015-1, Ltd.			structured finance				CLO subordinated notes(4)(6)(8) (Estimated yield 14.79%, maturity April 20, 2027)				5,000,000				3,794,992				3,700,000
Cedar Funding III CLO, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 8.73%, maturity May 20, 2026)				25,000,000				19,288,442				16,000,000
Catamaran CLO 2015-1 Ltd			structured finance				CLO subordinated notes(4)(6)(8) (Estimated yield 14.70%, maturity April 22, 2027)				27,348,000				22,903,683				20,784,480
Hull Street CLO Ltd.			structured finance				CLO subordinated notes(4)(6)(8) (Estimated yield 13.87%, maturity October 18, 2026)				15,000,000				12,729,732				9,076,500

(Continued on next page)

OXFORD LANE CAPITAL CORP.
 
SCHEDULE OF INVESTMENTS – (continued)
SEPTEMBER 30, 2015
(unaudited)

COMPANY(1)		INDUSTRY				INVESTMENT				PRINCIPAL AMOUNT				COST				FAIR VALUE(2)				% of Net Assets
Ivy Hill Middle Market Credit VII, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 16.44%, maturity October 20, 2025)			$	7,000,000			$	5,943,620			$	5,891,867
Longfellow Place CLO IX, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 27.59%, maturity January 15, 2024)				2,562,000				1,419,039				1,157,198
Mountain Hawk II CLO, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 10.44%, maturity July 20, 2024)				10,000,000				9,147,001				5,043,000
Mountain Hawk III CLO, Ltd.			structured finance				CLO income notes(4)(6) (Estimated yield 7.22%, maturity April 18, 2025)				15,000,000				12,022,182				6,403,308
			structured finance				CLO M income notes(7) (Maturity April 18, 2025)				2,389,676				—				539,194
Neuberger Berman CLO XIII, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 8.10%, maturity January 23, 2024)				6,255,000				3,118,987				2,314,350
OFSI Fund VII, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 12.67%, maturity October 18, 2026)				28,840,000				22,372,224				18,191,234
OXLM XIV, LTD			structured finance				CLO subordinated notes(8)(9) (Estimated yield 14.00%, maturity December 19, 2016)				10,000,000				10,000,000				10,000,000
OZLM VII Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 17.51%, maturity July 17, 2026)				20,000,000				15,762,441				14,553,189
Parallel 2015-1 Ltd.			structured finance				CLO subordinated notes(4)(6)(8) (Estimated yield 14.98%, maturity July 20, 2027)				7,750,000				6,430,906				6,045,000
Seneca Park CLO, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 14.78%, maturity July 17, 2026)				32,000,000				26,199,975				24,029,601
Shackleton II CLO, Ltd.			structured finance				CLO income notes(4)(6) (Estimated yield 10.68%, maturity October 20, 2023)				10,000,000				8,118,110				6,600,000
Sound Point CLO VIII, Ltd.			structured finance				CLO subordinated notes(4)(6)(8) (Estimated yield 17.51%, maturity April 15, 2027)				5,000,000				3,769,779				3,708,763
			structured finance				CLO subordinated F notes(7) (Maturity April 15, 2027)				224,719				202,247				215,549
Sound Point CLO IX, Ltd.			structured finance				CLO subordinated notes(4)(6)(8) (Estimated yield 15.30%, maturity July 20, 2027)				10,000,000				8,567,091				8,300,000
Telos CLO 2013-3, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 15.82%, maturity January 17, 2024)				13,333,334				9,728,331				9,066,667
Telos CLO 2013-4, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 22.07%, maturity July 17, 2024)				8,700,000				5,911,102				6,077,863
TICP CLO IV, Ltd.			structured finance				CLO subordinated notes(4)(6)(8) (Estimated yield 14.83%, maturity July 20, 2027)				19,750,000				16,806,461				16,195,000
Venture XIII, CLO Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 15.70%, maturity June 10, 2025)				8,500,000				6,197,498				5,695,000
Venture XVI CLO, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 17.34%, maturity April 15, 2026)				15,000,000				12,221,596				10,521,911

(Continued on next page)

OXFORD LANE CAPITAL CORP.
 
SCHEDULE OF INVESTMENTS – (continued)
SEPTEMBER 30, 2015
(unaudited)

COMPANY(1)		INDUSTRY				INVESTMENT				PRINCIPAL AMOUNT				COST				FAIR VALUE(2)				% of Net Assets
Venture XVII CLO, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 16.50%, maturity July 15, 2026)			$	13,000,000			$	9,943,584			$	9,010,051
Venture XVIII CLO, Ltd.			structured finance				CLO subordinated notes(4)(6) (Estimated yield 14.84%, maturity October 15, 2026)				7,000,000				5,702,248				4,855,752
			structured finance				CLO subordinated F notes(7) (Maturity October 15, 2026)				357,055				—				312,108
Wind River 2014-3 CLO Ltd.			structured finance				CLO subordinated notes(4)(6)(8) (Estimated yield 14.51%, maturity January 22, 2027)				22,930,000				20,506,181				18,802,600
Other CLO equity related investments			structured finance				CLO other(7)				—				—				3,385,636
Total Collateralized Loan Obligation – Equity Investments														$	397,507,457			$	350,559,926				173.48	%
Total Investments														$	408,846,697			$	360,761,943				178.53	%

 
 
See Accompanying Notes

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OXFORD LANE CAPITAL CORP.
 
STATEMENT OF OPERATIONS
(unaudited)

		Six Months Ended September 30, 2015
INVESTMENT INCOME
Interest income – equity investments		$	28,597,574
Interest income – debt investments			530,528
Other income			716,737
Total investment income			29,844,839
EXPENSES
Interest expense on mandatorily redeemable preferred stock			7,491,825
Investment advisory fees			4,269,624
Incentive fees			3,299,527
Professional fees			419,276
Administrator expense			375,664
Directors' fees			103,500
General and administrative			622,479
Insurance expense			18,049
Transfer agent and custodian fees			46,785
Total expenses			16,646,729
Net investment income			13,198,110
Net change in unrealized depreciation on investments			(43,339,821	)
Net realized gain on investments			685,266
Net realized gain and net change in unrealized depreciation on investments			(42,654,555	)
Net decrease in net assets resulting from operations		$	(29,456,445	)

 
 
See Accompanying Notes

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OXFORD LANE CAPITAL CORP.
 
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)

		Six Months Ended September 30, 2015				Year Ended March 31, 2015
(Decrease) increase in net assets from operations:
Net investment income		$	13,198,110			$	21,274,028
Net realized gain on investments			685,266				9,154,457
Net change in unrealized depreciation on investments			(43,339,821	)			(27,097,134	)
Net (decrease) increase in net assets resulting from operations			(29,456,445	)			3,331,351
Distributions from net investment income			(21,368,219	)			(35,388,398	)
Distributions from realized gain on investments			—				(2,159,379	)
Total distributions to shareholders			(21,368,219	)			(37,547,777	)
Capital share transaction:
Issuance of common stock (net of underwriting fees and offering costs $1,164,674 and $177,014, respectively)			27,005,326				7,374,103
Repurchase of common stock (including fees)			(430,278	)			(1,048,584	)
Reinvestment of distributions			1,386,580				4,994,538
Net increase in net assets from capital share transactions			27,961,628				11,320,057
Total decrease in net assets			(22,863,036	)			(22,896,369	)
Net assets at beginning of period			224,932,832				247,829,201
Net assets at end of period (including distributions in excess of net investment income of $17,330,044 and $9,159,935, respectively)		$	202,069,796			$	224,932,832
Capital share activity:
Shares sold			1,800,000				462,727
Shares repurchased			(33,776	)			(71,973	)
Shares issued from reinvestment of distributions			102,713				340,898
Net increase in capital share activity			1,868,937				731,652

 
 
See Accompanying Notes

TABLE OF CONTENTS

OXFORD LANE CAPITAL CORP.
 
STATEMENT OF CASH FLOWS
(unaudited)

		Six Months Ended September 30, 2015
CASH FLOWS FROM OPERATING ACTIVITIES
Net decrease in net assets resulting from operations		$	(29,456,445	)
Adjustments to reconcile net decrease in net assets resulting from operations to net cash used in operating activities:
Amortization/accretion of discounts and premiums			(27,715,771	)
Amortization of deferred issuance costs on mandatorily redeemable preferred stock			890,158
Accretion of discount on mandatorily redeemable preferred stock			255,052
Purchases of investments			(95,311,019	)
Sales of investments			24,212,017
Repayments of principal and reductions to investment cost value			43,116,990
Net change in unrealized depreciation on investments			43,339,821
Decrease in deferred offering costs			246,296
Net realized gain on investments			(685,266	)
Decrease in distribution receivable			1,459,266
Decrease in fee receivable			176,063
Decrease in interest receivable			161,885
Decrease in prepaid expenses and other assets			18,050
Increase in investment advisory fees payable			351,342
Decrease in incentive fees payable			(164,802	)
Increase in directors' fees payable			21,500
Decrease in administrator expense payable			(75,276	)
Decrease in accrued offering costs			(27,839	)
Decrease in accrued expenses			(251,064	)
Net cash used in operating activities			(39,439,042	)
CASH FLOWS FROM FINANCING ACTIVITIES
Distributions paid (net distribution reinvestment plan of $1,386,580)			(9,276,842	)
Proceeds from the issuance of common stock			28,170,000
Underwriting fees and offering costs for the issuance of common stock			(1,164,674	)
Repurchase of common stock (including fees)			(430,278	)
Extinguishment of mandatorily redeemable preferred stock			(15,811,250	)
Proceeds from the issuance of mandatorily redeemable preferred stock (net discount of $704,082)			34,499,993
Deferred issuance costs for the issuance of preferred stock			(1,509,880	)
Net cash provided by financing activities			34,477,069
Net decrease in cash and cash equivalents			(4,961,973	)
Cash and cash equivalents, beginning of period			7,731,747
Cash and cash equivalents, end of period		$	2,769,774
SIGNIFICANT NON-CASH TRANSACTIONS
Value of shares issued in connection with distribution reinvestment plan		$	1,386,580
SUPPLEMENTAL DISCLOSURES
Cash paid for interest		$	6,317,916
Distribution payable		$	10,704,791

 
 
See Accompanying Notes

TABLE OF CONTENTS

OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 1. ORGANIZATION

Oxford Lane Capital Corp. (“OXLC,” “we” or the “Fund”) was incorporated under the General Corporation Laws of the State of Maryland on June 9, 2010. The Fund is a non-diversified closed-end management investment company that has registered under the Investment Company Act of 1940, as amended (the “1940 Act”). In addition, the Fund has elected to be treated for tax purposes as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Fund’s investment objective is to maximize its portfolio’s risk adjusted total return and seeks to achieve its investment objective by investing in structured finance investments, specifically collateralized loan obligation (“CLO”) vehicles which primarily own senior corporate debt securities. The Fund follows the accounting and reporting requirements of ASC 946, Financial Services — Investment Companies (“ASC 946”), for reporting on Form N-CSR and the Fund maintains its accounting records in U.S. dollars.

OXLC’s investment activities are managed by Oxford Lane Management, LLC (“OXLC Management”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. BDC Partners, LLC (“BDC Partners”) is the managing member of OXLC Management and serves as the administrator of OXLC.

NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

USE OF ESTIMATES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which require management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimates.

CASH AND CASH EQUIVALENTS

The Fund considers all highly liquid investments with an original maturity of three months or less at the time of purchase to be cash equivalents. At September 30, 2015, cash and cash equivalents consisted solely of demand deposits.

INVESTMENT VALUATION

The Fund fair values its investment portfolio in accordance with the provisions of ASC 820, Fair Value Measurement and Disclosure. Estimates made in the preparation of OXLC’s financial statements include the valuation of investments and the related amounts of unrealized appreciation and depreciation of investments recorded. OXLC believes that there is no single definitive method for determining fair value in good faith. As a result, determining fair value requires that judgment be applied to the specific facts and circumstances of each portfolio investment while employing a consistently applied valuation process for the types of investments OXLC makes.

ASC 820-10 clarified the definition of fair value and requires companies to expand their disclosure about the use of fair value to measure assets and liabilities in interim and annual periods subsequent to initial recognition. ASC 820-10 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820-10 also establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. These tiers include: Level 1, defined as observable inputs such as quoted prices in active markets; Level 2, which includes inputs such as quoted prices for similar securities in active markets and quoted prices for identical securities in markets that are not active; and Level 3, defined as unobservable inputs for which little or no market data exists, therefore requiring an entity to develop its own assumptions. OXLC considers the attributes of current market conditions on an on-going basis and has determined that due to the general illiquidity of the market for its investment portfolio, whereby little or no market data exists, all of OXLC’s investments are based upon “Level 3” inputs as of September 30, 2015.

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  – (continued)

The Fund may also invest directly in senior secured loans (either in the primary or secondary markets). In valuing such investments, OXLC Management will prepare an analysis of each loan, including a financial summary, covenant compliance review, recent trading activity in the security, if known, and other business developments related to the portfolio company. Any available information, including non-binding indicative bids obtained from a recognized industry pricing service and agent banks which may not be considered reliable, will be presented to the OXLC Board of Directors to consider in its determination of fair value. In some instances, there may be limited trading activity in a security even though the market for the security is considered not active. In such cases the Board will consider the number of trades, the size and timing of each trade and other circumstances around such trades, to the extent such information is available, in its determination of fair value. At September 30, 2015, the Fund did not have any direct investments in senior secured loans.

Collateralized Loan Obligations — Debt and Equity

OXLC has acquired debt and equity positions in CLO investment vehicles and has purchased CLO warehouse facilities. These investments are special purpose financing vehicles. In valuing such investments, OXLC considers the operating metrics of the specific investment vehicle, including compliance with collateralization tests, defaulted and restructured securities, and payment defaults, if any. In addition, OXLC considers the indicative prices provided by a recognized industry pricing service as a primary source, and the implied yield of such prices, supplemented by actual trades executed in the market at or around period-end, as well as the indicative prices provided by the broker who arranges transactions in such investment vehicles. OXLC also considers those instances in which the record date for an equity distribution payment falls on the last day of the period, and the likelihood that a prospective purchaser would require a downward adjustment to the indicative price representing substantially all of the pending distribution. Additional factors include any available information on other relevant transactions including firm bids and offers in the market and information resulting from bids-wanted-in-competition. OXLC Management or the Board of Directors may request an additional analysis by a third-party firm to assist in the valuation process of CLO investment vehicles. All information is presented to the Board of Directors for its determination of fair value of these investments.

SHARE REPURCHASES

From time to time, the Fund’s Board of Directors may authorize a share repurchase program under which shares are purchased in open market transactions. Since the Fund is incorporated in the State of Maryland, state law requires share repurchases to be accounted for as a share retirement. The cost of repurchased shares is charged against capital on the settlement date. Refer to Note 14 for further details.

PREFERRED STOCK

The Fund carries its mandatorily redeemable preferred stock at accreted cost on the Statement of Assets and Liabilities, and not fair value. The Fund considers its preferred stock to be a Level 2 liability within the fair value hierarchy. See “Note 6. Mandatorily Redeemable Preferred Stock.”

PREPAID EXPENSES

Prepaid expenses consist primarily of insurance costs.

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  – (continued)

INVESTMENT INCOME

Interest Income — Equity Investments

Interest income from investments in the equity class securities of CLO vehicles (typically income notes or subordinated notes) is recorded using the effective interest method in accordance with the provisions of ASC 325-40, Beneficial Interests in Securitized Financial Assets, based upon an estimation of an effective yield to maturity utilizing assumed cash flows, including those CLO equity investments that have not made their inaugural distribution for the relevant period end. The Fund monitors the expected residual payments, and effective yield is determined and updated quarterly, as needed. Accordingly, investment income recognized on CLO equity securities in the GAAP statement of operations differs from both the tax-basis investment income and from the cash distributions actually received by the Fund during the period.

The Fund also records income on its investments in CLO warehouse facilities based on a stated rate as per the underlying note purchase agreement or an estimated rate.

Interest Income — Debt Investments

Interest income is recorded on an accrual basis using the contractual rate applicable to each debt investment and includes the accretion of discounts and amortization of premiums. Discounts from and premiums to par value on securities purchased are accreted/amortized into interest income over the life of the respective security using the effective yield method. The amortized cost of investments represents the original cost adjusted for the accretion of discounts and amortization of premiums, if any.

Generally, when interest and/or principal payments on a loan become past due, or if the Fund otherwise does not expect the borrower to be able to service its debt and other obligations, the Fund will place the loan on non-accrual status and will generally cease recognizing interest income on that loan for financial reporting purposes until all principal and interest have been brought current through payment or due to restructuring such that the interest income is deemed to be collectible. The Fund generally restores non-accrual loans to accrual status when past due principal and interest is paid and, in the Fund’s judgment, the payments are likely to remain current. As of September 30, 2015, the Fund had no non-accrual assets held in its portfolio.

Other Income

Other income includes distributions from fee letters and success fees associated with portfolio investments. Distributions from CLO equity fee letter investments are an enhancement to the return on a CLO equity investment and are based upon a percentage of the collateral manager’s fees, and are recorded as other income when earned. The Fund may also earn success fees associated with its investments in CLO warehouse facilities, which are contingent upon a take-out of the warehouse by a permanent CLO structure; such fees are earned and recognized when the take-out is completed.

U.S. FEDERAL INCOME TAXES

The Fund intends to operate so as to qualify to be taxed as a RIC under Subchapter M of the U.S. Tax Code and, as such, to not be subject to U.S. federal income tax on the portion of its taxable income and gains distributed to stockholders. To qualify for RIC tax treatment, OXLC is required to distribute at least 90% of its investment company taxable income, as defined by the Code.

Because U.S. federal income tax regulations differ from GAAP, distributions in accordance with tax regulations may differ from net investment income and realized gains recognized for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statement to reflect their tax character. Temporary differences arise when certain items of income, expense, gain or loss are recognized at some time in the future.

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  – (continued)

Differences between distributions and net investment income may also result from the treatment of short-term gains as ordinary income for tax purposes. Our distribution policy is based upon our estimate of our distributable net investment income, which includes actual distributions from our CLO equity class investments, with further consideration given to our realized gains or losses on a taxable basis.

As of September 30, 2015, the aggregate gross unrealized appreciation for tax purposes was $4,843,990; and aggregate gross unrealized depreciation was $88,289,481. For tax purposes, the cost basis of the portfolio investments at September 30, 2015 was $444,207,434.

DISTRIBUTIONS

Distributions from net investment income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which differ from GAAP. Distributions from net investment income, if any, are expected to be declared and paid quarterly. Net realized capital gains, unless offset by any available capital loss carry-forward, are typically distributed to shareholders annually. Distributions to shareholders are recorded on the ex-dividend date and are automatically reinvested in full and fractional shares of the Fund in accordance with the Fund’s distribution reinvestment plan, unless the shareholder has elected to have them paid in cash.

Amounts required to be distributed reflect estimates made by the Fund. Distributions paid by the Fund are subject to re-characterization for tax purposes.

SECURITIES TRANSACTIONS

Securities transactions are recorded on trade date. Realized gains and losses on investments sold are recorded on the basis of specific identification.

DEFERRED OFFERING COSTS ON COMMON STOCK

Deferred offering costs consist principally of legal, accounting, filing and underwriting fees incurred in relation to an offering proposed by the Fund. The deferred offering costs will be charged to capital when the offering takes place or as shares are issued. Costs related to shelf offerings are charged to capital as securities registered are issued. Deferred costs are periodically reviewed and expensed if the related registration statement is no longer active or if the offering is unsuccessful.

DEFERRED ISSUANCE COSTS ON MANDATORILY REDEEMABLE PREFERRED STOCK

Deferred debt issuance costs consist of fees and expenses incurred in connection with the closing of preferred stock offerings, and are capitalized when incurred. These costs are amortized using the straight line method over the term of the respective preferred stock. This amortization expense is included in interest expense in the Fund’s financial statements. Upon early termination of preferred stock, the remaining balance of unaccreted fees related to such debt is accelerated into interest expense.

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 3. FAIR VALUE

The Fund’s assets measured at fair value on a recurring basis subject to the disclosure requirements of ASC 820-10 at September 30, 2015, were as follows:

		Fair Value Measurements at Reporting Date Using												Total
Assets		Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
		($ in millions)				($ in millions)				($ in millions)				($ in millions)
CLO debt		$	—			$	—			$	10.2			$	10.2
CLO equity			—				—				350.6				350.6
Total		$	—			$	—			$	360.8			$	360.8

Financial Instruments Disclosed, But Not Carried, At Fair Value

The following table presents the carrying value and fair value of the Fund’s financial liabilities disclosed, but not carried, at fair value as of September 30, 2015 and the level of each financial liability within the fair value hierarchy:

($ in millions)		Carrying Value				Fair Value				Level 1				Level 2				Level 3
Series 2023 Term Preferred Shares		$	109.1			$	105.2			$	—			$	105.2			$	—
Series 2024 Term Preferred Shares			60.7				61.1				—				61.1				—
Series 2017 Term Preferred Shares(1)			—				—				—				—				—
Total		$	169.8			$	166.3			$	—			$	166.3			$	—

Significant Unobservable Inputs for Level 3 Investments

In accordance with ASC 820-10, the following table provides quantitative information about the Fund’s Level 3 fair value measurements as of September 30, 2015. The Fund’s valuation policy, as described above, establishes parameters for the sources and types of valuation analysis, as well as the methodologies and inputs that the Fund uses in determining fair value. If the Board of Directors or OXLC Management determines that additional techniques, sources or inputs are appropriate or necessary in a given situation, such additional work may be undertaken. The weighted average calculations in the table below are based on the principal balances within each respective valuation techniques and methodologies and asset category.

Quantitative Information about Level 3 Fair Value Measurements

Assets

Fair Value as of September 30, 2015

Valuation Techniques/ Methodologies

Unobservable Input

Range/Weighted Average

($ in millions)

CLO debt

$

10.2

Market quotes

NBIB

(1)

73.2% – 85.0%/78.1%

CLO equity

319.7

Market quotes

NBIB

(1)

37.0% – 100.0%/69.5%

26.4

Recent transactions

Actual trade

(2)

42.7% – 100.0%/75.4%

CLO equity – side letters

4.5

Discounted cash flow

Discount rate

12.9% – 14.6%/13.4%

Total Fair Value for Level 3 Investments

$

360.8

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 3. FAIR VALUE  – (continued)

Significant increases or decreases in any of the unobservable inputs in isolation may result in a significantly lower or higher fair value measurement.

A reconciliation of the fair value of investments for the year ended September 30, 2015, utilizing significant unobservable inputs, is as follows:

		Collateralized Loan Obligation Debt Investments				Collateralized Loan Obligation Equity Investments				Total
			($ in millions)				($ in millions)				($ in millions)
Balance at March 31, 2015		$	15.7			$	353.9			$	369.6
Realized gains included in earnings			—				0.7				0.7
Unrealized depreciation included in earnings(1)			(0.8	)			(42.6	)			(43.4	)
Amortization of discounts and premiums			0.1				27.7				27.8
Purchases			—				73.4				73.4
Repayments, sales of principal and reductions to investment cost value			(4.8	)			(62.5	)			(67.3	)
Transfers in and/or out of level 3			—				—				—
Balance at September 30, 2015		$	10.2			$	350.6			$	360.8
The amount of total gains for the period included in earnings attributable to the change in unrealized gains or losses related to our Level 3 assets still held at the reporting date and reported within the net change in unrealized gains or losses on investments in our Statement of Operations.		$	(1.0	)		$	(42.6	)		$	(43.6	)

The Fund’s policy is to recognize transfers in and transfers out of valuation levels as of the beginning of the reporting period. There were no transfers between Level 1, Level 2 and Level 3 during the six months ended September 30, 2015.

NOTE 4. RELATED PARTY TRANSACTIONS

Effective September 9, 2010, the Fund entered into an Investment Advisory Agreement with OXLC Management, a registered investment adviser under the Investment Advisers Act of 1940, as amended. BDC Partners is the managing member of OXLC Management and serves as the administrator of OXLC.

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 4. RELATED PARTY TRANSACTIONS  – (continued)

Pursuant to the Investment Advisory Agreement, the Fund has agreed to pay OXLC Management a fee for advisory and management services consisting of two components — a base management fee and an incentive fee.

The base-management fee is calculated at an annual rate of 2.00% of the Fund’s gross assets. For services rendered under the Investment Advisory Agreement, the base management fee is payable quarterly in arrears. The base management fee is calculated based on the average value of the Fund’s gross assets, at the end of the two most recently completed calendar quarters, and appropriately adjusted for any share issuances or repurchases during the current calendar quarter. Base management fees for any partial month or quarter will be appropriately pro-rated.

The incentive fee is calculated and payable quarterly in arrears based on the pre-incentive fee net investment income for the immediately preceding calendar quarter. For this purpose, pre-incentive fee net investment income means interest income from equity investments, interest income from debt investments and any other income (including any other fees, such as commitment, origination, structuring, diligence and consulting fees or other fees that are received from an investment) accrued during the calendar quarter, minus our operating expenses for the quarter (including the base management fee, expenses payable under the Administration Agreement to BDC Partners, and any interest expense and dividends paid on any issued and outstanding preferred stock, but excluding the incentive fee). Pre-incentive fee net investment income includes accrued income that we have not yet received in cash, such as the amount of any market discount we may accrue on debt instruments we purchase below par value. Pre-incentive fee net investment income does not include any realized capital gains. Pre-incentive fee net investment income, expressed as a rate of return on the value of our net assets at the end of the immediately preceding calendar quarter, is compared to a hurdle of 1.75% per quarter (7.00% annualized). For such purposes, our quarterly rate of return is determined by dividing our pre-incentive net investment income by our reported net assets as of the prior period end. Our net investment income used to calculate this part of the incentive fee is also included in the amount of our gross assets used to calculate the 2.00% base management fee. We pay Oxford Lane Management an incentive fee with respect to our pre-incentive fee net investment income in each calendar quarter as follows:

There is no offset in subsequent quarters for any quarter in which an incentive fee is not earned. For the six months ended September 30, 2015, the Fund accrued incentive fee expenses of approximately $3.3 million. At September 30, 2015, the Fund had an incentive fee payable of approximately $1.5 million.

Effective September 9, 2010, the Fund entered into an administration agreement with BDC Partners to serve as its administrator. Under the administration agreement, BDC Partners performs, or oversees the

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 4. RELATED PARTY TRANSACTIONS  – (continued)

performance of, the Fund’s required administrative services, which include, among other things, being responsible for the financial records which the Fund is required to maintain and for preparation of the reports to the Fund’s stockholders.

In addition, BDC Partners assists the Fund in determining and publishing the Fund’s net asset value, overseeing the preparation and filing of the Fund’s tax returns and the printing and dissemination of reports to the Fund’s stockholders, and generally overseeing the payment of the Fund’s expenses and the performance of administrative and professional services rendered to the Fund by others. Payments under the administration agreement are equal to an amount based upon the Fund’s allocable portion of BDC Partners’ overhead in performing its obligations under the administration agreement, including rent, and the Fund’s allocable portion of the compensation of the Fund’s chief financial officer and any administrative support staff, including accounting personnel. Other expenses that are paid by the Fund include legal, compliance, audit and tax services, market data services, excise taxes, if any, and miscellaneous office expenses. The administration agreement may be terminated by either party without penalty upon 60 days’ written notice to the other party. The costs associated with the functions performed by our chief compliance officer are paid directly by the Fund pursuant to the terms of an agreement between the Fund and Alaric Compliance Services, LLC.

Until July 29, 2015, independent directors received an annual fee of $35,000, which was increased to $75,000 effective July 29, 2015. In addition, the independent directors receive $2,000 plus reimbursement of reasonable out-of-pocket expenses incurred in connection with attending each Board of Directors meeting, $1,500 plus reimbursement of reasonable out-of-pocket expenses incurred in connection with attending each Valuation Committee meeting and $1,000 plus reimbursement of reasonable out-of-pocket expenses incurred in connection with attending each Audit Committee meeting. Until July 29, 2015, the Chairman of the Audit Committee also received an additional annual fee of $5,000, which was increased to $10,000 effective July 29, 2015. No compensation will be paid to directors who are interested persons of the Fund as defined in the 1940 Act. Certain directors, officers and other related parties, including members of OXLC Management, owned an aggregate 3.1% of the common stock of the Fund at September 30, 2015.

NOTE 5. CONCENTRATION OF CREDIT RISK

The Fund places its cash and cash equivalents with financial institutions and, at times, cash held in checking accounts may exceed the Federal Deposit Insurance Corporation insured limit. In addition, the Fund’s portfolio may be concentrated in a limited number of investments, which will subject the Fund to a risk of significant loss if any of these investments defaults on its obligations under any of its debt securities that the Fund holds or if those sectors experience a market downturn.

NOTE 6. MANDATORILY REDEEMABLE PREFERRED STOCK

The Fund has authorized 10 million shares of mandatorily redeemable preferred stock, at a par value of $0.01 per share, and had 6,790,433 shares issued and outstanding at September 30, 2015. Since 2012 through September 30, 2015, the Fund completed underwritten public offerings of its 8.50% Series 2017 Term Preferred Shares (the “Series 2017 Shares”), 7.50% Series 2023 Term Preferred Shares (the “Series 2023 Shares”) and 8.125% Series 2024 Term Preferred Shares (the “Series 2024 Shares”), collectively the “Term Preferred Shares” or “Term Shares.” The Fund is required to redeem all of the outstanding Term Preferred Shares on their respective redemption dates, at a redemption price equal to $25 per share plus an amount equal to accumulated but unpaid dividends, if any, to the date of the redemption. OXLC cannot effect any amendment, alteration, or repeal of the Fund’s obligation to redeem all of the Term Shares without the prior unanimous vote or consent of the holders of such Term Shares. At any time on or after the optional redemption date, at the Fund’s sole option, the Fund may redeem the Term Shares at a redemption price per share equal to the sum of the $25 liquidation preference per share plus an amount equal to accumulated but unpaid dividends, if any, on such Term Shares.

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 6. MANDATORILY REDEEMABLE PREFERRED STOCK  – (continued)

On July 24, 2015 (the “Redemption Date”), the Fund redeemed all of the issued and outstanding 8.50% Series 2017 Shares. The Fund redeemed the Series 2017 Shares for a redemption price of $25 per share plus accrued but unpaid dividends to the Redemption Date.

The Fund’s Term Preferred Share activity for the six months ended September 30, 2015, was as follows:

		Series 2017(2) Term Preferred Shares				Series 2023 Term Preferred Shares				Series 2024 Term Preferred Shares				Total
Shares outstanding at March 31, 2015			632,450				2,954,770				2,427,500				6,014,720
Shares issued			—				1,408,163				—				1,408,163
Shares redeemed			(632,450	)			—				—				(632,450	)
Shares outstanding at September 30, 2015			—				4,362,933				2,427,500				6,790,433
Net proceeds from issuance		$	—			$	33,066,295			$	—			$	33,066,295
Discount on issuance		$	—			$	704,082			$	—			$	704,082

The Fund’s Term Preferred Share balances as of September 30, 2015, were as follows:

		Series 2017(2) Term Preferred Shares				Series 2023 Term Preferred Shares				Series 2024 Term Preferred Shares				Total
Principal value		$	—			$	109,073,325			$	60,687,500			$	169,760,825
Discount from issuances		$	—			$	(4,421,732	)		$	—			$	(4,421,732	)
Carrying value		$	—			$	104,651,593			$	60,687,500			$	165,339,093
Fair value(1)		$	—			$	105,190,315			$	61,124,450			$	166,314,765
Fair value price per share(1)		$	—			$	24.11			$	25.18				—

The terms of the Fund’s Term Preferred Share offerings are as set forth in the table below:

		Series 2017(2) Term Preferred Shares				Series 2023 Term Preferred Shares				Series 2024 Term Preferred Shares
Offering price per share		$	25.00			$	25.00			$	25.00
Term redemption date			December 31, 2017				June 30, 2023				June 30, 2024
Term redemption price per share		$	25.00			$	25.00			$	25.00
Optional redemption date			December 31, 2014				June 30, 2016				June 30, 2017
Stated interest rate			8.50	%			7.50	%			8.13	%

If the Fund fails to maintain an asset coverage ratio of at least 200%, the Fund will redeem a portion of the Term Preferred Shares in an amount at least equal to the lesser of (1) the minimum number of shares of Term Shares necessary to cause OXLC to meet its required asset coverage ratio, and (2) the maximum number of Term Shares that OXLC can redeem out of cash legally available for such redemption.

The aggregate accrued interest payable at September 30, 2015 was $0. Deferred issuance costs represent underwriting fees and other direct costs incurred that are related to the Fund’s Term Preferred Share offerings. As of September 30, 2015, OXLC had a deferred debt balance of approximately $6.3 million related to the Term Preferred Share issuances. This amount is being amortized and is included in interest expense in the

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 6. MANDATORILY REDEEMABLE PREFERRED STOCK  – (continued)

Statement of Operations over the term of the respective shares. The table below summarizes the components of interest expense, effective interest rates and cash paid on the Term Shares for the six months ended September 30, 2015:

		Series 2017 Term Preferred Shares(1)				Series 2023 Term Preferred Shares				Series 2024 Term Preferred Shares				Total
Stated interest expense		$	421,888			$	3,458,872			$	2,465,855			$	6,346,615
Amortization of deferred issuance costs			545,495				203,048				141,616				890,159
Discount expense			—				255,051				—				255,051
Total interest expense		$	967,383			$	3,916,971			$	2,607,471			$	7,491,825
Effective interest rate			19.94	%			8.01	%			8.58	%			11.02	%(2)
Cash paid for interest		$	421,888			$	3,430,173			$	2,465,855			$	6,317,916

NOTE 7. PURCHASES AND SALES AND REPAYMENTS OF SECURITIES

Purchases of securities totaled approximately $73.4 million, and sales and repayments of securities totaled approximately $24.2 million, excluding short-term investments, for the six months ended September 30, 2015.

NOTE 8. COMMITMENTS AND CONTINGENCIES

In the normal course of business, the Fund enters into a variety of undertakings containing a variety of warranties and indemnifications that may expose the Fund to some risk of loss. The risk of future loss arising from such undertakings, while not quantifiable, is expected to be remote.

As of September 30, 2015, the Fund did not have any commitments to purchase additional debt or equity investments.

The Fund is not currently subject to any material legal proceedings. From time to time, the Fund may be a party to certain legal proceedings in the ordinary course of business, including proceedings relating to the enforcement of the Fund’s rights under contracts with its portfolio companies. While the outcome of these legal proceedings cannot be predicted with certainty, the Fund does not expect that these proceedings will have a material effect upon its financial condition or results of operations.

NOTE 9. INDEMNIFICATION

Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these agreements cannot be known, however, the Fund expects any risk of loss to be remote.

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 10. FINANCIAL HIGHLIGHTS

Financial highlights for six months ended September 30, 2015, the years ended March 31, 2015, 2014, 2013, 2012 and for the period January 25, 2011 (Commencement of Operations) to March 31, 2011 are as follows:

		Six Months Ended September 30, 2015				Year Ended March 31, 2015				Year Ended March 31, 2014				Year Ended March 31, 2013				Year Ended March 31, 2012				January 25, 2011 (Commencement of Operations) to March 31, 2011
Per Share Data
Net asset value at beginning of period		$	14.08			$	16.26			$	16.20			$	17.05			$	18.19			$	16.80	(1)
Net investment income(2)			0.77				1.37				1.24				1.17				1.19				0.07
Net realized and unrealized capital (losses) gains(3)			(2.36	)			(1.14	)			1.56				3.54				0.83				(0.03	)
Total from investment operations			(1.59	)			0.23				2.80				4.71				2.02				0.04
Distributions per share from net investment income			(1.20	)			(2.26	)			(1.97	)			(2.13	)			(2.05	)			(0.25	)
Distributions per share from realized gain on investments			—				(0.14	)			(0.38	)			(0.07	)			—				—
Distributions per share based on weighted average share impact			(0.05	)			(0.02	)			(0.51	)			(0.28	)			(0.10	)			—
Total distributions(4)			(1.25	)			(2.42	)			(2.86	)			(2.48	)			(2.15	)			(0.25	)
Effect of shares issued/repurchased, net of underwriting expense(5)			0.10				0.02				0.16				(2.52	)			(0.77	)			1.79
Effect of offering costs(5)			(0.01	)			(0.01	)			(0.04	)			(0.56	)			(0.24	)			(0.19	)
Effect of shares issued/repurchased, net(5)			0.09				0.01				0.12				(3.08	)			(1.01	)			1.60
Net asset value at end of period		$	11.33			$	14.08			$	16.26			$	16.20			$	17.05			$	18.19
Per share market value at beginning of period		$	14.82			$	16.70			$	15.98			$	14.60			$	18.75			$	20.00
Per share market value at end of period		$	11.41			$	14.82			$	16.70			$	15.98			$	14.60			$	18.75
Total return(6)(7)			(15.54	)%			3.34	%			20.23	%			26.21	%			(10.75	)%			(5.0	)%
Shares outstanding at end of period			17,841,318				15,972,381				15,240,729				7,602,719				2,456,511				1,861,250
Ratios/Supplemental Data
Net assets at end of period (000’s)		$	202,070			$	224,933			$	247,829			$	123,140			$	41,879			$	33,863
Average net assets (000's).		$	217,002			$	239,703			$	154,112			$	100,481			$	36,644			$	34,389
Ratio of net investment income to average daily net assets			12.16	%(9)			8.88	%			6.55	%			5.90	%			7.18	%			3.51	%(8)
Ratio of expenses to average daily net assets			15.34	%(9)			10.58	%			8.38	%			5.65	%			6.50	%			4.79	%(8)
Portfolio turnover rate			6.47	%			69.05	%			28.81	%			12.29	%			0.22	%			0.05	%

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 10. FINANCIAL HIGHLIGHTS  – (continued)

NOTE 11. RISKS AND UNCERTAINTIES

The U.S. capital markets have recently experienced periods of extreme volatility and disruption. Disruptions in the capital markets tend to increase the spread between the yields realized on risk-free and higher risk securities, resulting in illiquidity in parts of the capital markets. The Fund believes these conditions may reoccur in the future. A prolonged period of market illiquidity may have an adverse effect on the Fund’s business, financial condition and results of operations. Adverse economic conditions could also limit the Fund’s access to the capital markets or result in a decision by lenders not to extend credit to the Fund. These events could limit the Fund’s investment purchases, limit the Fund’s ability to grow and negatively impact the Fund’s operating results.

OXLC Management’s investment team also presently manages the portfolios of TICC Capital Corp., a publicly-traded business development company that invests principally in the debt of U.S.-based companies, TICC Funding LLC, a direct subsidiary of TICC Capital Corp., the assets of which are included in the gross assets of TICC Capital Corp., and TICC CLO 2012-1 LLC, a direct subsidiary of TICC Capital Corp., the assets of which are included in the gross assets of TICC Capital Corp. Additionally, the OXLC Management’s investment team also manages the portfolio of Oxford Bridge, LLC, a limited liability company that invests principally in the equity of CLOs. In certain instances, the Fund may co-invest on a concurrent basis with affiliates of its investment adviser, subject to compliance with applicable regulations and regulatory guidance and our written allocation procedures. Such co-investment may require exemptive relief from the SEC. If relief is sought, there can be no assurance when, or if, such relief may be obtained. No co-investments that would require exemptive relief have been made. The affiliated entities of the Fund are subject to a written policy with respect to the allocation of investment opportunities.

Given the structure of the Fund’s Investment Advisory Agreement with OXLC Management, any general increase in interest rates will likely have the effect of making it easier for OXLC Management to meet the quarterly hurdle rate for payment of income incentive fees under the Investment Advisory Agreement without any additional increase in relative performance on the part of the Fund’s investment adviser. In addition, in view of the catch-up provision applicable to income incentive fees under the Investment Advisory Agreement, the investment adviser could potentially receive a significant portion of the increase in the Fund’s investment income attributable to such a general increase in interest rates. If that were to occur, the Fund’s increase in net earnings, if any, would likely be significantly smaller than the relative increase in the investment adviser’s income incentive fee resulting from such a general increase in interest rates.

The Fund’s portfolio consists of equity and junior debt investments in CLO vehicles, which involve a number of significant risks. CLO vehicles are typically highly levered (10 – 14 times), and therefore the junior

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 11. RISKS AND UNCERTAINTIES  – (continued)

debt and equity tranches that the Fund invests in are subject to a higher degree of risk of total loss. As of September 30, 2015, the CLO vehicles in which we were invested had average leverage of 10.5 times and ranged from approximately 7.1 times to 14.1 times levered. In particular, investors in CLO vehicles indirectly bear risks of the underlying debt investments held by such CLO vehicles. The Fund generally has the right to receive payments only from the CLO vehicles, and generally does not have direct rights against the underlying borrowers or the entity that sponsored the CLO vehicle. While the CLO vehicles the Fund targets generally enable the investor to acquire interests in a pool of senior loans without the expenses associated with directly holding the same investments, the Fund generally pays a proportionate share of the CLO vehicles’ administrative and other expenses. Although it is difficult to predict whether the prices of indices and securities underlying CLO vehicles will rise or fall, these prices (and, therefore, the prices of the CLO vehicles) will be influenced by the same types of political and economic events that affect issuers of securities and capital markets generally. The failure by a CLO vehicle in which we invest to satisfy financial covenants, including with respect to adequate collateralization and/or interest coverage tests, could lead to a reduction in its payments to us. In the event that a CLO vehicle fails certain tests, holders of debt senior to us may be entitled to additional payments that would, in turn, reduce the payments we would otherwise be entitled to receive. Separately, we may incur expenses to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting CLO vehicle or any other investment we may make. If any of these occur, it could materially and adversely affect our operating results and cash flows.

The interests the Fund has acquired in CLO vehicles are generally thinly traded or have only a limited trading market. CLO vehicles are typically privately offered and sold, even in the secondary market. As a result, investments in CLO vehicles may be characterized as illiquid securities. In addition to the general risks associated with investing in debt securities, CLO vehicles carry additional risks, including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the fact that the Fund’s investments in CLO tranches will likely be subordinate to other senior classes of note tranches thereof; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the CLO vehicle or unexpected investment results. The Fund’s net asset value may also decline over time if the Fund’s principal recovery with respect to CLO equity investments is less than the price that the Fund paid for those investments.

Further, to the extent income from the Fund’s CLO equity investments (which the Fund expects to decline as those vehicles deleverage after the end of their respective reinvestment periods) declines or if the Fund transitions its portfolio into lower yielding investments, the Fund’s ability to pay future distributions may be harmed.

An increase in LIBOR would materially increase the CLO vehicles’ financing costs. Since most of the collateral positions within the CLO investments have LIBOR floors, there may not be corresponding increases in investment income (if LIBOR increases but stays below the LIBOR floor rate of such investments) resulting in materially smaller distribution payments to the equity investors.

To illustrate the potential impact of a change in the underlying interest rate on our total estimated taxable income as it pertains to our CLO investments, we have assumed a 1% increase in the underlying three-month LIBOR, and no other change in our CLO portfolio, or to any of the credit, spread, default rate or other factors, as of September 30, 2015. Under this analysis, we currently estimate the effect on total estimated taxable income to equal a decrease of approximately $27.7 million on an annualized basis, reflecting the portfolio assets held within these CLO vehicles which have implied floors that would be unaffected by a 1% change in the underlying interest rate, compared to the debt carried by those CLO vehicles which are at variable rates and which would be affected by a change in three-month LIBOR. Although management believes that this analysis is broadly indicative of our existing LIBOR sensitivity, it does not adjust for

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 11. RISKS AND UNCERTAINTIES  – (continued)

changes in any of the other assumptions that could effect the return on CLO equity investments, both positively and negatively (and which could accompany changes to the three-month LIBOR rate), such as default rates, recovery rates, prepayment rates, reinvestment rates, and other factors that could affect the net increase (or decrease) in net assets resulting from operations. Accordingly, it is highly probable that actual results would differ materially from the results under this hypothetical analysis.

OXLC Management anticipates that the CLO vehicles in which the Fund invests may constitute “passive foreign investment companies” (“PFICs”). If the Fund acquires shares in a PFIC (including equity tranche investments in CLO vehicles that are PFICs), the Fund may be subject to federal income tax on a portion of any “excess distribution” or gain from the disposition of such shares even if such income is distributed as a taxable dividend by the Fund to its stockholders. Certain elections may be available to mitigate or eliminate such tax on excess distributions, but such elections (if available) will generally require the Fund to recognize its share of the PFICs income for each year regardless of whether the Fund receives any distributions from such PFICs. The Fund must nonetheless distribute such income to maintain its status as a RIC.

If the Fund holds more than 10% of the shares in a foreign corporation that is treated as a controlled foreign corporation (“CFC”) (including equity tranche investments in a CLO vehicle treated as a CFC), the Fund may be treated as receiving a deemed distribution (taxable as ordinary income) each year from such foreign corporation in an amount equal to the Fund’s pro rata share of the corporation’s income for the tax year (including both ordinary earnings and capital gains). If the Fund is required to include such deemed distributions from a CFC in the Fund’s income, it will be required to distribute such income to maintain its RIC status regardless of whether or not the CFC makes an actual distribution during such year.

Legislation commonly referred to as the “Foreign Account Tax Compliance Act” imposes a withholding tax of 30% on payments of U.S. source interest and dividends, or gross proceeds from the disposition of an instrument that produces U.S. source interest or dividends paid after December 31, 2018, to certain non-U.S. entities, including certain non-U.S. financial institutions and investment funds, unless such non-U.S. entity complies with certain reporting requirements regarding its United States account holders and its United States owners. Most CLO vehicles in which we invest will be treated as non-U.S. financial entities for this purpose, and therefore will be required to comply with these reporting requirements to avoid the 30% withholding. If a CLO vehicle in which we invest fails to properly comply with these reporting requirements, it could reduce the amounts available to distribute to equity and junior debt holders in such CLO vehicle, which could materially and adversely affect our operating results and cash flows.

If the Fund is required to include amounts in income prior to receiving distributions representing such income, the Fund may have to sell some of its investments at times and/or at prices management would not consider advantageous, raise additional debt or equity capital or forgo new investment opportunities. If the Fund is not able to obtain cash from other sources, it may fail to qualify for RIC tax treatment and thus become subject to corporate-level income tax. For additional discussion regarding the tax implications of a RIC, see “Note 2. Summary of Significant Accounting Policies — U.S. Federal Income Taxes.”

The Fund’s Series 2023 Shares and Series 2024 Shares pay dividends at a fixed dividend rate. Prices of fixed income investments vary inversely with changes in market yields. The market yields on securities comparable to the Series 2023 Shares and Series 2024 Shares may increase, which would likely result in a decline in the secondary market price of such shares prior to the term redemption date. The Fund may be unable to pay dividends on the Series 2023 Shares and Series 2024 Shares under some circumstances. The terms of any future indebtedness OXLC may incur could preclude the payment of dividends in respect of equity securities, including such shares, under certain conditions.

Given the ten-year original terms, and potential for early redemption, of the Series 2023 Shares and Series 2024 Shares, see “Note 6. Mandatorily Redeemable Preferred Stock,” holders of such shares may face

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 11. RISKS AND UNCERTAINTIES  – (continued)

an increased reinvestment risk, which is the risk that the return on an investment purchased with proceeds from the sale or redemption of such shares may be lower than the return previously obtained from the investment in such shares.

The Fund does not intend to have the Term Preferred Shares rated by any rating agency. Unrated securities usually trade at a discount to similar, rated securities. As a result, there is a risk that any such shares may trade at a price that is lower than they might otherwise trade if rated by a rating agency.

NOTE 12. RECENT ACCOUNTING PRONOUNCEMENTS

On February 18, 2015, the FASB issued ASU 2015-2, which updated consolidation standards under ASC Topic 810, “Consolidation.” Under this update, a new consolidation analysis is required for variable interest entities (“VIEs”) and will limit the circumstances in which investment managers and similar entities are required to consolidate the entities that they manage. The FASB decided to eliminate some of the criteria under which their fees are considered a variable interest and limit the circumstances in which variable interests in a VIE held by related parties of a reporting enterprise require the reporting enterprise to consolidate the VIE. The guidance is effective for public business entities for annual and interim periods in fiscal years beginning after December 15, 2015. The Fund is assessing the impact of the adoption of ASU 2015-2 on its financial statements.

On April 7, 2015, the FASB issued ASU 2015-3, “Simplifying the Presentation of Debt Issuance Costs,” which requires debt issuance costs to be presented in the balance sheet as a direct deduction from the carrying value of the associated debt liability, consistent with the presentation of a debt discount. For public business entities, the amendments in this update are effective for financial statements issued for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Early adoption of the amendments in this update is permitted for financial statements that have not been previously issued. The Fund is assessing the impact of the adoption of ASU 2015-3 on its financial statements.

In May 2015, the FASB issued Accounting Standards Update (“ASU”) 2015-07, “Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).” Under the amendments in this Update, investments for which fair value is measured at net asset value per share (or its equivalent) using the practical expedient should not be categorized in the fair value hierarchy. Removing those investments from the fair value hierarchy not only eliminates the diversity in practice resulting from the way in which investments measured at net asset value per share (or its equivalent) with future redemption dates are classified, but also ensures that all investments categorized in the fair value hierarchy are classified using a consistent approach. Investments that calculate net asset value per share (or its equivalent), but for which the practical expedient is not applied will continue to be included in the fair value hierarchy. ASU 2015-07 is effective for annual reporting periods beginning after December 15, 2015, and interim periods within those fiscal years. The Fund is assessing the impact of adoption of ASU 2015-07 on its financial statements.

NOTE 13. ISSUANCES OF EQUITY SECURITIES

On June 9, 2015, the Fund issued 1.8 million shares of common stock pursuant to an underwritten public offering at a public offering price of $15.65 per share. The total amount of capital raised from this offering was approximately $28.2 million and net proceeds were approximately $27.0 million after deducting underwriting discounts, commissions and offering expenses.

The Fund issued a total of 102,713 shares of common stock under the distribution reinvestment plan. The value of the shares issued under the distribution reinvestment plan for the six months ended September 30, 2015 was approximately $1.4 million. On October 30, 2015, the Fund issued a total of 136,747 shares of common stock under the distribution reinvestment plan to shareholders of record as of September 30, 2015.

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OXFORD LANE CAPITAL CORP.
 
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2015
(unaudited)

NOTE 13. ISSUANCES OF EQUITY SECURITIES  – (continued)

The value of the shares issued under the distribution reinvestment plan at October 30, 2015 for shareholders of record as of September 30, 2015 was approximately $1.5 million.

NOTE 14. SHARE REPURCHASE PROGRAM

On August 26, 2015, the Fund’s board of directors authorized a repurchase program to be in place until the earlier of March 31, 2016 or until $20 million of the Fund’s outstanding shares of common stock has been repurchased. Under the repurchase program, we are permitted to, but are not obligated to, repurchase our outstanding common stock in the open market from time to time provided that we comply with the prohibitions under the Fund’s Insider Trading Policies and Procedures and the guidelines specified in Rule 10b-18 of the Securities Exchange Act of 1934, as amended, including certain price, market volume and timing constraints. In addition, any repurchases will be conducted in accordance with the 1940 Act. During the six months ended September 30, 2015, the Fund repurchased 33,776 shares at a weighted average price of approximately $12.74 per share, inclusive of commissions. This represents a discount of 9.52% of the net asset value per share at March 31, 2015 and a premium of 12.44% of the net asset value per share at September 30, 2015. The total dollar amount of shares repurchased for the six months ended September 30, 2015 is approximately $0.4 million.

NOTE 15. SUBSEQUENT EVENTS

On November 4, 2015, the Board of Directors declared a distribution of $0.60 per share of common stock for the fiscal third quarter, payable on December 31, 2015 to shareholders of record as of December 16, 2015.

The Fund has evaluated events and transactions that occurred after September 30, 2015 and through the date that the financial statements were issued and noted no other events that necessitate adjustments to or disclosure in the financial statements.

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DISTRIBUTION REINVESTMENT PLAN

We have adopted a distribution reinvestment plan that provides for reinvestment of our distributions on behalf of our stockholders, unless a stockholder elects to receive cash as provided below. As a result, if our Board of Directors authorizes, and we declare, a cash distribution, our stockholders who have not opted out of our distribution reinvestment plan will have their cash distributions automatically reinvested in additional shares of our common stock, rather than receiving the cash distributions.

No action will be required on the part of a registered stockholder to have his cash distribution reinvested in shares of our common stock. A registered stockholder may elect to receive an entire distribution in cash by notifying Computershare Trust Company, N.A., the plan administrator and our transfer agent and registrar, by telephone, through the Internet or in writing so that such notice is received by the plan administrator no later than the record date for distributions to stockholders. The plan administrator will set up an account for shares acquired through the plan for each stockholder who has not elected to receive distributions in cash and hold such shares in non-certificated form. Upon request by a stockholder participating in the plan, received by telephone, through the Internet or writing prior to the record date, the plan administrator will, instead of crediting shares to the participant’s account, issue a certificate registered in the participant’s name for the number of whole shares of our common stock and a check for any fractional share, less any applicable fees.

Those stockholders whose shares are held by a broker or other financial intermediary may receive distributions in cash by notifying their broker or other financial intermediary of their election.

We expect to use primarily newly-issued shares to implement the plan, whether our shares are trading at a premium or at a discount to net asset value. Under such circumstances, the number of shares to be issued to a stockholder is determined by dividing the total dollar amount of the distribution payable to such stockholder by an amount equal to ninety-five (95%) percent of the market price per share of our common stock at the close of regular trading on the Nasdaq Global Select Market on the valuation date fixed by our Board of Directors for such distribution. Market price per share on that date will be the closing price for such shares on the Nasdaq Global Select Market or, if no sale is reported for such day, at the average of their electronically reported bid and asked prices. We reserve the right to purchase shares in the open market in connection with our implementation of the plan. Shares purchased in open market transactions by the plan administrator will be allocated to a stockholder based on the average purchase price, excluding any brokerage charges or other charges, of all shares of common stock purchased in the open market. The number of shares of our common stock to be outstanding after giving effect to payment of the distribution cannot be established until the value per share at which additional shares will be issued has been determined and elections of our stockholders have been tabulated.

There is no charge to stockholders for receiving their distributions in the form of additional shares of our common stock. Any transaction fees, brokerage charges, plan administrator’s fees or any other charges for handling distributions in stock are paid by us. There are no brokerage charges with respect to shares we have issued directly as a result of distributions payable in stock. If a participant elects by telephonic, Internet or written notice to the plan administrator to have the plan administrator sell part or all of the shares held by the plan administrator in the participant’s account and remit the proceeds to the participant, the plan administrator is authorized to deduct a $2.50 transaction fee plus brokerage charges from the proceeds.

Stockholders who receive distributions in the form of stock are subject to the same federal, state and local tax consequences as are stockholders who elect to receive their distributions in cash. The amount of the distribution for U.S. federal income tax purposes will be equal to the fair market value of the stock received. A stockholder’s basis for determining gain or loss upon the sale of stock received in a distribution from us will be equal to the amount treated as a distribution for U.S. federal income tax purposes.

The plan may be terminated by us upon notice in writing mailed to each participant at least 30 days prior to any record date for the payment of any dividend or distribution by us. All correspondence concerning the plan should be directed to the plan administrator as follows: through the Internet at www.computershare/investor, telephone number is 1-800-426-5523 and written correspondence can be mailed to Computershare Trust Company, N.A., P.O. Box 30170, College Station, TX 77845.

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MANAGEMENT

Our Board of Directors oversees our management. The Board of Directors currently consists of five members, three of whom are not “interested persons” of Oxford Lane Capital Corp. as defined in Section 2(a)(19) of the 1940 Act. We refer to these individuals as our independent directors. Our Board of Directors elects our officers, who serve at the discretion of the Board of Directors. The responsibilities of each director will include, among other things, the oversight of our investment activity, the quarterly valuation of our assets, and oversight of our financing arrangements. The Board of Directors has also established an Audit Committee and a Valuation Committee, and may establish additional committees in the future.

Our directors and officers and their principal occupations during the past five years are set forth below. Our prospectus includes additional information about our directors and is available, without charge, upon request by calling (203) 983-5275.

Board of Directors and Executive Officers

Directors

Information regarding the Board of Directors is as follows:

Name		Age		Position		Director Since		Expiration of Term
Interested Directors
Jonathan H. Cohen		50		Chief Executive Officer and Director		2010		2016
Saul B. Rosenthal		47		President and Director		2010		2018
Independent Directors
Mark J. Ashenfelter		55		Chairman of the Board of Directors		2010		2016
John Reardon		49		Director		2010		2017
David S. Shin		47		Director		2010		2018

The address for each of our directors is c/o Oxford Lane Capital Corp., 8 Sound Shore Drive, Suite 255, Greenwich, CT 06830.

Executive Officers Who Are Not Directors

Name		Age		Position
Bruce L. Rubin		55		Chief Financial Officer, Treasurer and Corporate Secretary
Gerald Cummins		60		Chief Compliance Officer

Biographical Information

Directors

Our directors have been divided into two groups — interested directors and independent directors. An interested director is an “interested person” as defined in Section 2(a)(19) of the 1940 Act.

Interested Directors

Messrs. Cohen and Rosenthal are “interested persons” of Oxford Lane Capital as defined in the 1940 Act. Messrs. Cohen and Rosenthal are interested persons of Oxford Lane Capital due to their positions as Chief Executive Officer and President, respectively, of Oxford Lane Capital and Oxford Lane Management, Oxford Lane Capital’s investment adviser, and as the managing member and non-managing member, respectively, of BDC Partners, the administrator for Oxford Lane Capital.

Jonathan H. Cohen has served as Chief Executive Officer of both Oxford Lane Capital Corp. and Oxford Lane Management since 2010. Mr. Cohen has also served since 2003 as Chief Executive Officer of both TICC Capital Corp. (NasdaqGS: TICC), a publicly traded business development company, and TICC Management, LLC, TICC Capital Corp.’s investment adviser, and as the managing member of BDC Partners. Mr. Cohen has also served since November 2015 as Chief Executive Officer of Oxford Bridge Management, LLC, the investment manager of Oxford Bridge, LLC, a private investment fund. Mr. Cohen is

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also a member of the Board of Directors of TICC Capital Corp. Previously, Mr. Cohen managed technology equity research groups at Wit Capital, Merrill Lynch, UBS and Smith Barney. Mr. Cohen is a member of the Board of Trustees of Connecticut College. Mr. Cohen received a B.A. in Economics from Connecticut College and an M.B.A. from Columbia University. Mr. Cohen’s depth of experience in managerial positions in investment management, securities research and financial services, as well as his intimate knowledge of our business and operations, gives our Board of Directors valuable industry-specific knowledge and expertise on these and other matters.

Saul B. Rosenthal has served as President of both Oxford Lane Capital Corp. and Oxford Lane Management since 2010. Mr. Rosenthal has also served as President since 2004 of TICC Capital Corp. (NasdaqGS: TICC), a publicly traded business development company. Mr. Rosenthal has also served since November 2015 as President of Oxford Bridge Management, LLC, the investment manager of Oxford Bridge, LLC, a private investment fund. Mr. Rosenthal was previously an attorney at the law firm of Shearman & Sterling LLP. Mr. Rosenthal serves on the boards of Algorithmic Implementations, Inc. (d/b/a Ai Squared), the National Museum of Mathematics and the New York City chapter of the Young Presidents’ Organization (YPO). Mr. Rosenthal received a B.S., magna cum laude, from the Wharton School of the University of Pennsylvania, a J.D. from Columbia University Law School, where he was a Harlan Fiske Stone Scholar, and a LL.M. (Taxation) from New York University School of Law. Mr. Rosenthal’s depth of experience in managerial positions in investment management, as well as his intimate knowledge of our business and operations, gives the Board of Directors the valuable perspective of a knowledgeable corporate leader.

Independent Directors

The following directors are not “interested persons” of Oxford Lane Capital, as defined in the 1940 Act.

Mark J. Ashenfelter presently serves as a Senior Vice President and the General Counsel of Haebler Capital, a private investment company located in Greenwich, CT. Prior to joining Haebler Capital in 1994, Mr. Ashenfelter was an associate at Cravath, Swaine & Moore from 1985 to 1992 and Cadwalader, Wickersham & Taft from 1992 to 1994. Mr. Ashenfelter received a B.A., cum laude, from Harvard University, a J.D., magna cum laude, from New York Law School, where he was Managing Editor of the Law Review, and a LL.M. (Taxation) from New York University School of Law. Mr. Ashenfelter’s extensive corporate legal experience, particularly in connection with investment companies, provides our Board of Directors with valuable insight and perspective.

John Reardon is the principal of Reardon Consulting, LLP, which specializes in providing management consulting services to technology companies in the telecom, software, and cyber security industries. Mr. Reardon also serves as the Managing Director of Choctaw Telecom LLC. Previously, Mr. Reardon managed telecommunications companies in the mobile voice, data and engineering services markets as Chief Executive Officer and a member of the Board of Directors of Mobex Communications, Inc. from 2001 to 2005. From 1997 – 2001, he served as General Counsel and Secretary of the Board of Directors of Mobex Communications, Inc. Mr. Reardon began his career in telecom law at the boutique Washington, DC firm of Keller and Heckman, LLP. Mr. Reardon received a Bachelor of Arts degree in Political Science, summa cum laude, from Boston University, and earned his J.D. from Columbia Law School. He is admitted to the New York State Bar and the Washington, DC Bar, and is the past president of the Columbia Law School Alumni Association of Washington, DC. Mr. Reardon’s extensive experience as a senior corporate executive provides our Board of Directors the perspective of a knowledgeable corporate leader.

David S. Shin presently serves as an asset management professional at Perella Weinberg Partners, a financial services firm. From 2010 to 2011, Mr. Shin served as a Managing Director at Bentley Associates, an investment banking firm. Prior to joining Bentley Associates, Mr. Shin worked in the Global Real Estate Investment Banking Group at Deutsche Bank Securities from 2005 to 2008, and in the Real Estate & Lodging Group of Citigroup Global Markets from 2004 to 2005. Prior to that, Mr. Shin worked for William Street Advisors, LLC, a boutique financial advisory firm affiliated with Saratoga Management Company, from 2002 to 2004. After receiving his J.D. in 1995, Mr. Shin was a member of the Healthcare Group of Dean Witter Reynolds from 1995 to 1996, and was subsequently a member of the Mergers & Acquisitions Group of Merrill Lynch & Co. from 1996 to 2002. Mr. Shin started his career as a CPA in the Corporate Tax Department of KPMG Peat Marwick’s Financial Institutions Group, where he served from 1990 to 1992,

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before attending law school. Mr. Shin received a B.S., magna cum laude, from The Wharton School at the University of Pennsylvania and a J.D. from Columbia Law School. Mr. Shin’s extensive experience in investment banking provides the Board of Directors with valuable insights of an experienced and diligent financial professional, as well as a diverse perspective.

Executive Officers Who Are Not Directors

Bruce L. Rubin has served as our Chief Financial Officer and Corporate Secretary since August 2015, and as our Treasurer and Controller since our initial public offering in 2011. Mr. Rubin has also served as TICC Capital Corp.’s Controller since 2005, TICC Capital Corp.’s Treasurer since 2009, and TICC Capital Corp.’s Chief Financial Officer, Chief Accounting Officer and Corporate Secretary since August 2015. Mr. Rubin also currently serves as the Chief Financial Officer and Secretary of Oxford Lane Management, TICC Management, LLC, BDC Partners, and Oxford Bridge Management, LLC, the investment manager of Oxford Bridge, LLC, a private investment fund. From 1995 to 2003, Mr. Rubin was the Assistant Treasurer & Director of Financial Planning of the New York Mercantile Exchange, Inc., the largest physical commodities futures exchange in the world and has extensive experience with Sarbanes-Oxley, treasury operations and SEC reporting requirements. From 1989 to 1995, Mr. Rubin was a manager in financial operations for the American Stock Exchange, where he was primarily responsible for budgeting matters. Mr. Rubin began his career in commercial banking as an auditor primarily of the commercial lending and municipal bond dealer areas. Mr. Rubin received his BBA in Accounting from Hofstra University where he also obtained his Masters of Business Administration in Finance.

Gerald Cummins has served as our Chief Compliance Officer, as well as the Chief Compliance Officer of Oxford Lane Management, TICC Capital Corp., TICC Management, LLC, since June 2015 pursuant to an agreement between us and Alaric, a compliance consulting firm. Mr. Cummins has also served since November 2015 as the Chief Compliance Officer of Oxford Bridge Management, LLC, the investment manager of Oxford Bridge, LLC, a private investment fund. Mr. Cummins has been a Director of Alaric since June 2014. Prior to joining Alaric, Mr. Cummins was a consultant for Barclays Capital Inc. from 2012 to 2013, where he participated in numerous compliance projects on pricing and valuation, compliance assessments, and compliance policy and procedure development. Prior to his consulting work at Barclays, Mr. Cummins was from 2010 to 2011 the COO and the CCO for BroadArch Capital and from 2009 to 2011 the CFO and CCO to its predecessor New Castle Funds, a long-short equity asset manager. Prior to that, Mr. Cummins spent 25 years at Bear Stearns Asset Management (BSAM), where he was a Managing Director and held senior compliance, controllers and operations risk positions. Mr. Cummins graduated with a B.A. in Mathematics from Fordham University.

Compensation of Directors

The following table sets forth compensation of our directors for the six months ended September 30, 2015.

Name		Fees Earned(1)				All Other Compensation(2)				Total
Interested Directors
Jonathan H. Cohen			—				—				—
Saul B. Rosenthal			—				—				—
Independent Directors
Mark J. Ashenfelter		$	33,380				—			$	33,380
John Reardon		$	33,380				—			$	33,380
David S. Shin		$	36,740				—			$	36,740

Until July 29, 2015, independent directors received an annual fee of $35,000, which was increased to $75,000 effective July 29, 2015. In addition, the independent directors receive $2,000 plus reimbursement of reasonable out-of-pocket expenses incurred in connection with attending each Board of Directors meeting,

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$1,500 plus reimbursement of reasonable out-of-pocket expenses incurred in connection with attending each Valuation Committee meeting and $1,000 plus reimbursement of reasonable out-of-pocket expenses incurred in connection with attending each Audit Committee meeting. Until July 29, 2015, the Chairman of the Audit Committee also received an additional annual fee of $5,000, which was increased to $10,000 effective July 29, 2015. No compensation is paid to directors who are interested persons of Oxford Lane Capital as defined in the 1940 Act.

Compensation of Chief Executive Officer and Other Executive Officers

We do not have a compensation committee because our executive officers will not receive any direct compensation from Oxford Lane Capital. Mr. Cohen, our Chief Executive Officer, and Mr. Rosenthal, our President, through their ownership interest in BDC Partners, the managing member of Oxford Lane Management, are entitled to a portion of any profits earned by Oxford Lane Management, which includes any fees payable to Oxford Lane Management under the terms of the Investment Advisory Agreement, less expenses incurred by Oxford Lane Management in performing its services under the Investment Advisory Agreement. Messrs. Cohen and Rosenthal do not receive any additional compensation from Oxford Lane Management in connection with the management of our portfolio.

The compensation of Mr. Rubin, our Chief Financial Officer, Treasurer and Corporate Secretary, is paid by our administrator, BDC Partners, subject to reimbursement by us of an allocable portion of such compensation for services rendered by Mr. Rubin to Oxford Lane Capital.

Mr. Cummins, our Chief Compliance Officer, is a director of Alaric Compliance Services, LLC (“Alaric”), and performs his functions under the terms of an agreement between us and Alaric.

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BOARD APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT

At an in-person meeting of our Board of Directors held on July 29, 2015, our Board of Directors unanimously voted to continue the investment advisory agreement (the “Advisory Agreement”) by and between the Fund and Oxford Lane Management, LLC (“Oxford Lane Management”). In reaching a decision to continue the investment advisory agreement, the Board of Directors reviewed a significant amount of information and considered, among other things:

Based on the information reviewed and the discussions detailed above, the Board of Directors, including all of the directors who are not “interested persons” as defined in the 1940 Act, concluded that fees payable to Oxford Lane Management pursuant to the Advisory Agreement were reasonable in relation to the services to be provided. The Board of Directors did not assign relative weights to the above factors or the other factors considered by it. In addition, the Board of Directors did not reach any specific conclusion on each factor considered, but conducted an overall analysis of these factors. Individual members of the Board of Directors may have given different weights to different factors.

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ADDITIONAL INFORMATION

Portfolio Information

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-Q, within sixty days after the end of the relevant period. Form N-Q filings of the Fund are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. This information is also available free of charge by contacting the Fund by mail at 8 Sound Shore Drive, Suite 255, Greenwich, CT 06830, by telephone at (203) 983-5275 or on its website at http://www.oxfordlanecapital.com.

Proxy Information

A description of the policies and procedures that the Fund’s investment adviser uses to determine how to vote proxies relating to the Fund’s portfolio securities is available (i) without charge, upon request, by calling (203) 983-5275; (ii) on the Fund’s website at http://www.oxfordlanecapital.com and (iii) on the Commission’s website at http://www.sec.gov. Information about how the Fund’s investment adviser voted proxies with respect to the Fund’s portfolio securities during the most recent 12-month period ended March 31 can be obtained by making a written request for proxy voting information to: Chief Compliance Officer, Oxford Lane Management, LLC, 8 Sound Shore Drive, Suite 255, Greenwich, CT 06830.

Tax Information

For tax purposes, distributions to shareholders during the six months ended September 30, 2015, were approximately $21.4 million.

Privacy Policy

We are committed to protecting your privacy. This privacy notice, which is required by federal law, explains privacy policies of Oxford Lane Capital Corp. and its affiliated companies. This notice supersedes any other privacy notice you may have received from Oxford Lane Capital Corp., and its terms apply both to our current stockholders and to former stockholders as well.

We will safeguard, according to strict standards of security and confidentiality, all information we receive about you. With regard to this information, we maintain procedural safeguards that comply with federal standards.

Our goal is to limit the collection and use of information about you. When you purchase shares of our common stock, our transfer agent collects personal information about you, such as your name, address, social security number or tax identification number.

This information is used only so that we can send you annual reports, proxy statements and other information required by law, and to send you information we believe may be of interest to you.

We do not share such information with any non-affiliated third party except as described below:

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Oxford Lane Capital Corp.

BOARD OF DIRECTORS

Independent Directors
Mark J. Ashenfelter, Chairman of the Board of Directors
John Reardon
David S. Shin

Interested Directors⁽¹⁾
Jonathan H. Cohen
Saul B. Rosenthal

OFFICERS
Jonathan H. Cohen, Chief Executive Officer
Saul B. Rosenthal, President
Bruce L. Rubin, Chief Financial Officer, Corporate Secretary and Treasurer
Gerald Cummins, Chief Compliance Officer

INVESTMENT ADVISOR
Oxford Lane Management, LLC
8 Sound Shore Drive, Suite 255
Greenwich, CT 06830

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Oxford Lane Capital Corp.

8 Sound Shore Drive, Suite 255 | Greenwich, CT 06830 | oxfordlanecapital.com | (202) 983-5275

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Item 2. Code of Ethics.

The information required by this item is not required in a semi-annual report on this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The information required by this item is not required in a semi-annual report on this Form N-CSR.

Item 4. Principal Accountant Fees and Services.

The information required by this item is not required in a semi-annual report on this Form N-CSR.

Item 5. Audit Committee of Listed Registrant.

The information required by this item is not required in a semi-annual report on this Form N-CSR.

Item 6. Schedule of Investments.

Please see the schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

The information required by this item is not required in a semi-annual report on this Form N-CSR.

Item 8. Portfolio Managers of Closed-End Investment Companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

On August 26, 2015, the Registrant’s board of directors authorized a repurchase program to be in place until the earlier of March 31, 2016 or until $20 million of the Registrant’s outstanding shares of common stock has been repurchased. Under the repurchase program, the Registrant is permitted to, but is not obligated to, repurchase its outstanding common stock in the open market from time to time provided that we comply with the prohibitions under the Registrant’s Insider Trading Policies and Procedures and the guidelines specified in Rule 10b-18 of the Securities Exchange Act of 1934, as amended, including certain price, market volume and timing constraints. In addition, any repurchases will be conducted in accordance with the Investment Company Act of 1940, as amended. During the six months ended September 30, 2015, the Registrant repurchased 33,776 shares at a weighted average price of approximately $12.74 per share, inclusive of commissions. This represents a discount of 9.52% of the net asset value per share at March 31, 2015 and a premium of 12.44% of the net asset value per share at September 30, 2015. The total dollar amount of shares repurchased for the six months ended September 30, 2015 is approximately $0.4 million.

Period		(a) Total Number of Shares Purchased				(b) Average Price Paid per Share				(c) Total Number of Shares Purchased as Part of Publicly Announced Program				(d) Maximum Number of Approximate Dollar Value of Shares that May Yet Be Purchased Under the Program
September 1, 2015 – September 30, 2015			33,776			$	12.74				33,776			$	19.6 million

Item 10. Submission of Matters to a Vote of Security Holders.

Not Applicable

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Item 11. Controls and Procedures.

Item 12. Exhibits.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

OXFORD LANE CAPITAL CORP.

By:

/s/ Jonathan H. Cohen Jonathan H. Cohen Chief Executive Officer Date: November 16, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:

/s/ Jonathan H. Cohen Jonathan H. Cohen Chief Executive Officer Date: November 16, 2015

By:

/s/ Bruce L. Rubin Bruce L. Rubin Chief Financial Officer Date: November 16, 2015