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

~~_______________________~~

FORM 10-Q

~~_______________________~~

		(Mark One)
		x☒		QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE QUARTERLY PERIOD ENDED ~~SEPTEMBER~~ June30, ~~2017~~2021

¨☐

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934

COMMISSION FILE NUMBER: ~~0-50398~~814-00638

~~_______________________~~

~~TICC~~OXFORD SQUARE CAPITAL CORP.

(Exact name of registrant as specified in its charter)

~~_______________________~~

		MARYLAND		20-0188736
		(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

8 SOUND SHORE DRIVE, SUITE 255
GREENWICH, CONNECTICUT 06830

(Address of principal executive office)

(203) ~~983-5275~~983-5275

(Registrant’s telephone number, including area code)

~~_______________________~~Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Common stock, par value $0.01 per share	OXSQ	NASDAQ Global Select Market LLC
6.50% Notes due 2024	OXSQL	NASDAQ Global Select Market LLC
6.25% Notes due 2026	OXSQZ	NASDAQ Global Select Market LLC
5.50% Notes due 2028	OXSQG	NASDAQ Global Select Market LLC

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 ~~(the “Exchange Act”)~~ during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yesx☒ No¨☐

Indicate by check mark whether the registrant has submitted electronically ~~and posted on its corporate Web site, if any,~~ every Interactive Data File required to be submitted ~~and posted~~ pursuant to Rule 405 of Regulation ~~S-T~~S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit ~~and post~~ such files). Yes¨☐ No¨☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a ~~non-accelerated~~non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of “large accelerated ~~filer”,~~filer,” “accelerated ~~filer”,~~filer,” “smaller reporting company,” and “emerging growth company” in Rule ~~12b-2~~12b-2 of the Exchange Act. (Check one):

	Large accelerated filer		¨☐		Accelerated filer		x☐
~~Non-accelerated filer~~		Non¨-accelerated filer ☒		Smaller Reporting company		¨☐
	Emerging growth company		¨☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.¨☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule ~~12b-2~~12b-2 of the Exchange Act). Yes¨☐ Nox☒

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date. The number of shares of the issuer’s common stock, $0.01 par value, outstanding as of ~~November 1, 2017~~July 29, 2021, was ~~51,479,409.~~49,624,422.

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION			1
Item 1.	Financial Statements ~~(Unaudited)~~		1
		Consolidated Statements of Assets and Liabilities as of ~~September~~June 30, ~~2017~~2021 (unaudited) and December 31, ~~2016~~2020		1
		Consolidated Schedule of Investments as of ~~September~~June 30, ~~2017~~2021 (unaudited)		2
		Consolidated Schedule of Investments as of December 31, ~~2016~~2020		9
		Consolidated Statements of Operations for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016~~2020 (unaudited)		1716
		Consolidated Statements of Changes in Net Assets for the ~~nine~~three and six months ended ~~September~~June 30, ~~2017~~2021 and ~~for the year ended December 31, 2016~~2020 (unaudited)		1817
		Consolidated Statements of Cash Flows for the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016~~2020 (unaudited)		18
	Notes to Consolidated Financial Statements (unaudited)		19
Item 2.	~~Notes to Consolidated Financial Statements~~		20
~~Item 2.~~	Management’s Discussion and Analysis of Financial Condition and Results of Operations		5145
Item 3.	Quantitative and Qualitative Disclosures About Market Risk		7463
Item 4.	Controls and Procedures		74
			63
PART II. OTHER INFORMATION			~~II-1~~65
Item 1.	Legal Proceedings		~~II-1~~65
Item 1A.	Risk Factors		~~II-1~~65
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		~~II-1~~66
Item 3.	Defaults Upon Senior Securities		~~II-1~~66
Item 4.	Mine Safety Disclosures		~~II-1~~66
Item 5.	Other Information		~~II-1~~66
Item 6.	Exhibits		~~II-2~~66
SIGNATURES			~~II-3~~67

Table of Contents

PART I — FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS ~~(UNAUDITED)~~

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES
~~(unaudited)~~

						June 30, 2021			December 31, 2020
	September 30, 2017			December 31, 2016		(unaudited)
ASSETS
Non-affiliated/non-control investments (cost: $432,803,519 @ 9/30/17; $616,542,612 @ 12/31/16)	$	406,516,270		$	578,297,069
Affiliated investments (cost: $9,812,378 @ 9/30/17;$7,497,229 @ 12/31/16)		15,214,283			11,626,007
Cash and cash equivalents		119,601,494			8,261,698
Restricted cash		—			3,451,636
Non-affiliated/non-control investments (cost: $484,111,949 and $407,547,351, respectively)						$	404,821,888		$	294,674,000
Affiliated investments (cost: $16,836,822 and $16,836,822, respectively)							—			—
Cash equivalents							63,592,092			59,137,284
Interest and distributions receivable		4,562,096			9,682,672		3,507,802			2,299,259
Securities sold not settled		2,950,000			7,406		—			950,000
Other assets		1,516,032			1,130,018		548,719			597,238
Total assets	$	550,360,175		$	612,456,506	$	472,470,501		$	357,657,781
LIABILITIES
Notes payable – 6.50% Unsecured Notes, net of deferred issuance costs of $894,047 and $1,055,065, respectively						$	63,476,178		$	63,315,160
Notes payable – 6.25% Unsecured Notes, net of deferred issuance costs of $1,127,461 and $1,243,082, respectively							43,663,289			43,547,668
Notes payable – 5.50% Unsecured Notes, net of deferred issuance costs of $2,663,662 and $0, respectively							77,836,338			—
Securities purchased not settled							40,803,008			23,156,556
Base Fee and Net Investment Income Incentive Fee payable to affiliate							1,434,484			1,159,703
Accrued interest payable	$	2,966,060		$	1,731,111		982,435			478,191
Base management fee and net investment income incentive fee payable to affiliate		2,571,494			3,673,381
Securities purchased not settled		5,015,000			—
Accrued expenses		759,194			1,089,043		811,833			573,977
Notes payable – TICC CLO 2012-1 LLC, net of discount and deferred issuance costs		—			125,853,720
Convertible senior notes payable due 2017, net of deferred issuance costs		94,497,384			94,116,753
6.50% unsecured notes due 2024, net of deferred issuance costs		62,258,316			—
Total liabilities		168,067,448			226,464,008		229,007,565			132,231,255
COMMITMENTS AND CONTINGENCIES (Note 13)
NET ASSETS
Common stock, $0.01 par value, 100,000,000 shares authorized; 51,479,409 and 51,479,409 shares issued and outstanding, respectively		514,794			514,794
Common stock, $0.01 par value, 100,000,000 shares authorized; 49,624,422 and 49,589,607 shares issued and outstanding, respectively							496,243			495,895
Capital in excess of par value		558,822,643			558,822,643		452,810,632			452,650,210
Net unrealized depreciation on investments		(20,885,344	)		(34,116,765)
Accumulated net realized losses		(107,505,733	)		(98,364,284)
Distributions in excess of net investment income		(48,653,633	)		(40,863,890)
Total distributable earnings/(accumulated losses)							(209,843,939	)		(227,719,579	)
Total net assets		382,292,727			385,992,498		243,462,936			225,426,526
Total liabilities and net assets	$	550,360,175		$	612,456,506	$	472,470,501		$	357,657,781
Net asset value per common share	$	7.43		$	7.50	$	4.91		$	4.55

See Accompanying Notes.

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)
~~September~~June 30, ~~2017~~
~~(unaudited)~~2021

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL
AMOUNT

COST

FAIR
VALUE⁽²⁾

% of Net
Assets
Senior Secured Notes

Aerospace and Defense

Novetta, LLC

first lien senior secured notes, 6.34% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022^{(4)(5)(6)(15)}

$
5,600,250

$
5,548,448

$
5,397,241

Total Aerospace and Defense

$
5,548,448

$
5,397,241

1.4
%

Business Services

Imagine! Print Solutions

second lien senior secured notes, 10.09% (LIBOR + 8.75%), (1.00% floor) due March 30, 2022^(4)(5)(15)

$
15,000,000

$
14,851,246

$
14,700,000

Polycom, Inc.

second lien senior secured notes, 11.24% (LIBOR + 10.00%), (1.00% floor) due September 27, 2024^(4)(5)(17)

13,000,000

12,756,478

13,000,000

Premiere Global Services, Inc.

senior secured notes, 7.78% (LIBOR + 6.50%), (1.00% floor) due December 8, 2021^{(4)(5)(6)(14)(15)}

15,819,410

14,607,301

15,305,279

second lien senior secured notes, 10.74% (LIBOR + 9.50%), (1.00% floor) due June 6, 2022^{(4)(5)(14)(17)}

10,000,000

9,728,198

9,875,000

Total Business Services

$
51,943,223

$
52,880,279

13.8
%

Consumer Services

Jackson Hewitt Tax Service, Inc.

first lien senior secured notes, 8.31% (LIBOR + 7.00%), (1.00% floor) due July 30, 2020^{(4)(5)(6)(15)}

$
19,601,471

$
19,296,154

$
18,817,412

Total Consumer Services

$
19,296,154

$
18,817,412

4.9
%

Diversified Insurance

AmeriLife Group LLC

first lien senior secured notes, 5.99% (LIBOR + 4.75%), (1.00% floor) due July 10, 2022^{(4)(5)(6)(17)}

$
15,447,791

$
15,329,320

$
15,196,764

Total Diversified Insurance

$
15,329,320

$
15,196,764

4.0
%

Education

Edmentum, Inc. (F/K/A “Plato, Inc.”)

first lien senior secured notes, 5.81% (LIBOR + 4.50%), (1.00% floor) Cash, 2.00% PIK due June 10,
2019^{(3)(4)(5)(6)(15)}

$
6,013,256

$
5,989,356

$
4,517,459

Total Education

$
5,989,356

$
4,517,459

1.2
%

Financial Intermediaries

First American Payment Systems

second lien senior secured notes, 11.73% (LIBOR + 10.50%), (1.00% floor) due July 6, 2024^{(4)(5)(6)(17)}

$
1,500,000

$
1,457,823

$
1,477,500

Harbortouch Payments

second lien senior secured notes, 10.74% (LIBOR + 9.50%), (1.00% floor) due October 11, 2024^{(4)(5)(6)(17)}

12,000,000

11,793,754

12,000,000

Total Financial Intermediaries

$
13,251,577

$
13,477,500

3.5
%

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Senior Secured Notes
Aerospace and Defense
Novetta, LLC
first lien senior secured notes, 6.00% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(15)	November 20, 2014	$	5,386,130	$	5,361,411	$	5,372,664
Total Aerospace and Defense				$	5,361,411	$	5,372,664	2.2	%

Business Services
Access CIG, LLC
second lien senior secured notes, 7.84% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(14)(15)	February 14, 2018	$	16,754,000	$	16,828,339	$	16,628,345

ConvergeOne Holdings, Inc.
first lien senior secured notes, 5.10% (LIBOR + 5.00%), (0.00% floor) due January 4, 2026(4)(5)(6)(14)(15)	June 4, 2021		5,377,158		5,317,220		5,323,386
second lien senior secured notes, 8.60% (LIBOR + 8.50%), (0.00% floor) due January 4, 2027(4)(5)(14)(15)	June 3, 2021		15,000,000		14,328,624		14,400,000

Convergint Technologies, LLC
second lien senior secured notes, 7.50% (LIBOR + 6.75%), (0.75% floor) due March 31, 2029(4)(5)(15)	March 18, 2021		11,000,000		10,946,828		11,000,000

OMNIA Partners, Inc.
second lien senior secured notes, 7.65% (LIBOR + 7.50%), (0.00% floor) due May 22, 2026(4)(5)(6)(14)(16)	May 17, 2018		13,813,956		13,769,080		13,468,607

Premiere Global Services, Inc.
first lien senior secured notes, 7.50% (LIBOR + 6.50%), (1.00% floor) due June 8, 2023(4)(5)(6)(10)(17)	October 1, 2019		14,273,926		13,848,895		7,593,729
second lien senior secured notes, 10.00%, 0.50% Cash, 10.00% PIK (LIBOR + 9.00%) (1.00% floor) due June 6, 2024(3)(4)(5)(10)(17)	October 1, 2019		11,965,746		9,817,795		179,486

RSA Security, LLC
second lien senior secured notes, 8.50% (LIBOR + 7.75%), (0.75% floor) due April 27, 2029(4)(5)(16)	April 16, 2021		9,533,333		9,369,876		9,390,333

Verifone Systems, Inc.
first lien senior secured notes, 4.15% (LIBOR + 4.00%), (0.00% floor) due August 20, 2025(4)(5)(6)(14)(16)	August 9, 2018		13,769,085		13,233,452		13,528,126
Total Business Services				$	107,460,109	$	91,512,012	37.6	%

~~(continued~~(continued on next page)

See Accompanying Notes.

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)— (continued)
~~September~~June 30, ~~2017~~
~~(unaudited)~~2021

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR
VALUE⁽²⁾

% of Net
Assets
Senior Secured Notes – (continued)

Healthcare

Keystone Acquisition Corp.

first lien senior secured notes, 6.58% (LIBOR + 5.25%), (1.00% floor) due May 1, 2024^{(4)(5)(6)(15)}

$
3,000,000

$
2,941,950

$
2,996,250

second lien senior secured notes, 10.58% (LIBOR + 9.25%), (1.00% floor) due May 1, 2025^{(4)(5)(6)(15)}

10,000,000

9,803,106

9,887,500

Total Healthcare

$
12,745,056

$
12,883,750

3.4
%

IT Consulting

Unitek Global Services, Inc.

first lien senior secured tranche B term loan, 9.84% (LIBOR + 8.50%), (1.00% floor) due January 13, 2019^(4)(5)(15)

$
2,638,748

$
2,624,774

$
2,665,135

Total IT Consulting

$
2,624,774

$
2,665,135

0.7
%

Logistics

Capstone Logistics Acquisition, Inc.

first lien senior secured notes, 5.74% (LIBOR + 4.50%), (1.00% floor) due October 7, 2021^{(4)(5)(6)(17)}

$
10,573,496

$
10,554,997

$
10,467,761

Total Logistics

$
10,554,997

$
10,467,761

2.7
%

Printing and Publishing

Merrill Communications, LLC

first lien senior secured notes, 6.56% (LIBOR + 5.25%), (1.00% floor ) due June 01, 2022^{(4)(5)(6)(15)}

$
12,730,561

$
12,638,574

$
12,794,214

Total Printing and Publishing

$
12,638,574

$
12,794,214

3.3
%

Software

ECI Software Solutions

second lien senior secured notes, 9.33% (LIBOR + 8.00%), (1.00% floor) due September 29, 2025^(4)(5)(15)

$
15,000,000

$
14,895,056

$
14,962,500

Help/Systems Holdings, Inc.

second lien senior secured notes 10.83% (LIBOR + 9.50%), (1.00% floor) due October 8, 2022^(4)(5)(15)

10,000,000

9,707,916

9,791,700

Total Software

$
24,602,972

$
24,754,200

6.5
%

Telecommunications Services

Aricent Technologies, Inc.

second lien senior secured notes, 9.74% (LIBOR + 8.50%), (1.00% floor) due April 14, 2022^(4)(5)(17)

$
14,000,000

$
14,008,377

$
14,052,500

Birch Communications, Inc.

first lien senior secured notes, 8.55% (LIBOR + 7.25%), (1.00% floor) due July 15, 2020^{(4)(5)(6)(15)}

21,475,095

20,826,313

18,253,831

Global Tel Link Corp

second lien senior secured notes, 9.08% (LIBOR + 7.75%), (1.25% floor) due November 23, 2020^(4)(5)(15)

13,000,000

12,919,938

12,935,000

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Senior Secured Notes – (continued)
Diversified Insurance
AIS Intermediate, LLC
first lien senior secured notes, 5.19% (LIBOR + 5.00%), (0.00% floor) due August 15, 2025(4)(5)(6)(14)(16)	January 7, 2021	$	16,440,296	$	15,946,230	$	16,111,490

AmeriLife Group LLC
second lien senior secured notes, 9.50% (LIBOR + 8.50%), (1.00% floor) due March 18, 2028(4)(5)(10)	March 18, 2020		11,000,000		10,807,561		11,000,000
Total Diversified Insurance				$	26,753,791	$	27,111,490	11.1	%

Healthcare
Careismatic Brands, Inc. (f/k/a New Trojan Parent, Inc.)
second lien senior secured notes, 7.75% (LIBOR + 7.25%), (0.50% floor) due January 5, 2029(4)(5)(15)	January 22, 2021	$	7,000,000	$	6,935,847	$	7,000,000

HealthChannels, Inc. (f/k/a ScribeAmerica, LLC)
first lien senior secured notes, 4.60% (LIBOR + 4.50%), (0.00% floor) due April 3, 2025(4)(5)(6)(14)(15)	October 31, 2018		13,591,820		13,372,394		13,065,136

Keystone Acquisition Corp
first lien senior secured notes, 6.25% (LIBOR + 5.25%), (1.00% floor) due May 1, 2024(4)(5)(6)(14)(16)	May 10, 2017		7,343,426		7,326,935		7,214,916
second lien senior secured notes, 10.25% (LIBOR + 9.25%), (1.00% floor) due May 1, 2025(4)(5)(14)(16)	May 10, 2017		13,000,000		12,903,140		12,285,000

Viant Medical Holdings, Inc.
first lien senior secured notes, 3.85% (LIBOR + 3.75%), (0.00% floor) due July 2, 2025(4)(5)(6)(14)(15)	June 26, 2018		9,725,000		9,724,422		9,445,406
second lien senior secured notes, 7.85% (LIBOR + 7.75%), (0.00% floor) due July 2, 2026(4)(5)(14)(15)	June 26, 2018		5,000,000		4,964,641		4,712,500
Total Healthcare				$	55,227,379	$	53,722,958	22.1	%

Plastics Manufacturing
Spectrum Holdings III Corp. (f/k/a KPEX Holdings, Inc.)
first lien senior secured notes, 4.25% (LIBOR + 3.25%), (1.00% floor) due January 31, 2025(4)(5)(6)(10)(14)	June 24, 2020	$	15,043,672	$	14,093,066	$	14,404,316
Total Plastics Manufacturing				$	14,093,066	$	14,404,316	5.9	%

~~(continued~~(continued on next page)

See Accompanying Notes.

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)— (continued)
~~September~~June 30, ~~2017~~
~~(unaudited)~~2021

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net Assets
Senior Secured Notes – (continued)

Telecommunications Services – (continued)
Securus Technologies, Inc.

first lien senior secured notes, 4.75% (LIBOR + 3.50%), (1.25% floor) due April 30, 2020^{(4)(5)(6)(17)}

$
5,638,392

$
5,614,900

$
5,638,392

second lien senior secured notes, 9.00% (LIBOR + 7.75%), (1.25% floor) due April 30, 2021^(4)(5)(15)

6,400,000

6,382,803

6,405,312

Total Telecommunication Services

$
59,752,331

$
57,285,035

15.0
%
Total Senior Secured Notes

$
234,276,782

$
231,136,750

60.4
%

Subordinated Debt

IT Consulting

Unitek Global Services, Inc.

Holdco PIK Debt Cash 0.00%, 15.00% PIK, due July 13, 2019⁽³⁾⁽⁵⁾

$
750,317

$
748,183

$
757,820

Total IT Consulting

$
748,183

$
757,820

0.2
%
Total Subordinated Debt

$
748,183

$
757,820

0.2
%

Collateralized Loan Obligation – Debt Investments

Structured Finance

Catamaran CLO 2012-1 Ltd.

CLO secured class F notes, 7.52% (LIBOR + 6.25%), due December 20, 2023^{(4)(5)(11)(12)(15)}

$
1,250,000

$
1,182,662

$
1,218,750

Jamestown CLO V Ltd.

CLO secured class F notes, 7.15% (LIBOR + 5.85%), due
January 17, 2027^{(4)(5)(11)(12)(15)}

4,000,000

3,288,787

3,262,800

Total Structured Finance

$
4,471,449

$
4,481,550

1.2
%
Total Collateralized Loan Obligation – Debt Investments

$
4,471,449

$
4,481,550

1.2
%

Collateralized Loan Obligation – Equity Investments

Structured Finance

AMMC CLO XI, Ltd.

CLO subordinated notes, estimated yield 12.24% due October 30, 2023^{(9)(11)(12)(19)}

$
6,000,000

$
3,766,347

$
3,000,000

AMMC CLO XII, Ltd.

CLO subordinated notes, estimated yield 4.05% due May 10, 2025^{(9)(11)(12)(19)}

12,921,429

6,678,484

5,427,000

Anchorage Capital 6 CLO, Ltd.

CLO subordinated notes, estimated yield 16.58% due July 15, 2030^{(9)(11)(12)(19)}

5,000,000

3,366,362

3,256,696

Ares XXV CLO Ltd.

CLO subordinated notes, estimated yield 0.00% due January 17, 2024^{(9)(10)(11)(12)(19)}

15,500,000

317,125

—

Ares XXVI CLO Ltd.

CLO subordinated notes, estimated yield 4.29% due April 15, 2025^{(9)(11)(12)(19)}

17,630,000

8,496,368

6,701,691

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Senior Secured Notes – (continued)
Software
Aspect Software, Inc.
first lien senior secured notes, 6.00% (LIBOR + 5.25%), (0.75% floor) due May 8, 2028(4)(5)(14)(16)	May 18, 2021	$	8,000,000	$	7,870,741	$	7,840,000
second lien senior secured notes, 9.75% (LIBOR + 9.00%), (0.75% floor) due May 7, 2029(4)(5)(14)(16)	May 3, 2021		7,000,000		6,791,687		6,930,000

Quest Software, Inc.
second lien senior secured notes, 8.44% (LIBOR + 8.25%), (0.00% floor) due May 18, 2026(4)(5)(14)(16)	May 17, 2018		13,353,672		13,238,495		13,306,934
Total Software				$	27,900,923	$	28,076,934	11.5	%

Telecommunications Services
Global Tel Link Corp.
second lien senior secured notes, 8.35% (LIBOR + 8.25%), (0.00% floor) due November 29, 2026(4)(5)(14)(15)	November 20, 2018	$	17,000,000	$	16,770,995	$	14,365,000
Total Telecommunication Services				$	16,770,995	$	14,365,000	5.9	%

Utilities
CLEAResult Consulting, Inc.
second lien senior secured notes, 7.33% (LIBOR + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(15)	August 3, 2018	$	7,650,000	$	7,667,660	$	7,458,750
Total Utilities				$	7,667,660	$	7,458,750	3.1	%
Total Senior Secured Notes				$	261,235,334	$	242,024,124	99.4	%

Collateralized Loan Obligation – Equity Investments
Structured Finance
Atlas Senior Loan Fund XI, Ltd.
CLO subordinated notes, estimated yield 4.66% due July 26, 2031(9)(11)(12)(18)(24)	April 5, 2019	$	5,725,000	$	3,835,066	$	2,576,250

Babson CLO Ltd. 2015-I
CLO subordinated notes, estimated yield 16.39% due January 20, 2031(9)(11)(12)(18)	July 26, 2018		8,512,727		3,506,741		2,894,327

BlueMountain CLO 2014-2 Ltd.
CLO subordinated notes, estimated yield 6.74% due October 20, 2030(9)(11)(12)(18)	April 3, 2019		6,374,000		2,718,697		1,848,460

Carlyle Global Market Strategies CLO 2013-2, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 18, 2029(9)(11)(12)(18)(24)	March 19, 2013		6,250,000		3,018,972		1,924,806

~~(continued~~(continued on next page)

See Accompanying Notes.

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)— (continued)
~~September~~June 30, ~~2017~~
~~(unaudited)~~2021

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net Assets
Collateralized Loan Obligation — Equity Investments – (continued)

Structured Finance – (continued)
Carlyle Global Market Strategies CLO 2013-2, Ltd.

CLO subordinated notes, estimated yield 9.82% due April 18, 2025^{(9)(11)(12)(19)}

$
9,250,000

$
5,932,670

$
5,593,861

Catamaran CLO 2012-1 Ltd.

CLO subordinated notes, estimated yield 2.37% due December 20, 2023^{(9)(11)(12)(19)}

23,000,000

9,521,922

4,140,000

Cedar Funding II CLO, Ltd.

CLO subordinated notes, estimated yield 15.32% due March 09, 2025^{(9)(11)(12)(19)}

18,000,000

13,658,689

13,140,000

Cedar Funding VI CLO, Ltd.

CLO subordinated notes, estimated yield 14.88% due October 20, 2028^{(9)(11)(12)(19)}

7,700,000

7,008,964

7,007,000

CIFC Funding 2012-1, Ltd.

CLO subordinated notes, estimated yield 0.00% due August 14, 2024^{(9)(10)(11)(12)(19)}

12,750,000

213,307

133,875

CIFC Funding 2014-3, Ltd.

CLO subordinated notes, estimated yield 15.10% due July 22, 2026^{(9)(11)(12)(19)}

10,000,000

6,996,163

6,400,000

Eaton Vance 2015-1, Ltd.

CLO subordinated notes, estimated yield 13.62% due October 20, 2026^{(9)(11)(12)(19)}

7,500,000

5,109,292

5,475,000

Galaxy XVII CLO, Ltd.

CLO subordinated notes, estimated yield 24.75% due April 25, 2025^{(9)(11)(12)(19)}

2,000,000

900,698

860,000

GoldenTree Loan Opportunities VII, Ltd.

CLO subordinated notes, estimated yield 19.39% due April 25, 2025^{(9)(11)(12)(19)}

4,670,000

2,621,693

2,568,500

Hull Street CLO Ltd.

CLO subordinated notes, estimated yield -1.14% due October 18, 2026^{(9)(11)(12)(19)}

5,000,000

2,941,954

1,350,000

Ivy Hill Middle Market Credit Fund VII, Ltd.

CLO subordinated notes, estimated yield 17.21% due October 20, 2025^{(9)(11)(12)(19)}

14,000,000

11,434,840

10,151,717

Jamestown CLO V Ltd.

CLO subordinated notes, estimated yield 18.20% due January 17, 2027^{(9)(11)(12)(19)}

8,000,000

4,933,371

3,200,000

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Carlyle Global Market Strategies CLO 2021-6, Ltd.
CLO subordinated notes, estimated yield 17.40% due July 15, 2034(9)(11)(12)(14)(18)	June 30, 2021	$	44,600,000	$	33,465,949	$	33,450,000

Cedar Funding II CLO, Ltd.
CLO subordinated notes, estimated yield 14.53% due April 20, 2034(9)(11)(12)(18)	October 23, 2013		18,000,000		11,723,715		10,260,000

Cedar Funding VI CLO, Ltd.
CLO subordinated notes, estimated yield 13.91% due October 20, 2034(9)(11)(12)(18)	May 15, 2017		7,700,000		7,031,983		6,776,000

CIFC Funding 2014-3, Ltd.
CLO subordinated notes, estimated yield 5.38% due October 22, 2031(9)(11)(12)(18)(24)	January 24, 2017		10,000,000		5,284,007		4,000,000

Dryden 43 Senior Loan Fund
CLO subordinated notes, estimated yield 17.31% due April 20, 2034(9)(11)(12)(18)	June 1, 2021		10,000,000		6,947,459		6,900,000

Madison Park Funding XVIII, Ltd.
CLO subordinated notes, estimated yield 35.32% due October 21, 2030(9)(11)(12)(18)(24)	May 22, 2020		12,500,000		5,363,788		7,500,000

Madison Park Funding XIX, Ltd.
CLO subordinated notes, estimated yield 11.90% due January 22, 2028(9)(11)(12)(18)(24)	May 11, 2016		5,422,500		3,965,704		3,687,300

Nassau 2019-I Ltd.
CLO subordinated notes, estimated yield 10.76% due April 15, 2031(9)(11)(12)(18)(24)	April 11, 2019		23,500,000		16,630,769		11,280,000

Octagon Investment Partners 45, Ltd.
CLO subordinated notes, estimated yield 35.20% due October 15, 2032(9)(11)(12)(18)	May 13, 2020		3,750,000		2,260,615		3,177,858

Octagon Investment Partners 49, Ltd.
CLO subordinated notes, estimated yield 18.12% due January 15, 2033(9)(11)(12)(14)(18)	December 11, 2020		28,875,000		22,405,485		21,580,505

Sound Point CLO XVI, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 25, 2030(9)(11)(12)(14)(18)	August 1, 2018		45,500,000		33,088,549		19,565,000

Telos CLO 2013-3, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 17, 2026(9)(11)(12)(18)(24)	January 25, 2013		14,447,790		6,237,524		722,390

~~(continued~~(continued on next page)

See Accompanying Notes.

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)— (continued)
~~September~~June 30, ~~2017~~
~~(unaudited)~~2021

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net Assets
Collateralized Loan Obligation — Equity Investments – (continued)

Structured Finance – (continued)
KVK CLO 2013-2, Ltd.

CLO subordinated notes, estimated yield 37.81% due January 15, 2026^{(9)(11)(12)(19)}

$
14,200,000

$
6,739,198

$
5,467,000

Madison Park Funding XIX, Ltd.

CLO subordinated notes, estimated yield 13.63% due January 22, 2028^{(9)(11)(12)(19)}

5,422,500

5,315,388

5,585,175

Marea CLO, Ltd.

CLO subordinated notes, estimated yield 0.00% due October 15, 2023^{(9)(10)(11)(12)(19)}

16,217,000

2,664,610

—

Mountain Hawk III CLO, Ltd.

CLO M notes due April 18, 2025^(11)(12)(13)

2,389,676

—

109,020

Regatta V Funding, Ltd.

CLO subordinated notes, estimated yield 18.78% due October 25, 2026^{(9)(11)(12)(19)}

3,000,000

1,826,552

1,800,000

Steele Creek CLO 2014-1, Ltd.

CLO subordinated notes, estimated yield 18.97% due August 21, 2026^{(9)(11)(12)(19)}

6,000,000

4,294,553

4,320,000

Telos CLO 2013-3, Ltd.

CLO subordinated notes, estimated yield 20.20% due July 17, 2026^{(9)(11)(12)(19)}

14,447,790

9,146,221

7,946,285

Telos CLO 2013-4, Ltd.

CLO subordinated notes, estimated yield 26.48% due July 17, 2024^{(9)(11)(12)(19)}

11,350,000

6,941,608

6,578,091

Telos CLO 2014-5, Ltd.

CLO subordinated notes, estimated yield 21.10% due April 17, 2025^{(9)(11)(12)(19)}

28,500,000

18,448,186

16,898,211

Venture XIV, Ltd.

CLO subordinated notes, estimated yield 19.47% due August 28, 2029^{(9)(11)(12)(19)}

5,250,000

3,214,363

2,835,000

Venture XVII, Ltd.

CLO subordinated notes, estimated yield 20.20% due July 15, 2026^{(9)(11)(12)(19)}

6,200,000

4,219,279

3,728,873

Venture XXIV CLO, Ltd.

CLO subordinated notes, estimated yield 16.14% due October 20, 2028^{(9)(11)(12)(19)}

3,750,000

3,346,166

3,262,500

Vibrant CLO V, Ltd.

CLO subordinated notes, estimated yield 18.98% due January 20, 2029^{(9)(11)(12)(19)}

13,475,000

11,990,357

11,588,500

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Telos CLO 2013-4, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 17, 2030(9)(11)(12)(18)(24)	May 20, 2015	$	11,350,000	$	6,304,046	$	2,043,207

Telos CLO 2014-5, Ltd.
CLO subordinated notes, estimated yield 0.00% due April 17, 2028(9)(11)(12)(18)	April 11, 2014		28,500,000		18,179,226		2,280,000

THL Credit Wind River 2012-1 CLO, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 15, 2026(9)(11)(12)(18)	June 11, 2015		7,500,000		2,950,840		37,500

Venture XVII, Ltd.
CLO subordinated notes, estimated yield 0.00% due April 15, 2027(9)(11)(12)(18)(24)	January 27, 2017		6,200,000		3,061,876		718,679

Venture XX, Ltd.
CLO subordinated notes, estimated yield 0.00% due April 15, 2027(9)(11)(12)(18)(24)	July 27, 2018		3,000,000		1,216,869		510,000

Venture 35 CLO, Limited
CLO subordinated notes, estimated yield 23.43% due October 22, 2031(9)(11)(12)(18)	December 7, 2020		5,000,000		2,554,718		2,700,000

Venture 39 CLO, Limited
CLO subordinated notes, estimated yield 34.37% due April 15, 2033(9)(11)(12)(18)	May 8, 2020		5,150,000		3,039,856		3,811,000

Vibrant CLO V, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 20, 2029(9)(11)(12)(18)	April 27, 2017		13,475,000		5,658,619		1,428,350

West CLO 2014-1, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 18, 2026(9)(11)(12)(18)(24)	May 12, 2017		9,250,000		1,995,430		342,250

Westcott Park CLO, Ltd.
CLO subordinated notes, estimated yield 31.84% due July 20, 2028(9)(11)(12)(18)	September 16, 2020		19,000,000		1,806,305		5,244,000

Zais CLO 6, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 15, 2029(9)(11)(12)(18)	May 3, 2017		10,500,000		7,191,362		3,150,000

CLO Equity Side Letter Related Investments(11)(12)(13)(25)(26)					1,432,445		2,389,882
Total Structured Finance				$	222,876,615	$	162,797,764	66.9	%
Total Collateralized Loan Obligation – Equity Investments				$	222,876,615	$	162,797,764	66.9	%

~~(continued~~(continued on next page)

See Accompanying Notes.

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)— (continued)
~~September~~June 30, ~~2017~~
~~(unaudited)~~2021

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT/SHARES

COST

FAIR VALUE⁽²⁾

% of Net Assets
Collateralized Loan Obligation — Equity Investments – (continued)

Structured Finance – (continued)
West CLO 2014-1, Ltd.

CLO subordinated notes, estimated yield 24.57% due July 18, 2026^{(9)(11)(12)(19)}

$
13,500,000

$
9,068,058

$
9,180,000

Windriver 2012-1 CLO, Ltd.

CLO subordinated notes, estimated yield 11.02% due January 17, 2024^{(9)(11)(12)(19)}

7,500,000

4,831,741

4,057,494

Zais CLO 6, Ltd.

CLO subordinated notes, estimated yield 20.32% due July 15, 2029^{(9)(11)(12)(19)}

10,500,000

9,425,570

10,185,000

CLO Equity Side Letter Related Investments^(11)(12)(13)

125,000

1,616,116

Total Structured Finance

$
195,495,102

$
173,562,605

45.4
%
Total Collateralized Loan Obligation – Equity Investments

$
195,495,102

$
173,562,605

45.4
%

Common Stock

IT Consulting

Unitek Global Services

common equity^(7)(10)

1,244,188

$
684,960

$
622,094

Total IT Consulting

$
684,960

$
622,094

0.2
%
Total Common Stock

$
684,960

$
622,094

0.2
%

Preferred Equity

IT Consulting

Unitek Global Services, Inc.

Series A Senior Preferred Equity⁽⁷⁾

3,002,455

$
2,762,421

$
3,122,553

Series A Preferred Equity⁽⁷⁾

5,706,866

3,677,000

8,046,681

Total IT Consulting

$
6,439,421

$
11,169,234

2.9
%
Total Preferred Equity

$
6,439,421

$
11,169,234

2.9
%

Warrants

IT Consulting

Unitek Global Services, Inc.

Warrants to purchase common stock⁽⁷⁾

159,795

$
—

$
—

Total IT Consulting

$
—

$
—

0.0
%
Total Warrants

$
—

$
—

0.0
%

Other Investments

Software

Algorithmic Implementations, Inc. (d/b/a “Ai Squared”)

Earnout payments^(7)(20)

$
500,000

$
500

Total Software

$
500,000

$
500

0.0
%
Total Other Investments

$
500,000

$
500

0.0
%

Total Investments in Securities⁽⁸⁾

$
442,615,897

$
421,730,553

110.3
%

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	SHARES	COST		FAIR VALUE(2)		% OF NET ASSETS
Common Stock
IT Consulting
Unitek Global Services, Inc.
common equity(7)(27)	January 13, 2015	1,244,188	$	684,960	$	—
Total IT Consulting			$	684,960	$	—	0.0	%
Total Common Stock			$	684,960	$	—	0.0	%

Preferred Stock
IT Consulting
Unitek Global Services, Inc.
Series B Preferred Stock(3)(17)(21)(27)	June 26, 2019	13,463,202	$	9,002,159	$	—
Series B Senior Preferred Stock(3)(17)(22)(27)	June 26, 2019	6,308,716		4,535,443		—
Series B Super Senior Preferred Stock(3)(17)(23)(27)	June 26, 2019	3,503,358		2,614,260		—
Total IT Consulting			$	16,151,862	$	—	0.0	%
Total Preferred Equity			$	16,151,862	$	—	0.0	%

Total Investments in Securities(8)			$	500,948,771	$	404,821,888	166.3	%

Cash Equivalents
First American Government Obligations Fund(19)			$	63,592,092	$	63,592,092
Total Cash Equivalents			$	63,592,092	$	63,592,092	26.1	%
Total Investments in Securities and Cash Equivalents			$	564,540,863	$	468,413,980	192.4	%

~~(continued~~____________

(1) The Company generally acquires its investments in private transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). These investments are generally subject to certain limitations on resale, and may be deemed to be “restricted securities” under the Securities Act.

(2) Fair value is determined in good faith by the Board of Directors of the Company.

(3) As of June 30, 2021, the portfolio includes $11,965,746 principal amount of debt investments and 23,275,276 shares of preferred stock investments which contain a PIK provision.

(4) Notes bear interest at variable rates and are subject to an interest rate floor where disclosed. The rate disclosed is as of June 30, 2021.

(5) Cost value reflects accretion of original issue discount or market discount, or amortization of premium.

(6) Cost value reflects repayment of principal

(7) Non-income producing at the relevant period end.

(8) Aggregate gross unrealized appreciation for U.S. federal income tax purposes is $3,100,114; aggregate gross unrealized depreciation for U.S. federal income tax purposes is $128,928,254. Net unrealized depreciation is $125,828,140 based upon an estimated tax cost basis of $530,650,028 as of June 30, 2021.

(9) Cost reflects accretion of effective yield less any cash distributions received or entitled to be received from CLO equity investments.

(10) The principal balance outstanding for this debt investment, in whole or in part, is indexed to 180-day LIBOR.

(11) Indicates assets that the Company believes do not represent “qualifying assets” under Section 55(a) of the 1940 Act. Qualifying assets must represent at least 70% of the Company’s total assets at the time of acquisition of any additional non-qualifying assets. As of June 30, 2021, the Company held qualifying assets that represented 62.2% of its total assets.

(12) Investment not domiciled in the United States.

(13) Fair value represents discounted cash flows associated with fees earned from CLO equity investments.

(14) Aggregate investments represent greater than 5% of net assets.

(15) The principal balance outstanding for this debt investment, in whole or in part, is indexed to 30-day LIBOR.

(16) The principal balance outstanding for this debt investment, in whole or in part, is indexed to 90-day LIBOR.

(continued on next page)

See Accompanying Notes.

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
~~September~~June 30, ~~2017~~
~~(unaudited)~~2021

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net Assets
Cash Equivalents

First American Government Obligations Fund⁽²¹⁾

$
119,601,494

$
119,601,494

Total Cash Equivalents

$
119,601,494

$
119,601,494

31.3
%
Total Investments in Securities and Cash Equivalents

$
562,217,391

$
541,332,047

141.6
%

~~____________~~(17) As of June 30, 2021, this debt or preferred equity investment was on non-accrual status. The aggregate fair value of these investments was approximately $7.8 million.

~~(1) Other than Unitek~~(18) The CLO subordinated notes and income notes are considered equity positions in CLO vehicles. Equity investments are entitled to recurring distributions which are generally equal to the remaining cash flow of the payments made by the underlying fund’s securities less contractual payments to debt holders and fund expenses. The estimated yield indicated is based on the prior quarters ending investment cost (for previously existing portfolio investments) or the original cost for those investments made during the current quarter, as well as, a current projection of the future cash flows. Such projections are periodically reviewed and adjusted, and the estimated yield may not ultimately be realized.

(19) Represents cash equivalents held in money market accounts as of June 30, 2021.

(20) The fair value of the investment was determined using significant unobservable inputs. See “Note 4. Fair Value.”

(21) The Company holds preferred stock in UniTek Global Services, Inc., that is entitled to receive cumulative preferential dividends at a rate of ~~which we~~13.5% per annum payable in additional shares.

(22) The Company holds preferred stock in UniTek Global Services, Inc. that is entitled to receive cumulative preferential dividends at a rate of 19.0% per annum payable in additional shares.

(23) The Company holds preferred stock in UniTek Global Services, Inc. that is entitled to receive cumulative preferential dividends at a rate of 20.0% per annum payable in additional shares.

(24) The investment is co-invested with the Company’s affiliates. See “Note 7. Related Party Transactions.”

(25) The CLO equity side letter related investments have acquisition dates from October 2013 through March 2021. There were no additional acquisitions during the quarter ended June 30, 2021.

(26) Cost value reflects amortization.

(27) These investments are deemed to be an “affiliate,” ~~we do not “control” and are not an “affiliate” of any of our portfolio companies, each~~ as defined in the Investment Company Act of 1940 (the “1940 Act”). In general, under the 1940 Act, we would be presumed to “control” a portfolio company if we owned 25% or more of its voting securities and would be an “affiliate” of a portfolio company if we owned between 5% ~~or more~~and 25% of its voting securities. We do not “control” any of our portfolio companies. The fair value of affiliated portfolio investments was $0 for both March 31, 2021 and June 30, 2021 and there was no investment activity during the quarter. For the quarter ended June 30, 2021, a total of approximately $0.9 million of paid-in-kind dividends were entitled to be received yet deemed uncollectible.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes
Aerospace and Defense
Novetta, LLC
first lien senior secured notes, 6.00% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(16)	November 20, 2014	$	5,414,630	$	5,374,499	$	5,378,514
Total Aerospace and Defense				$	5,374,499	$	5,378,514	2.4	%

Business Services
Access CIG, LLC
second lien senior secured notes, 7.98% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(14)(16)	February 14, 2018	$	16,754,000	$	16,833,452	$	16,502,690

Convergint Technologies, LLC
second lien senior secured notes, 7.50% (LIBOR + 6.75%), (0.75% floor) due February 2, 2026(4)(5)(15)	January 29, 2018		1,500,000		1,493,444		1,440,000

Imagine! Print Solutions, Inc.
second lien senior secured notes, 9.75% (LIBOR + 8.75%), (1.00% floor) due June 21, 2023(4)(5)(16)(17)	June 14, 2017		15,000,000		13,605,559		175,000

OMNIA Partners, Inc.
second lien senior secured notes, 7.75% (LIBOR + 7.50%), (0.00% floor) due May 22, 2026(4)(5)(14)(16)	May 17, 2018		14,000,000		13,947,515		13,090,000

Premiere Global Services, Inc.
first lien senior secured notes, 7.50% (LIBOR + 6.50%), (1.00% floor) due June 8, 2023(4)(5)(6)(10)(14)	October 1, 2019		14,280,354		13,809,512		11,808,425
second lien senior secured notes, 10.00%, 0.50% Cash, 10.00% PIK (LIBOR + 9.00%) (1.00% floor) due June 6, 2024(3)(4)(5)(14)(16)(17)	October 1, 2019		11,383,000		9,817,795		4,069,423

Verifone Systems, Inc.
first lien senior secured notes, 4.22% (LIBOR + 4.00%), (0.00% floor) due August 20, 2025(4)(5)(6)(14)(16)	August 9, 2018		13,839,695		13,242,682		13,355,306
Total Business Services				$	82,749,959	$	60,440,844	26.8	%

Diversified Insurance
AmeriLife Group LLC
second lien senior secured notes, 9.50% (LIBOR + 8.50%), (1.00% floor) due March 18, 2028(4)(5)(6)(10)	March 18, 2020	$	11,000,000	$	10,797,257	$	10,807,500
Total Diversified Insurance				$	10,797,257	$	10,807,500	4.8	%

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
December31, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes – (continued)
Education
Cambium Learning Group, Inc.
second lien senior secured notes, 9.50% (LIBOR + 8.50%), (1.00% floor) due December 18, 2026(4)(5)(6)(14)(16)	October 8, 2020	$	15,000,000	$	14,521,360	$	14,587,500
Total Education				$	14,521,360	$	14,587,500	6.5	%

Healthcare
Keystone Acquisition Corp.
first lien senior secured notes, 6.25% (LIBOR + 5.25%), (1.00% floor) due May 1, 2024(4)(5)(6)(14)(16)	May 10, 2017	$	7,381,574	$	7,361,671	$	6,938,680
second lien senior secured notes, 10.25% (LIBOR + 9.25%), (1.00% floor) due May 1, 2025(4)(5)(14)(16)	May 10, 2017		13,000,000		12,892,244		11,570,000

Viant Medical Holdings, Inc.
first lien senior secured notes, 3.90% (LIBOR + 3.75%), (0.00% floor) due July 2, 2025(4)(5)(6)(14)(15)	June 26, 2018		9,775,000		9,773,664		9,424,762
second lien senior secured notes, 7.90% (LIBOR + 7.75%), (0.00% floor) due July 2, 2026(4)(5)(14)(15)	June 26, 2018		5,000,000		4,960,791		4,418,750

HealthChannels, Inc. (f/k/a ScribeAmerica, LLC)
first lien senior secured notes, 4.65% (LIBOR + 4.50%), (0.00% floor) due April 3, 2025(4)(5)(6)(15)	October 31, 2018		9,761,529		9,711,098		9,322,260
Total Healthcare				$	44,699,468	$	41,674,452	18.5	%

Plastics Manufacturing
Spectrum Holdings III Corp. (f/k/a KPEX Holdings, Inc.)
first lien senior secured notes, 4.25% (LIBOR + 3.25%), (1.00% floor) due January 31, 2025(4)(5)(6)(10)	June 24, 2020	$	7,441,675	$	6,692,041	$	6,995,175
Total Plastics Manufacturing				$	6,692,041	$	6,995,175	3.1	%

Software
Quest Software, Inc.
second lien senior secured notes, 8.46% (LIBOR + 8.25%), (0.00% floor) due May 18, 2026(4)(5)(14)(16)	May 17, 2018	$	13,353,672	$	13,224,594	$	13,286,904
Total Software				$	13,224,594	$	13,286,904	5.9	%

Telecommunications Services
Global Tel Link Corp.
second lien senior secured notes, 8.40% (LIBOR + 8.25%), (0.00% floor) due November 29, 2026(4)(5)(14)(15)	November 20, 2018	$	17,000,000	$	16,753,439	$	11,798,000
Total Telecommunication Services				$	16,753,439	$	11,798,000	5.2	%

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
December31, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes – (continued)
Utilities
CLEAResult Consulting, Inc.
second lien senior secured notes, 7.40% (LIBOR + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(15)	August 3, 2018	$	7,650,000	$	7,669,188	$	7,191,000
Total Utilities				$	7,669,188	$	7,191,000	3.2	%
Total Senior Secured Notes				$	202,481,805	$	172,159,889	76.4	%

Collateralized Loan Obligation – Equity Investments
Structured Finance
AMMC CLO XI, Ltd.
CLO subordinated notes, estimated yield 11.32% due April 30, 2031(9)(11)(12)(18)(24)	March 12, 2015	$	4,000,000	$	2,539,582	$	1,940,000

Atlas Senior Loan Fund XI, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 26, 2031(9)(11)(12)(18)(24)	April 5, 2019		5,725,000		4,141,149		2,633,500

Babson CLO Ltd. 2015-I
CLO subordinated notes, estimated yield 0.29% due January 20, 2031(9)(11)(12)(18)	July 26, 2018		2,840,000		1,653,709		994,000

BlueMountain CLO 2014-2 Ltd.
CLO subordinated notes, estimated yield 13.38% due October 20, 2030(9)(11)(12)(18)	April 3, 2019		6,374,000		2,833,521		1,975,940

Carlyle Global Market Strategies CLO 2013-2, Ltd.
CLO subordinated notes, estimated yield 9.09% due January 18, 2029(9)(11)(12)(18)(24)	March 19, 2013		6,250,000		3,411,887		1,814,517

Cedar Funding II CLO, Ltd.
CLO subordinated notes, estimated yield 3.75% due June 09, 2030(9)(11)(12)(18)	October 23, 2013		18,000,000		11,586,521		7,200,000

Cedar Funding VI CLO, Ltd.
CLO subordinated notes, estimated yield 0.00% due October 20, 2028(9)(11)(12)(18)	May 15, 2017		7,700,000		6,994,901		4,620,000

CIFC Funding 2014-3, Ltd.
CLO subordinated notes, estimated yield 10.12% due October 22, 2031(9)(11)(12)(18)(25)	January 24, 2017		10,000,000		5,705,502		4,100,000

Madison Park Funding XVIII, Ltd.
CLO subordinated notes, estimated yield 33.06% due October 21, 2030(9)(11)(12)(18)(24)	May 22, 2020		12,500,000		5,486,110		7,125,000

Madison Park Funding XIX, Ltd.
CLO subordinated notes, estimated yield 13.24% due January 22, 2028(9)(11)(12)(18)(24)	May 11, 2016		5,422,500		4,402,485		3,741,525

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
December31, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Nassau 2019-I Ltd.
CLO subordinated notes, estimated yield 13.53% due April 15, 2031(9)(11)(12)(14)(18)(24)	April 11, 2019	$	23,500,000	$	17,716,348	$	11,750,000

Octagon Investment Partners 37, Ltd.
CLO subordinated notes, estimated yield 46.94% due July 25, 2030(9)(11)(12)(18)(24)	May 12, 2020		3,598,540		1,639,258		2,770,876

Octagon Investment Partners 45, Ltd.
CLO subordinated notes, estimated yield 32.04% due October 15, 2032(9)(11)(12)(18)	May 13, 2020		3,750,000		2,202,802		3,127,571

Octagon Investment Partners 49, Ltd.
CLO subordinated notes, estimated yield 20.25% due January 15, 2033(9)(11)(12)(14)(18)	December 11, 2020		28,875,000		22,162,586		21,907,317

Sound Point CLO XVI, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 25, 2030(9)(11)(12)(14)(18)	August 1, 2018		45,500,000		36,012,913		18,200,000

Telos CLO 2013-3, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 17, 2026(9)(11)(12)(18)(24)	January 25, 2013		14,447,790		6,237,524		144,478

Telos CLO 2013-4, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 17, 2030(9)(11)(12)(18)(24)	May 20, 2015		11,350,000		6,775,608		1,994,913

Telos CLO 2014-5, Ltd.
CLO subordinated notes, estimated yield 0.00% due April 17, 2028(9)(11)(12)(18)	April 11, 2014		28,500,000		18,179,226		285,000

Venture XVII, Ltd.
CLO subordinated notes, estimated yield 0.00% due April 15, 2027(9)(11)(12)(18)(24)	January 27, 2017		6,200,000		3,511,052		568,265

Venture XX, Ltd.
CLO subordinated notes, estimated yield 0.00% due April 15, 2027(9)(11)(12)(18)(24)	July 27, 2018		3,000,000		1,216,869		150,000

Venture 35 CLO, Limited
CLO subordinated notes, estimated yield 23.16% due October 22, 2031(9)(11)(12)(18)	December 7, 2020		3,000,000		1,452,178		1,410,000

Venture 39 CLO, Limited
CLO subordinated notes, estimated yield 35.57% due April 15, 2033(9)(11)(12)(18)	May 8, 2020		5,150,000		2,916,223		4,068,500

Vibrant CLO V, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 20, 2029(9)(11)(12)(18)	April 27, 2017		13,475,000		10,535,500		4,716,250

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
December31, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT/ SHARES		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
West CLO 2014-1, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 18, 2026(9)(11)(12)(18)(24)	May 12, 2017	$	9,250,000	$	4,870,097	$	1,942,500

Westcott Park CLO, Ltd.
CLO subordinated notes, estimated yield 27.60% due July 20, 2028(9)(11)(12)(18)	September 16, 2020		19,000,000		8,742,550		10,070,000

THL Credit Wind River 2012-1 CLO, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 15, 2026(9)(11)(12)(18)	June 11, 2015		7,500,000		3,157,112		—

Zais CLO 6, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 15, 2029(9)(11)(12)(18)	May 3, 2017		10,500,000		7,381,532		1,890,000

CLO Equity Side Letter Related Investments(11)(12)(13)(25)(26)					1,600,801		1,373,959
Total Structured Finance				$	205,065,546	$	122,514,111	54.3	%
Total Collateralized Loan Obligation – Equity Investments				$	205,065,546	$	122,514,111	54.3	%

Common Stock
IT Consulting
Unitek Global Services, Inc.
common equity(7)(27)	January 13, 2015		1,244,188	$	684,960	$	—
Total IT Consulting				$	684,960	$	—	0.0	%
Total Common Stock				$	684,960	$	—	0.0	%

Preferred Stock
IT Consulting
Unitek Global Services, Inc.
Series B Preferred Stock(3)(17)(21)(27)	June 26, 2019		12,598,456	$	9,002,159	$	—
Series B Senior Preferred Stock(3)(17)(22)(27)	June 26, 2019		5,749,537		4,535,443		—
Series B Super Senior Preferred Stock(3)(17)(23)(27)	June 26, 2019		3,177,649		2,614,260		—
Total IT Consulting				$	16,151,862	$	—	0.0	%
Total Preferred Equity				$	16,151,862	$	—	0.0	%
Total Investments in Securities(8)				$	424,384,173	$	294,674,000	130.7	%

Cash Equivalents
First American Government Obligations Fund(19)				$	59,137,284	$	59,137,284
Total Cash Equivalents				$	59,137,284	$	59,137,284	26.2	%
Total Investments in Securities and Cash Equivalents				$	483,521,457	$	353,811,284	156.9	%

____________

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
December31, 2020

(2) Fair value is determined in good faith by the Board of Directors of the Company.

(3) ~~Portfolio~~As of December 31, 2020, the portfolio includes ~~$6,763,573 of~~$11,383,000 principal amount of debt investments and 21,525,642 shares of preferred stock investments which contain a PIK ~~provision at September 30, 2017.~~provision.

(4) Notes bear interest at variable ~~rates.~~rates and are subject to an interest rate floor where disclosed. The rate disclosed is as of December 31, 2020.

(5) Cost value reflects accretion of original issue discount or market ~~discount.~~discount, or amortization of premium.

(6) Cost value reflects repayment of principal.

(7) ~~Non-income~~Non-income producing at the relevant period end.

(8) Aggregate gross unrealized appreciation for U.S. federal income tax purposes is ~~$12,832,544;~~$7,604,740; aggregate gross unrealized depreciation for U.S. federal income tax purposes is ~~$76,038,143.~~$146,059,439. Net unrealized depreciation is ~~$63,205,599~~$138,454,699 based upon aan estimated tax cost basis of ~~$484,936,152.~~$433,128,699 as of December 31, 2020.

(9) Cost ~~value~~ reflects accretion of effective yield less any cash distributions received or entitled to be received from CLO equity investments.

(10) The ~~CLO equity~~principal balance outstanding for this debt investment, ~~was optionally redeemed. Refer~~in whole or in part, is indexed to ~~“Note 3. Summary of Significant Accounting Policies.”~~180-day LIBOR.

(11) Indicates assets that the Company believes do not represent “qualifying assets” under Section 55(a) of the 1940 ~~Act~~Act. Qualifying assets must represent at least 70% of the Company’s total assets at the time of acquisition of any additional ~~non-qualifying~~non-qualifying assets. As of ~~September 30, 2017,~~December 31, 2020, the Company held qualifying assets that represented ~~67.3%~~63.3% of its total ~~assets~~assets.

(12) Investment not domiciled in the United States.

(13) Fair value represents discounted cash flows associated with fees earned from CLO equity ~~investments~~investments.

(14) Aggregate investments represent greater than 5% of net assets.

(15) The principal balance outstanding for this debt investment, in whole or in part, is indexed to ~~90-day~~30-day LIBOR.

(16) The principal balance outstanding for this debt investment, in whole or in part, is indexed to ~~1-year~~90-day LIBOR.

(17) ~~The principal balance outstanding for~~As of December 31, 2020, this debt or preferred equity investment ~~in whole or in part, is indexed to 30-day LIBOR.~~was on non-accrual status. The aggregate fair value of these investments was approximately $4.2 million.

(18) ~~The principal balance outstanding for this debt investment, in whole or in part, is indexed to 180-day LIBOR.~~

~~(19)~~ The CLO subordinated notes and income notes are considered equity positions in ~~the~~ CLO ~~funds.~~vehicles. Equity investments are entitled to recurring distributions which are generally equal to the remaining cash flow of the payments made by the underlying fund’s securities less contractual payments to debt holders and fund expenses. The estimated yield indicated is based ~~upon~~on the prior quarters ending investment cost (for previously existing portfolio investments) or the original cost for those investments made during the current quarter, as well as, a current projection of the ~~amount and timing of these recurring distributions and the estimated amount of repayment of principal upon expected redemption.~~future cash flows. Such projections are periodically reviewed and adjusted, and the estimated yield may not ultimately be realized.

~~(20) Represents the earnout payments related to the sale of Algorithmic Implementations, Inc. (d/b/a “Ai Squared”).~~

~~(21)~~(19) Represents cash equivalents held in money market accounts as of ~~September 30, 2017.~~December 31, 2020.

(20) The fair value of the investment was determined using significant unobservable inputs. See “Note 3. Fair Value.”

(21) The Company holds preferred stock in UniTek Global Services, Inc. that is entitled to receive cumulative preferential dividends at a rate of 13.5% per annum payable in additional shares.

(22) The Company holds preferred stock in UniTek Global Services, Inc. that is entitled to receive cumulative preferential dividends at a rate of 19.0% per annum payable in additional shares.

(23) The Company holds preferred stock in UniTek Global Services, Inc. that is entitled to receive cumulative preferential dividends at a rate of 20.0% per annum payable in additional shares.

(24) The investment is co-invested with the Company’s affiliates. See “Note 7. Related Party Transactions.”

(25) The CLO equity side letter related investments have acquisition dates from October 2013 to December 2020.

(26) Cost value reflects amortization.

(continued on next page)

See Accompanying Notes.

814

Table of Contents

OXFORD SQUARE CAPITAL CORP.

~~TICC CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS~~
~~DECEMBER 31, 2016~~

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net
Assets
Senior Secured Notes

Aerospace and Defense

Novetta, LLC

first lien senior secured notes, 6.00% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022^{(4)(5)(6)(10)(15)}

$
5,643,000

$
5,586,051

$
5,466,656

Total Aerospace and Defense

$
5,586,051

$
5,466,656

1.4
%

Business Services

BMC Software Finance, Inc.

first lien senior secured notes, 5.00% (LIBOR + 4.00%), (1.00% floor) due September 10, 2020^{(4)(5)(6)(10)(15)}

$
4,676,389

$
4,687,172

$
4,664,698

ConvergeOne Holdings Corp.

first lien senior secured notes, 6.375% (LIBOR + 5.375%), (1.00% floor) due June 17, 2020^{(4)(5)(6)(10)(15)}

9,609,828

9,609,610

9,561,779

second lien senior secured notes, 10.00% (LIBOR + 9.00%), (1.00% floor) due June 17, 2021^{(4)(5)(10)(15)}

3,000,000

2,978,478

2,940,000

Polycom, Inc.

first lien senior secured notes, 7.50% (LIBOR + 6.50%), (1.00% floor) due September 27, 2023^{(4)(5)(14)(17)}

6,769,583

6,497,271

6,803,431

second lien senior secured notes, 11.00% (LIBOR + 10.00%), (1.00% floor) due September 27, 2024^{(4)(5)(14)(17)}

13,000,000

12,744,436

12,870,000

Premiere Global Services, Inc.

senior secured notes, 7.50% (LIBOR + 6.50%), (1.00% floor) due December 8, 2021^{(4)(5)(6)(10)(15)}

14,436,090

13,060,236

14,048,192

second lien senior secured notes, 10.50% (LIBOR + 9.50%), (1.00% floor) due June 6, 2022^(4)(5)(17)

5,000,000

4,804,450

4,800,000

Source Hov, LLC

first lien senior secured notes, 7.75% (LIBOR + 6.75%),(1.00% floor) due October 31,
2019^{(4)(5)(6)(10)(14)(17)}

16,537,500

16,195,897

14,883,750

second lien senior secured notes, 11.50% (LIBOR + 10.50%), (1.00% floor) due April 30, 2020^{(4)(5)(10)(14)(17)}

15,000,000

14,586,122

9,723,750

Total Business Services

$
85,163,672

$
80,295,600

20.8
%

Computer Hardware

Stratus Technologies, Inc.

first lien senior secured notes, 6.00% (LIBOR + 5.00%), (1.00% floor) due April 28, 2021^{(4)(5)(6)(10)(17)}

$
7,975,000

$
7,911,297

$
7,855,375

Total Computer Hardware

$
7,911,297

$
7,855,375

2.0
%

Consumer Services

Jackson Hewitt Tax Service, Inc.

first lien senior secured notes, 8.00% (LIBOR + 7.00%), (1.00% floor) due July 30, 2020^{(4)(5)(6)(10)(15)}

$
17,640,000

$
17,387,178

$
16,912,350

Total Consumer Services

$
17,387,178

$
16,912,350

4.4
%

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~TICC CAPITAL CORP.~~

CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
~~DECEMBER~~ December31, ~~2016~~2020

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net
Assets
Senior Secured Notes – (continued)

Diversified Insurance

AmeriLife Group

first lien senior secured notes, 5.75% (LIBOR + 4.75%), (1.00% floor) due July 10, 2022^{(4)(5)(6)(10)(16)}

$
15,620,604

$
15,486,217

$
15,151,986

Total Diversified Insurance

$
15,486,217

$
15,151,986

3.9
%

Education

Edmentum, Inc. (F/K/A “Plato, Inc.”)

first lien senior secured notes, 5.50% (LIBOR + 4.50%), (1.00% floor) Cash, 2.00% PIK due June 10, 2019^{(3)(4)(5)(6)(10)(15)}

$
5,966,443

$
5,931,165

$
4,285,875

Total Education

$
5,931,165

$
4,285,875

1.1
%

Financial Intermediaries

First American Payment Systems

second lien senior secured notes, 10.75% (LIBOR + 9.50%), (1.25% floor) due April 12, 2019^{(4)(5)(6)(10)(17)}

$
13,982,241

$
13,870,396

$
13,982,241

Harbortouch Payments

second lien senior secured notes, 10.50% (LIBOR + 9.50%), (1.00% floor) due October 11, 2024^{(4)(5)(6)(10)(15)}

12,000,000

11,777,359

11,820,000

NAB Holdings, LLC

first lien senior secured notes, 4.75% (LIBOR + 3.75%), (1.00% floor) due May 21, 2021^{(4)(5)(6)(10)(15)}

9,262,559

9,214,580

9,262,559

Total Merchant Services, Inc.

first lien senior secured notes, 6.50% (LIBOR + 5.50%), (1.00% floor) due December 5, 2020^{(4)(5)(6)(10)(18)}

12,224,081

12,135,248

11,888,285

Total Financial Intermediaries

$
46,997,583

$
46,953,085

12.2
%

IT Consulting

Unitek Global Services, Inc.

first lien senior secured tranche B term loan, 8.50% (LIBOR + 4.50%), (1.00% floor) due January 13, 2019^{(4)(5)(10)(15)}

$
2,638,748

$
2,617,067

$
2,665,135

Total IT Consulting

$
2,617,067

$
2,665,135

0.7
%

Logistics

Capstone Logistics Acquisition, Inc.

first lien senior secured notes, 5.50% (LIBOR + 4.50%), (1.00% floor) due October 7, 2021^{(4)(5)(6)(10)(17)}

$
10,727,817

$
10,704,694

$
10,584,815

Total Logistics

$
10,704,694

$
10,584,815

2.7
%

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~TICC CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)~~
~~DECEMBER 31, 2016~~

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net Assets
Senior Secured Notes – (continued)

Printing and Publishing

iEnergizer Limited

first lien senior secured notes, 7.25% (LIBOR + 6.00%), (1.25% floor) due May 01, 2019^{(4)(5)(6)(10)(11)(12)(17)}

$
4,694,081

$
4,621,686

$
4,647,140

Merrill Communications, LLC

first lien senior secured notes, 6.25% (LIBOR + 5.25%),
(1.00% floor ) due June 01, 2022^{(4)(5)(6)(10)(14)(15)}

23,682,442

23,447,282

23,504,824

Novitex Enterprise Solutions (F/K/A “Pitney Bowes Management Services, Inc.”)

first lien senior secured notes, 8.00% (LIBOR + 6.75%), (1.25% floor) due July 07, 2020^{(4)(5)(6)(10)(18)}

15,165,400

15,098,034

14,520,871

Innovairre Holding Company LLC(F/K/A” RBS Holding Company”)

first lien senior secured notes, 5.00% (LIBOR + 4.00%), (1.00% floor) due August 2, 2019^{(4)(5)(6)(15)}

11,839,379

11,578,162

11,602,591

Recorded Books, Inc. (F/K/A “Volume
Holdings, Inc.”)

senior secured notes, 5.50% (LIBOR + 4.50%), (1.00% floor) due July 31, 2021^{(4)(5)(6)(10)(15)}

8,720,058

8,684,453

8,632,857

Total Printing and Publishing

$
63,429,617

$
62,908,283

16.3
%

Software

Help/Systems Holdings, Inc.

senior secured notes, 6.25% (LIBOR + 5.25%), (1.00% floor) due October 18, 2021^{(4)(5)(6)(10)(15)}

$
8,910,000

$
8,760,042

$
8,887,725

second lien senior secured notes 10.50% (LIBOR + 9.50%), (1.00% floor) due October 8, 2022^(4)(5)(15)

10,000,000

9,676,019

9,500,000

Total Software

$
18,436,061

$
18,387,725

4.8
%

Telecommunications Services

Aricent Technologies, Inc.

first lien senior secured notes, 5.50% (LIBOR + 4.50%), (1.00% floor) due April 14, 2021^{(4)(5)(6)(10)(14)(18)}

$
8,775,262

$
8,731,896

$
8,533,942

second lien senior secured notes, 9.50% (LIBOR + 8.50%), (1.00% floor) due April 14, 2022^{(4)(5)(10)(14)(18)}

14,000,000

14,008,442

12,040,000

Birch Communications, Inc.

first lien senior secured notes, 8.25% (LIBOR + 7.25%), (1.00% floor) due July 18, 2020^{(4)(5)(6)(10)(14)(15)}

22,386,525

21,592,757

19,700,142

Global Tel Link Corp

first lien senior secured notes, 5.00% (LIBOR + 3.75%), (1.25% floor) due May 23, 2020^{(4)(5)(6)(15)}

1,983,163

1,975,704

1,969,539

second lien senior secured notes, 9.00% (LIBOR + 7.75%), (1.25% floor) due November 23, 2020^{(4)(5)(10)(15)}

13,000,000

12,903,392

12,593,750

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~TICC CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)~~
~~DECEMBER 31, 2016~~

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net Assets
Senior Secured Notes – (continued)

Telecommunications Services – (continued)
Electric Lightwave Holdings, Inc. (F/K/A “Integra Telecom Holdings, Inc.”)

first lien senior secured notes, 5.25% (LIBOR + 4.00%), (1.25% floor) due August 14, 2020^{(4)(5)(6)(10)(14)(15)}

$
5,180,526

$
5,159,932

$
5,189,592

second lien senior secured notes, 9.75% (LIBOR + 8.50%), (1.25% floor) due February 14, 2021^{(4)(5)(6)(10)(14)(15)}

10,806,404

10,857,480

10,786,196

Securus Technologies, Inc.

first lien senior secured notes, 4.75% (LIBOR + 3.50%), (1.25% floor) due April 30, 2020^{(4)(5)(6)(15)}

5,824,573

5,792,824

5,795,450

second lien senior secured notes, 9.00% (LIBOR + 7.75%), (1.25% floor) due April 30, 2021^{(4)(5)(10)(15)}

6,400,000

6,379,907

6,256,000

U.S. Telepacific Corp.

first lien senior secured notes, 6.00% (LIBOR + 5.00%), (1.00% floor) due November 25, 2020 (4)(5)(6)(10)(15)

9,778,733

9,708,848

9,756,340

Total Telecommunication Services

$
97,111,182

$
92,620,951

24.0
%

Travel
Travel Leaders Group, LLC

first lien senior secured notes, 7.00% (LIBOR + 6.00%), (1.00% floor) due December 07, 2020^{(4)(5)(6)(10)(15)}

$
8,926,197

$
8,790,059

$
8,926,197

Total Travel

$
8,790,059

$
8,926,197

2.3
%
Total Senior Secured Notes

$
385,551,843

$
373,014,033

96.6
%

Subordinated Debt

IT Consulting

Unitek Global Services, Inc.

Holdco PIK Debt Cash 0.00%, 15.00% PIK, due July 13, 2019^(3)(5)(10)

$
671,053

$
668,162

$
677,764

Total IT Consulting

$
668,162

$
677,764

0.2
%
Total Subordinated Debt

$
668,162

$
677,764

0.2
%

Collateralized Loan Obligation – Debt Investments

Structured Finance

Telos CLO 2013-3, Ltd.

CLO secured class F notes, 6.38% (LIBOR + 5.50%), due January 17, 2024^{(4)(5)(11)(12)(15)}

$
3,000,000

$
2,804,247

$
2,700,000

Total Structured Finance

$
2,804,247

$
2,700,000

0.7
%
Total Collateralized Loan Obligation – Debt Investments

$
2,804,247

$
2,700,000

0.7
%

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~TICC CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)~~
~~DECEMBER 31, 2016~~

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net Assets
Collateralized Loan Obligation – Equity Investments

Structured Finance

ACAS CLO 2012-1, Ltd.

CLO subordinated notes, estimated yield 121.87% due September 20, 2023^{(9)(11)(12)(19)}

$
6,000,000

$
2,993,455

$
3,240,000

ALM X, Ltd.

CLO preference shares, estimated yield 24.92% due January 15, 2025^{(9)(11)(12)(19)}

3,801,000

2,503,234

2,599,034

AMMC CLO XI, Ltd.

CLO subordinated notes, estimated yield 45.48% due October 30, 2023^{(9)(11)(12)(19)}

6,000,000

3,698,795

3,600,000

AMMC CLO XII, Ltd.

CLO subordinated notes, estimated yield 20.03% due May 10, 2025^{(9)(11)(12)(19)}

12,921,429

7,298,625

5,943,857

Ares XXV CLO Ltd.

CLO subordinated notes, estimated yield 10.48% due January 17, 2024^{(9)(11)(12)(19)}

15,500,000

9,799,870

8,370,000

Ares XXVI CLO Ltd.

CLO subordinated notes, estimated yield 13.02% due April 15, 2025^{(9)(11)(12)(19)}

17,630,000

9,247,832

7,833,790

Ares XXIX CLO Ltd.

CLO subordinated notes, estimated yield 9.16% due April 17, 2026^{(9)(11)(12)(19)}

12,750,000

8,897,649

7,355,511

Atlas Senior Loan Fund III, Ltd.

CLO subordinated notes, estimated yield 19.61% due August 18, 2025^{(9)(11)(12)(19)}

8,000,000

4,295,766

4,540,000

Benefit Street Partners CLO II, Ltd.

CLO subordinated notes, estimated yield 12.25% due July 15, 2024^{(9)(11)(12)(19)}

23,450,000

19,654,575

16,855,411

Carlyle Global Market Strategies CLO 2013-2, Ltd.

CLO subordinated notes, estimated yield 18.27% due April 18, 2025^{(9)(11)(12)(19)}

9,250,000

6,122,479

5,599,429

Catamaran CLO 2012-1 Ltd.

CLO subordinated notes, estimated yield -6.86% due December 20, 2023^{(9)(11)(12)(19)}

23,000,000

11,239,113

5,750,000

Cedar Funding II CLO, Ltd.

CLO subordinated notes, estimated yield 17.80% due March 09, 2025^{(9)(11)(12)(19)}

18,750,000

13,853,409

13,125,000

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~TICC CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)~~
~~DECEMBER 31, 2016~~

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net Assets
Collateralized Loan Obligation – Equity Investments –(continued)

Structured Finance – (continued)
CIFC Funding 2012-1, Ltd.

CLO subordinated notes, estimated yield 23.01% due August 14, 2024^{(9)(11)(12)(19)}

$
12,750,000

$
7,066,122

$
6,757,500

GoldenTree Loan Opportunities VII, Ltd.

CLO subordinated notes, estimated yield 27.89% due
April 25, 2025^{(9)(11)(12)(19)}

4,670,000

2,749,405

3,269,000

Halcyon Loan Advisors Funding 2014-2 Ltd.

CLO subordinated notes, estimated yield 5.87% due
April 28, 2025^{(9)(11)(12)(19)}

8,000,000

5,020,677

3,700,000

Hull Street CLO Ltd.

CLO subordinated notes, estimated yield 12.76% due October 18, 2026^{(9)(11)(12)(19)}

5,000,000

3,218,541

2,400,000

Ivy Hill Middle Market Credit Fund VII, Ltd.

CLO subordinated notes, estimated yield 11.54% due October 20, 2025^{(9)(11)(12)(19)}

14,000,000

11,572,127

10,590,431

Jamestown CLO V Ltd.

CLO subordinated notes, estimated yield 7.42% due January 17, 2027^{(9)(11)(12)(19)}

8,000,000

4,890,961

4,000,000

KVK CLO 2012-2, Ltd.

CLO subordinated notes, estimated yield 62.66% due February 10, 2025^{(9)(11)(12)(19)}

5,000,000

1,949,974

2,250,000

KVK CLO 2013-2, Ltd.

CLO subordinated notes, estimated yield 37.69% due January 15, 2026^{(9)(11)(12)(19)}

14,000,000

5,725,139

6,160,000

Madison Park Funding XIX, Ltd.

CLO subordinated notes, estimated yield 15.62% due January 22, 2029^{(9)(11)(12)(19)}

5,422,500

5,417,070

5,856,300

Marea CLO, Ltd.

CLO subordinated notes, estimated yield 8.00% due October 15, 2023^{(9)(11)(12)(19)}

16,217,000

10,050,816

6,109,956

Mountain Hawk III CLO, Ltd.

CLO income notes, estimated yield 7.50% due April 18, 2025^{(9)(11)(12)(19)}

17,200,000

10,236,812

6,657,469

CLO M notes due April 18, 2025^(11)(12)(13)

2,389,676

—

288,747

Regatta V Funding, Ltd.

CLO subordinated notes, estimated yield 23.73% due October 25, 2026^{(9)(11)(12)(19)}

3,000,000

1,745,162

1,830,000

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~TICC CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)~~
~~DECEMBER 31, 2016~~

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT/SHARES

COST

FAIR VALUE⁽²⁾

% of Net Assets
Collateralized Loan Obligation – Equity Investments –(continued)

Structured Finance – (continued)
Shackleton 2013-IV CLO, Ltd.

CLO subordinated notes, estimated yield 10.06% due January 13, 2025^{(9)(11)(12)(19)}

$
24,400,000

$
16,014,950

$
12,503,876

Telos CLO 2013-3, Ltd.

CLO subordinated notes, estimated yield 20.89% due January 17, 2024^{(9)(11)(12)(19)}

10,416,666

7,191,952

5,572,916

Telos CLO 2013-4, Ltd.

CLO subordinated notes, estimated yield 31.09% due July 17, 2024^{(9)(11)(12)(19)}

11,350,000

7,010,740

6,881,917

Telos CLO 2014-5, Ltd.

CLO subordinated notes, estimated yield 23.21% due April 17, 2025^{(9)(11)(12)(19)}

10,500,000

7,454,218

6,286,825

Windriver 2012-1 CLO, Ltd.

CLO subordinated notes, estimated yield 31.72% due January 15, 2026^{(9)(11)(12)(19)}

7,500,000

4,929,958

5,257,464

York CLO-1, Ltd.

CLO subordinated notes, estimated yield 16.27% due January 22, 2027^{(9)(11)(12)(19)}

22,850,000

16,741,765

18,051,500

CLO equity side letter related investments^(11)(12)(13)

—

1,588,172

Total Structured Finance

$
228,591,191

$
200,824,105

52.0
%
Total Collateralized Loan Obligation – Equity Investments

$
228,591,191

$
200,824,105

52.0
%

Common Stock

IT Consulting

Unitek Global Services

common equity^(7)(10)

815,266

535,000

864,182

Total IT Consulting

$
535,000

$
864,182

0.2
%

Telecommunications Services

Electric Lightwave Holdings, Inc.(F/K/A “Integra Telecom Holdings, Inc.”)

common stock^(7)(14)

775,846

1,712,398

4,150,776

Total Telecommunications Services

$
1,712,398

$
4,150,776

1.1
%
Total Common Stock

$
2,247,398

$
5,014,958

1.3
%

Preferred Equity

IT Consulting

Unitek Global Services, Inc.

Series A Preferred Equity^(7)(10)

5,706,866

3,677,000

7,418,926

Total IT Consulting

$
3,677,000

$
7,418,926

1.9
%
Total Preferred Equity

$
3,677,000

$
7,418,926

1.9
%

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~TICC CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)~~
~~DECEMBER 31, 2016~~

COMPANY/INVESTMENT⁽¹⁾

PRINCIPAL AMOUNT

COST

FAIR VALUE⁽²⁾

% of Net Assets
Other Investments

Software

Algorithmic Implementations, Inc.⁽d/b/a “Ai Squared”)

Earnout payments^(7)(20)

$
500,000

$
273,290

Total Software

$
500,000

$
273,290

0.1
%
Total Other Investments

$
500,000

$
273,290

0.1
%

Total Investments in Securities⁽⁸⁾

$
624,039,841

$
589,923,076

152.8
%

Cash Equivalents

First American Government Obligations Fund⁽²¹⁾

$
8,261,698

$
8,261,698

Total Cash Equivalents

$
8,261,698

$
8,261,698

2.2
%
Total Investments in Securities and Cash Equivalents

$
632,301,539

$
598,184,774

155.0
%

~~____________~~

~~(1) Other than Unitek Global Services, Inc., of which we~~(27) These investments are deemed to be an “affiliate,” ~~we do not “control” and are not an “affiliate” of any of our portfolio companies, each~~ as defined in the Investment Company Act of 1940 (the “1940 Act”). In general, under the 1940 Act, we would be presumed to “control” a portfolio company if we owned 25% or more of its voting securities and would be an “affiliate” of a portfolio company if we owned between 5% ~~or more~~and 25% of its voting securities.

~~(2)~~ We do not “control” any of our portfolio companies. Fair value ~~is determined~~as of December 31, 2019 and December 31, 2020 along with transactions during the year ended December 31, 2020 in ~~good faith by~~these affiliated investments are as follows:

Name of Issuer	Title of Issue	Amount of Interest or Dividends Credited to Income(a)		Fair Value as of December 31, 2019		Gross Additions(b)		Gross Reductions(c)		Net change in Unrealized Depreciation			Fair Value as of December 31, 2020
AFFILIATED INVESTMENT:
Unitek Global Systems, Inc.	Common Stock	$	—	$	—	$	—	$	—	$	—		$	—
	Series B Preferred Stock		—		—		—		—		—			—
	Series B Senior Preferred Stock		—		620,812		—		—		(620,812	)		—
	Series B Super Senior Preferred Stock		—		2,195,978		—		—		(2,195,978	)		—
Total Affiliated Investment			—		2,816,790		—		—		(2,816,790	)		—
Total Control Investment			—		—		—		—		—			—
TOTAL CONTROL AND AFFILIATED INVESTMENTS		$	—	$	2,816,790	$	—	$	—	$	(2,816,790	)	$	—

____________

(a) Represents the ~~Board~~total amount of ~~Directors~~interest or distributions credited to income for the portion of the ~~Company.~~

~~(3)Portfolio includes $6,637,496 of principal amount of debt investments which contain a PIK provision at~~year an investment was an affiliate investment. During the year ended December 31, ~~2016.~~2020, these securities were on non-accrual status, due to declining performance.

~~(4) Notes bear~~(b) Gross additions include increases in investments resulting from new portfolio investments, paid-in-kind interest ~~at variable rates.~~

~~(5) Cost value reflects accretion~~or dividends, the amortization of ~~original issue discount or market discount.~~

~~(6) Cost value reflects repayment~~discounts and fees. For the year ended December 31, 2020, a total of ~~principal.~~

~~(7) Non-income producing at the relevant period end.~~

(8) Aggregate gross unrealized appreciation for federal income tax purposes is $16,039,914; aggregate gross unrealized depreciation for federal income tax purposes is $93,938,149. Net unrealized depreciation is $77,903,235 based upon a tax cost basisapproximately $3.1 million of ~~$667,826,311.~~

~~(9) Cost value reflects accretion of effective yield less any cash distributions received or~~paid-in-kind dividends were entitled to be received yet deemed uncollectible.

~~(10) All or a portion of this investment represents TICC CLO 2012-1 LLC collateral.~~

(11) Indicates assets that the Company believes do not represent “qualifying assets” under Section 55(a) of the 1940 Act Qualifying assets must represent at least 70% of the Company’s total assets at the time of acquisition of any additional non-qualifying assets. As of December 31, 2016, the Company held qualifying assets that represented 65.9% of its total assets

~~(12) Investment not domiciled in the United States.~~

~~(13) Fair value represents discounted cash flows associated with fees earned from CLO equity investments~~

~~(14) Aggregate investments represent greater than 5% of net assets.~~

~~(15) The~~ principal ~~balance outstanding for this debt investment, in whole or in part, is indexed to 90-day LIBOR.~~

~~(16) The principal balance outstanding for this debt investment, in whole or in part, is indexed to 1-year LIBOR.~~

~~(17) The principal balance outstanding for this debt investment, in whole or in part, is indexed to 30-day LIBOR.~~

~~(18) The principal balance outstanding for this debt investment, in whole or in part, is indexed to 180-day LIBOR.~~

(19) The CLO subordinated notes and income notes are considered equity positions in the CLO funds. Equity investments are entitled to recurring distributions which are generally equal to the remaining cash flow of the payments made by the underlying fund’s securities less contractual payments to debt holders and fund expenses. The estimated yield indicated is based upon a current projection of the amount and timing of these recurring distributions and the estimated amount of repayment of principal upon expected redemption. Such projections are periodically reviewed and adjusted, and the estimated yield may not ultimately be realized.

~~(20) Represents the earnout payments~~collections related to investment repayments or sales, the ~~sale~~amortization of ~~Algorithmic Implementations, Inc. (d/b/a “Ai Squared”).~~

~~(21) Represents cash equivalents held in a money market account as of December 31, 2016.~~premiums and acquisition costs.

See Accompanying Notes.

1615

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)

Three Months
Ended
September 30, 2017

Three Months
Ended
September 30, 2016

Nine Months
Ended
September 30, 2017

Nine Months
Ended
September 30, 2016
INVESTMENT INCOME

From non-affiliated/non-control investments:

Interest income – debt investments

$
5,306,698

$
8,570,131

$
19,096,102

$
25,405,967

Income from securitization vehicles and investments

8,086,059

8,635,834

26,081,676

22,538,250

Commitment, amendment fee income and other income

1,007,230

805,128

2,517,401

1,654,954

Total investment income from non-affiliated/non-control investments

14,399,987

18,011,093

47,695,179

49,599,171

From affiliated investments:

Interest income – debt investments

97,710

84,699

280,151

244,411

Total investment income from affiliated investments

97,710

84,699

280,151

244,411

From control investments:

Interest income – debt investments

—

—

—

567,219

Total investment income from control investments

—

—

—

567,219

Total investment income

14,497,697

18,095,792

47,975,330

50,410,801

OPERATING EXPENSES

Compensation expense

237,686

189,205

676,059

609,345

Base management fee

2,004,391

2,630,334

6,456,566

8,747,819

Professional fees

720,500

2,157,751

2,062,734

5,365,284

Interest expense

3,701,533

4,407,246

11,135,451

13,200,127

General and administrative

501,464

1,749,408

1,718,627

3,439,292

Total operating expenses before incentive fee

7,165,574

11,133,944

22,049,437

31,361,867

Net investment income incentive fee

564,370

422,828

2,827,991

1,666,594

Total operating expenses

7,729,944

11,556,772

24,877,428

33,028,461

Net investment income

6,767,753

6,539,020

23,097,902

17,382,340

Net change in unrealized appreciation/(depreciation) on investments

Non-Affiliate/non-control investments

1,884,023

39,813,458

12,643,254

60,144,518

Affiliated investments

666,278

2,520,646

588,167

4,623,812

Control investments

—

—

—

5,750,000

Total net change in unrealized appreciation/(depreciation) on investments

2,550,301

42,334,104

13,231,421

70,518,330

Net realized losses

Non-Affiliated/non-control investments

(1,066,399
)

(5,312,519
)

(5,992,111
)

(10,190,122
)
Control investments

—

—

—

(3,000,000
)
Extinguishment of debt

(2,235,636
)

(647,842
)

(3,149,338
)

(647,842
)
Total net realized losses

(3,302,035
)

(5,960,361
)

(9,141,449
)

(13,837,964
)
Net increase in net assets resulting from operations

$
6,016,019

$
42,912,763

$
27,187,874

$
74,062,706

Net increase in net assets resulting from net investment income per common share:

Basic

$
0.13

$
0.13

$
0.45

$
0.33

Diluted

$
0.13

$
0.13

$
0.45

$
0.33

Net increase in net assets resulting from operations per common share:

Basic

$
0.12

$
0.83

$
0.53

$
1.42

Diluted

$
0.12

$
0.72

$
0.53

$
1.28

Weighted average shares of common stock outstanding:

Basic

51,479,409

51,479,409

51,479,409

51,985,537

Diluted

59,727,707

61,512,561

59,727,707

62,018,689

Distributions per share

$
0.20

$
0.29

$
0.60

$
0.87

	Three Months Ended June 30, 2021		Three Months Ended June 30, 2020			Six Months Ended June 30, 2021			Six Months Ended June 30, 2020
INVESTMENT INCOME
From non-affiliated/non-control investments:
Interest income – debt investments	$	3,602,389	$	4,873,382		$	7,824,426		$	10,527,637
Income from securitization vehicles and investments		4,096,145		3,217,953			8,777,445			7,977,023
Other income		143,472		163,286			599,825			574,649
Total investment income from non-affiliated/non-control investments		7,842,006		8,254,621			17,201,696			19,079,309
Total investment income		7,842,006		8,254,621			17,201,696			19,079,309
EXPENSES
Interest expense		2,431,398		1,906,442			4,314,823			4,079,910
Base Fee		1,434,484		1,010,672			2,823,734			2,241,882
Professional fees		570,265		433,746			1,255,219			907,735
Compensation expense		192,875		168,281			365,597			368,629
General and administrative		428,515		405,498			843,690			778,680
Total expenses before incentive fees		5,057,537		3,924,639			9,603,063			8,376,836
Net Investment Income Incentive Fees		—		—			—			—
Total expenses		5,057,537		3,924,639			9,603,063			8,376,836
Net investment income		2,784,469		4,329,982			7,598,633			10,702,473
Net change in unrealized appreciation/(depreciation) on investments:
Non-Affiliate/non-control investments		2,537,168		18,736,102			33,583,290			(64,279,524	)
Affiliated investments		—		249,793			—			(2,182,701	)
Total net change in unrealized appreciation/(depreciation) on investments		2,537,168		18,985,895			33,583,290			(66,462,225	)
Net realized gains/(losses):
Non-affiliated/non-control investments		1,180,480		(2,760,308	)		(12,890,651	)		(3,037,481	)
Extinguishment of debt		—		—			—			(5,211	)
Total net realized gains/(losses)		1,180,480		(2,760,308	)		(12,890,651	)		(3,042,692	)
Net increase/(decrease) in net assets resulting from operations	$	6,502,117	$	20,555,569		$	28,291,272		$	(58,802,444	)
Net increase in net assets resulting from net investment income per common share (Basic and Diluted):	$	0.06	$	0.09		$	0.15		$	0.22
Net increase/(decrease) in net assets resulting from operations per common share (Basic and Diluted):	$	0.13	$	0.41		$	0.57		$	(1.19	)
Weighted average shares of common stock outstanding (Basic and Diluted):		49,607,474		49,589,607			49,598,636			49,363,588
Distributions per share	$	0.105	$	0.201		$	0.210		$	0.402

See Accompanying Notes.

1716

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)

Nine Months
Ended
September 30, 2017

Year Ended
December 31, 2016
Increase in net assets from operations:

Net investment income

$
23,097,902

$
26,778,293
Net realized losses

(9,141,449
)

(17,022,170)
Net change in unrealized appreciation/(depreciation) on investments

13,231,421

100,605,640
Net increase in net assets resulting from operations

27,187,874

110,361,763

Distributions to shareholders

Distributions from net investment income

(30,887,645
)

(54,740,084)
Tax return of capital distributions

—

(4,976,030)
Total distributions to shareholders

(30,887,645
)

(59,716,114)

Capital share transactions:

Repurchase of common stock

—

(25,587,862)
Net decrease in net assets from capital share transactions

—

(25,587,862)
Total increase in net assets

(3,699,771
)

25,057,787
Net assets at beginning of period

385,992,498

360,934,711
Net assets at end of period (including over distributed net investment income of $48,653,633 and $40,863,890, respectively)

$
382,292,727

$
385,992,498

Capital share activity:

Shares repurchased

—

(4,917,026)
Net decrease in capital share activity

—

(4,917,026)

	Three Months Ended June 30, 2021			Three Months Ended June 30, 2020			Six Months Ended June 30, 2021			Six Months Ended June 30, 2020
Increase/(decrease) in net assets from operations:
Net investment income	$	2,784,469		$	4,329,982		$	7,598,633		$	10,702,473
Net change in unrealized appreciation/(depreciation) on investments		2,537,168			18,985,895			33,583,290			(66,462,225	)
Net realized gains/(losses)		1,180,480			(2,760,308	)		(12,890,651	)		(3,042,692	)
Net increase/(decrease) in net assets resulting from operations		6,502,117			20,555,569			28,291,272			(58,802,444	)
Distributions to stockholders
Distributions from net investment income		(4,323,240	)		(8,273,034	)		(8,644,975	)		(16,477,089	)
Tax return of capital distributions		(885,483	)		(1,694,477	)		(1,770,657	)		(3,374,826	)
Total distributions to stockholders		(5,208,723	)		(9,967,511	)		(10,415,632	)		(19,851,915	)

Capital share transactions:
Issuance of common stock (net of underwriting fees and offering costs of $0, $0, $0, and $51,779, respectively)		—			—			—			5,821,240
Reinvestment of distributions		123,929			—			160,770			161,186
Net increase in net assets from capital share transactions		123,929			—			160,770			5,982,426
Total increase/(decrease) in net assets		1,417,323			10,588,058			18,036,410			(72,671,933	)
Net assets at beginning of period		242,045,613			164,738,551			225,426,526			247,998,542
Net assets at end of period	$	243,462,936		$	175,326,609		$	243,462,936		$	175,326,609
Capital share activity:
Shares issued		—			—			—			1,098,277
Shares issued from reinvestment of distributions		26,458			—			34,815			42,343
Net increase in capital share activity		26,458			—			34,815			1,140,620

See Accompanying Notes.

1817

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF CASH FLOWS
(unaudited)

Nine Months
Ended
September 30, 2017

Nine Months
Ended
September 30, 2016
CASH FLOWS FROM OPERATING ACTIVITIES

Net increase in net assets resulting from operations

$
27,187,874

$
74,062,706

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

Accretion of discounts on investments

(827,744
)

(801,620
)
Accretion of discount on notes payable and deferred debt issuance costs

811,412

1,048,149

Increase in investments due to PIK

(169,989
)

(160,574
)
Payment of original discount on TICC CLO 2012-1 LLC

(3,575,888
)

(446,479
)
Purchases of investments

(163,032,724
)

(126,274,776
)
Repayments of principal and reductions to debt cost

158,996,792

101,641,129

Proceeds from the sale of investments

151,193,037

98,789,204

Net realized losses

9,141,449

13,837,964

Reductions to CLO equity cost

31,344,870

30,289,507

Net change in unrealized appreciation/(depreciation) on investments

(13,231,421
)

(70,518,330
)
Decrease in interest and distributions receivable

5,120,576

2,120,070

Increase in other assets

(386,014
)

(780,551
)
Increase in accrued interest payable

1,234,949

2,187,090

Decrease in base management fee and net investment income incentive fee payable

(1,101,887
)

(1,142,739
)
Decrease in accrued expenses

(329,849
)

(356,147
)
Net cash provided by operating activities

202,375,443

123,494,603

CASH FLOWS FROM INVESTING ACTIVITIES

Change in restricted cash

3,451,636

(6,030,598
)
Net cash used in investing activities

3,451,636

(6,030,598
)

CASH FLOWS FROM FINANCING ACTIVITIES

Distributions paid (net of stock issued under distribution reinvestment plan of $0, and $0, respectively)

(30,887,645
)

(44,787,083
)
Repayment of original proceeds of notes payable – TICC CLO 2012-1 LLC

(125,705,930
)

(35,553,521
)
Proceeds from issuance of 6.50% unsecured notes

64,370,225

—

Deferred debt issuance costs

(2,263,933
)

—

Repurchase of common stock

—

(25,587,862
)
Net cash used in financing activities

(94,487,283
)

(105,928,466
)
Net increase in cash and cash equivalents

111,339,796

11,535,539

Cash and cash equivalents, beginning of period

8,261,698

23,181,677

Cash and cash equivalents, end of period

$
119,601,494

$
34,717,216

SUPPLEMENTAL DISCLOSURES

Cash paid for interest

$
9,089,091

$
9,964,889

NON-CASH ACTIVITIES

Securities sold not settled

$
2,950,000

$
34,224,734

Securities purchased not settled

$
5,015,000

$
6,720,000

Non-cash investment restructuring

$
—

$
11,613,301

	Six Months Ended June 30, 2021			Six Months Ended June 30, 2020
CASH FLOWS FROM OPERATING ACTIVITIES
Net increase/(decrease) in net assets resulting from operations	$	28,291,272		$	(58,802,444	)
Adjustments to reconcile net increase/(decrease) in net assets resulting from operations to net cash (used in)/provided by operating activities:
Accretion of discounts on investments		(365,303	)		(583,106	)
Amortization of discount on notes payable and deferred debt issuance costs		318,838			288,213
Increase in investments due to PIK interest income		—			(123,305	)
Purchases of investments		(114,770,681	)		(19,882,372	)
Repayments of principal		17,053,265			28,667,049
Proceeds from the sale of investments		5,819,281			20,531,040
Net realized losses on investments		12,890,651			3,037,481
Reductions to CLO equity cost value		21,404,640			4,614,134
Net change in unrealized (appreciation)/depreciation on investments		(33,583,290	)		66,462,225
(Increase)/Decrease in interest and distributions receivable		(1,208,543	)		2,389,749
Decrease/(Increase) in other assets		48,519			(253,133	)
Increase/(Decrease) in accrued interest payable		504,244			(150,974	)
Increase/(Decrease) in Base Fee and Net Investment
Income Incentive Fee payable		274,781			(469,980	)
Increase/(Decrease) in accrued expenses		237,856			(163,612	)
Net cash (used in)/provided by operating activities		(63,084,470	)		45,560,965

CASH FLOWS FROM FINANCING ACTIVITIES
Distributions paid (net of stock issued under distribution reinvestment plan of $160,771 and $161,186, respectively)		(10,254,862	)		(19,690,729	)
Proceeds from issuance of 5.50% Unsecured Notes		80,500,000			—
Deferred debt issuance costs paid		(2,705,860	)		—
Principal repayment of credit facility		—			(28,090,601	)
Proceeds from issuance of common stock		—			5,873,019
Underwriting fees and offering costs for the issuance of common stock		—			(51,779	)
Net cash provided by/(used in) financing activities		67,539,278			(41,960,090	)
Net increase in cash equivalents.		4,454,808			3,600,875
Cash equivalents, beginning of period		59,137,284			16,460,938
Cash equivalents, end of period	$	63,592,092		$	20,061,813

NON-CASH FINANCING ACTIVITIES
Value of shares issued in connection with distribution reinvestment plan	$	160,771		$	161,186

SUPPLEMENTAL DISCLOSURES
Cash paid for interest	$	3,491,743		$	3,947,881
Securities purchased not settled	$	40,803,008		$	8,742,818

See Accompanying Notes.

1918

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
~~SEPTEMBER~~June 30, ~~2017~~2021
(unaudited)

NOTE 1. UNAUDITED INTERIM FINANCIAL STATEMENTS

Interim consolidated financial statements of ~~TICC~~Oxford Square Capital Corp. (“~~TICC”~~OXSQ” and, together with its ~~subsidiaries,~~subsidiary, the “Company”), are prepared in accordance with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form ~~10-Q~~10-Q and ~~Article~~Articles 6, 10 and 12 of Regulation ~~S-X.~~S-X. Accordingly, certain disclosures accompanying annual financial statements prepared in accordance with GAAP are omitted. In the opinion of management, the unaudited financial results included herein contain all adjustments, consisting solely of normal ~~recurring~~ accruals, considered necessary for the fair statement of ~~consolidated financial~~the results for the interim ~~periods have been included.~~period included herein. The current period’s consolidated results of operations are not necessarily indicative of results that may be achieved for the year. The interim consolidated financial statements and notes thereto should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form ~~10-K~~10-K for the year ended December 31, ~~2016,~~2020, as filed with the Securities and Exchange Commission (“SEC”).

NOTE 2. ORGANIZATION

~~TICC~~OXSQ, was incorporated under the General Corporation Laws of the State of Maryland on July 21, 2003 and is a ~~non-diversified, closed-end~~non-diversified, closed-end investment company. ~~TICC~~OXSQ has elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). In addition, ~~TICC~~OXSQ 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”). beginning with its 2003 taxable year. The Company’s investment objective is to maximize its total return, by investing primarily in corporate debt securities and collateralized loan obligation (“CLO”) structured finance investments that own corporate debt securities.

~~TICC’s~~OXSQ’s investment activities are managed by ~~TICC~~Oxford Square Management, LLC (“~~TICC~~Oxford Square Management”). ~~TICC~~Oxford Square Management is an investment adviser registered under the Investment Advisers Act of 1940, as ~~amended. TICC~~amended (the “Advisers Act”). Oxford Square Management is owned by ~~BDC Partners,~~Oxford Funds, LLC (“~~BDC Partners”~~Oxford Funds”), its managing member, ~~and a related party,~~ and Charles M. Royce, a member of our Board of Directors (the “Board”) who holds a minority, ~~non-controlling~~non-controlling interest in ~~TICC~~Oxford Square Management. Under the investment advisory agreement with ~~TICC~~Oxford Square Management (the “Investment Advisory Agreement”), ~~TICC~~OXSQ has agreed to pay ~~TICC~~Oxford Square Management an annual base ~~management~~investment advisory fee (the “Base Fee”) based on its gross assets as well as an incentive fee based on its performance. For further details, please refer to “Note 8.7. Related Party Transactions.”

The Company’s consolidated operations include the activities of its ~~wholly-owned~~wholly-owned subsidiary, ~~TICC CLO 2012-1~~Oxford Square Funding 2018, LLC (“~~2012 Securitization Issuer” or “TICC CLO 2012-1”~~OXSQ Funding”)~~. TICC CLO 2012-1~~ for the periods during which it was held. OXSQ Funding, a special purpose vehicle, was formed for the purpose of enabling the Company to obtain debt financing and is operated solely for the investment activities of the Company. TICC CLO 2012-1 effectively ceased operations on August 25, 2017, as the notes payable by TICC CLO 2012-1 were repaid in full.entering into a credit facility (the “Credit Facility”) with Citibank, N.A. Refer to “Note 6. Borrowings” for additional information on the Company’s ~~borrowings and TICC CLO 2012-1.~~borrowings.

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

~~BASIS OF PRESENTATION~~

The accompanying consolidated financial statements include the accounts of the Company and its wholly-owned subsidiary, TICC CLO 2012-1. All inter-company accounts and transactions have been eliminated in consolidation.

~~The Company follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946,Financial Services — Investment Companies.~~ ~~Certain prior period figures have been reclassified from those originally published in quarterly and annual reports to conform to the current period presentation for comparative purposes.~~

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)~~

~~USE OF ESTIMATES~~

The consolidated financial statements have been prepared in accordance with GAAP, which requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates.

In the normal course of business, the Company may enter into contracts that contain a variety of representations and provide indemnifications. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred. However, based upon experience, the Company expects the risk of loss to be remote.

~~CONSOLIDATION~~

~~As provided under Regulation S-X and ASC Topic 946-810,Consolidation,~~ the Company will generally not consolidate its investment in a company other than a wholly-owned investment company or a controlled operating company whose business consists of providing services to the Company. TICC CLO 2012-1 would be considered an investment company but for the exceptions under Sections 3(c)(1) and 3(c)(7) under the 1940 Act, and was established solely for the purpose of allowing the Company to borrow funds for the purpose of making investments. The Company owns all of the equity in this entity and controls the decision making power that drives its economic performance. Accordingly, the Company consolidates its wholly-owned subsidiary in its financial statements, and follows the accounting and reporting guidance in ASC 946-810.

~~CASH, CASH EQUIVALENTS AND RESTRICTED CASH~~

Cash and cash equivalents consist of demand deposits and cash held in a money market fund which contain investments with original maturities of three months or less. The Company places its cash and cash equivalents with financial institutions and, at times, cash held in bank accounts may exceed the Federal Deposit Insurance Corporation insured limit. Cash equivalents are classified as Level 1 assets and are included on the Company’s Consolidated Schedule of Investments. Cash equivalents are carried at cost or amortized cost which approximates fair value.

As of December 31, 2016, restricted cash represents the cash held by the trustee of the 2012 Securitization Issuer. The amounts are held by the trustee for payment of interest expense and operating expenses of the entity, principal repayments on borrowings, or new investments, based upon the terms of the respective indenture, and are not available for general corporate purposes. There was no restricted cash as of September 30, 2017 as TICC CLO 2012-1 effectively ceased operations on August 25, 2017.

INVESTMENT ~~VALUATION~~INCOME

~~The Company fair values its~~

From non-affiliated/non-control investments:

Interest income – debt investments

3,602,389

4,873,382

7,824,426

10,527,637

Income from securitization vehicles and investments

4,096,145

3,217,953

8,777,445

7,977,023

Other income

143,472

163,286

599,825

574,649

Total investment ~~portfolio in accordance with the provisions of ASC 820,~~income from non-affiliated/non-control investments

7,842,006

8,254,621

17,201,696

19,079,309

Total investment income

7,842,006

8,254,621

17,201,696

19,079,309

~~Fair Value Measurement~~EXPENSES

Interest expense

2,431,398

1,906,442

4,314,823

4,079,910

Base Fee

1,434,484

1,010,672

2,823,734

2,241,882

Professional fees

570,265

433,746

1,255,219

907,735

Compensation expense

192,875

168,281

365,597

368,629

General and ~~Disclosure~~. Estimates made in the preparation of TICC’s consolidated financial statements include the valuation of investments and the related amounts of unrealized appreciation and depreciation of investments recorded. TICC 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 portfolioadministrative

428,515

405,498

843,690

778,680

Total expenses before incentive fees

5,057,537

3,924,639

9,603,063

8,376,836

Net Investment Income Incentive Fees

—

Total expenses

5,057,537

3,924,639

9,603,063

8,376,836

Net investment ~~while employing a consistently applied valuation process for the types of investments TICC makes.~~income

212,784,469

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~4,329,982

~~NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)~~

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. TICC 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 TICC’s investments are based upon “Level 3” inputs as of September 30, 2017.

TICC’s Board of Directors determines the value of its investment portfolio each quarter. In connection with that determination, members of TICC Management’s portfolio management team prepare a quarterly analysis of each portfolio investment using the most recent portfolio company financial statements, forecasts and other relevant financial and operational information. Since March 2004, TICC has engaged third-party valuation firms to provide assistance in valuing certain of its syndicated loans and bilateral investments, including related equity investments, although TICC’s Board of Directors ultimately determines the appropriate valuation of each such investment. Changes in fair value, as described above, are recorded in the Consolidated Statement of Operations as 7,598,633

10,702,473

Net change in unrealized appreciation/(depreciation). on investments:

~~Syndicated Loans~~

In accordance with ASC 820-10, TICC’s valuation procedures specifically provide for the review of indicative quotes supplied by the large agent banks that make a market for each security. However, the marketplace from which TICC obtains indicative bid quotes for purposes of determining the fair value of its syndicated loan

Non-Affiliate/non-control investments has shown attributes of illiquidity as described by ASC 820-10. During such periods of illiquidity, when TICC believes that the non-binding indicative bids received from agent banks for certain syndicated

2,537,168

18,736,102

33,583,290

(64,279,524

)

Affiliated investments ~~that we own may not be determinative of their fair value or when no market indicative quote is available, TICC may engage third-party valuation firms to provide assistance~~

—

249,793

—

(2,182,701

)

Total net change in ~~valuing certain syndicated~~unrealized appreciation/(depreciation) on investments that TICC owns. In addition, TICC Management prepares an analysis of each syndicated 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. All available information, including non-binding indicative bids which may not be determinative of fair value, is presented to the Valuation Committee 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 Valuation Committee 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. The Valuation Committee will evaluate the impact of such additional information, and factor it into its consideration of the fair value that is indicated by the analysis provided by third-party valuation firms, if any.

~~Collateralized Loan Obligations — Debt and Equity~~

~~TICC has acquired a number~~2,537,168

18,985,895

33,583,290

(66,462,225

)

Net realized gains/(losses):

Non-affiliated/non-control investments

1,180,480

(2,760,308

)

(12,890,651

)

(3,037,481

)

Extinguishment of debt ~~and equity positions~~

—

(5,211

)

Total net realized gains/(losses)

1,180,480

(2,760,308

)

(12,890,651

)

(3,042,692

)

Net increase/(decrease) in collateralized loan obligation (“CLO”) investment vehicles and CLO warehouse investments. These investments are special purpose financing vehicles. In valuing such investments, TICC 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. TICC 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 informationnet assets resulting from ~~bids-wanted-in-competition. In addition, TICC considers the operating metrics~~operations

6,502,117

20,555,569

28,291,272

(58,802,444

)

Net increase in net assets resulting from net investment income per common share (Basic and Diluted):

0.06

0.09

0.15

0.22

Net increase/(decrease) in net assets resulting from operations per common share (Basic and Diluted):

0.13

0.41

0.57

(1.19

)

Weighted average shares of ~~the specific investment vehicle, including compliance with collateralization tests, defaulted~~common stock outstanding (Basic and restructured securities, and payment defaults, if any. TICC Management or the Valuation Committee 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 TICC’s Board of Directors for its determination of fair value of these investments.Diluted):

~~TICC~~49,607,474

49,589,607

49,598,636

49,363,588

Distributions per share

0.105

0.201

0.210

0.402

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)

	Three Months Ended June 30, 2021			Three Months Ended June 30, 2020			Six Months Ended June 30, 2021			Six Months Ended June 30, 2020
Increase/(decrease) in net assets from operations:
Net investment income	$	2,784,469		$	4,329,982		$	7,598,633		$	10,702,473
Net change in unrealized appreciation/(depreciation) on investments		2,537,168			18,985,895			33,583,290			(66,462,225	)
Net realized gains/(losses)		1,180,480			(2,760,308	)		(12,890,651	)		(3,042,692	)
Net increase/(decrease) in net assets resulting from operations		6,502,117			20,555,569			28,291,272			(58,802,444	)
Distributions to stockholders
Distributions from net investment income		(4,323,240	)		(8,273,034	)		(8,644,975	)		(16,477,089	)
Tax return of capital distributions		(885,483	)		(1,694,477	)		(1,770,657	)		(3,374,826	)
Total distributions to stockholders		(5,208,723	)		(9,967,511	)		(10,415,632	)		(19,851,915	)

Capital share transactions:
Issuance of common stock (net of underwriting fees and offering costs of $0, $0, $0, and $51,779, respectively)		—			—			—			5,821,240
Reinvestment of distributions		123,929			—			160,770			161,186
Net increase in net assets from capital share transactions		123,929			—			160,770			5,982,426
Total increase/(decrease) in net assets		1,417,323			10,588,058			18,036,410			(72,671,933	)
Net assets at beginning of period		242,045,613			164,738,551			225,426,526			247,998,542
Net assets at end of period	$	243,462,936		$	175,326,609		$	243,462,936		$	175,326,609
Capital share activity:
Shares issued		—			—			—			1,098,277
Shares issued from reinvestment of distributions		26,458			—			34,815			42,343
Net increase in capital share activity		26,458			—			34,815			1,140,620

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF CASH FLOWS
(unaudited)

	Six Months Ended June 30, 2021			Six Months Ended June 30, 2020
CASH FLOWS FROM OPERATING ACTIVITIES
Net increase/(decrease) in net assets resulting from operations	$	28,291,272		$	(58,802,444	)
Adjustments to reconcile net increase/(decrease) in net assets resulting from operations to net cash (used in)/provided by operating activities:
Accretion of discounts on investments		(365,303	)		(583,106	)
Amortization of discount on notes payable and deferred debt issuance costs		318,838			288,213
Increase in investments due to PIK interest income		—			(123,305	)
Purchases of investments		(114,770,681	)		(19,882,372	)
Repayments of principal		17,053,265			28,667,049
Proceeds from the sale of investments		5,819,281			20,531,040
Net realized losses on investments		12,890,651			3,037,481
Reductions to CLO equity cost value		21,404,640			4,614,134
Net change in unrealized (appreciation)/depreciation on investments		(33,583,290	)		66,462,225
(Increase)/Decrease in interest and distributions receivable		(1,208,543	)		2,389,749
Decrease/(Increase) in other assets		48,519			(253,133	)
Increase/(Decrease) in accrued interest payable		504,244			(150,974	)
Increase/(Decrease) in Base Fee and Net Investment
Income Incentive Fee payable		274,781			(469,980	)
Increase/(Decrease) in accrued expenses		237,856			(163,612	)
Net cash (used in)/provided by operating activities		(63,084,470	)		45,560,965

CASH FLOWS FROM FINANCING ACTIVITIES
Distributions paid (net of stock issued under distribution reinvestment plan of $160,771 and $161,186, respectively)		(10,254,862	)		(19,690,729	)
Proceeds from issuance of 5.50% Unsecured Notes		80,500,000			—
Deferred debt issuance costs paid		(2,705,860	)		—
Principal repayment of credit facility		—			(28,090,601	)
Proceeds from issuance of common stock		—			5,873,019
Underwriting fees and offering costs for the issuance of common stock		—			(51,779	)
Net cash provided by/(used in) financing activities		67,539,278			(41,960,090	)
Net increase in cash equivalents.		4,454,808			3,600,875
Cash equivalents, beginning of period		59,137,284			16,460,938
Cash equivalents, end of period	$	63,592,092		$	20,061,813

NON-CASH FINANCING ACTIVITIES
Value of shares issued in connection with distribution reinvestment plan	$	160,771		$	161,186

SUPPLEMENTAL DISCLOSURES
Cash paid for interest	$	3,491,743		$	3,947,881
Securities purchased not settled	$	40,803,008		$	8,742,818

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 1. UNAUDITED INTERIM FINANCIAL STATEMENTS

Interim consolidated financial statements of Oxford Square Capital Corp. (“OXSQ” and, together with its subsidiary, the “Company”), are prepared in accordance with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Articles 6, 10 and 12 of Regulation S-X. Accordingly, certain disclosures accompanying annual financial statements prepared in accordance with GAAP are omitted. In the opinion of management, the unaudited financial results included herein contain all adjustments, consisting solely of normal accruals, considered necessary for the fair statement of the results for the interim period included herein. The current period’s consolidated results of operations are not necessarily indicative of results that may be achieved for the year. The interim consolidated financial statements and notes thereto should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2020, as filed with the Securities and Exchange Commission (“SEC”).

NOTE 2. ORGANIZATION

OXSQ, was incorporated under the General Corporation Laws of the State of Maryland on July 21, 2003 and is a non-diversified, closed-end investment company. OXSQ has elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). In addition, OXSQ 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”) beginning with its 2003 taxable year. The Company’s investment objective is to maximize its total return, by investing primarily in corporate debt securities and collateralized loan obligation (“CLO”) structured finance investments that own corporate debt securities.

OXSQ’s investment activities are managed by Oxford Square Management, LLC (“Oxford Square Management”). Oxford Square Management is an investment adviser registered under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). Oxford Square Management is owned by Oxford Funds, LLC (“Oxford Funds”), its managing member, and Charles M. Royce, a member of our Board of Directors (the “Board”) who holds a minority, non-controlling interest in Oxford Square Management. Under the investment advisory agreement with Oxford Square Management (the “Investment Advisory Agreement”), OXSQ has agreed to pay Oxford Square Management an annual base investment advisory fee (the “Base Fee”) based on its gross assets as well as an incentive fee based on its performance. For further details, please refer to “Note 7. Related Party Transactions.”

The Company’s consolidated operations include the activities of its wholly-owned subsidiary, Oxford Square Funding 2018, LLC (“OXSQ Funding”) for the periods during which it was held. OXSQ Funding, a special purpose vehicle, was formed for the purpose of entering into a credit facility (the “Credit Facility”) with Citibank, N.A. Refer to “Note 6. Borrowings” for additional information on the Company’s borrowings.

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)~~

~~Bilateral Investments (Including Equity)~~

Bilateral investments for which market quotations are readily available are valued by an independent pricing agent or market maker. If such market quotations are not readily available, under the valuation procedures approved by TICC’s Board of Directors, upon the recommendation of the Valuation Committee, a third-party valuation firm will prepare valuations for each of TICC’s bilateral investments that, when combined with all other investments in the same portfolio company, (i) have a value as of the previous quarter of greater than or equal to 2.5% of its total assets as of the previous quarter, and (ii) have a value as of the current quarter of greater than or equal to 2.5% of its total assets as of the previous quarter, after taking into account any repayment of principal during the current quarter. In addition, in those instances where a third-party valuation is prepared for a portfolio investment which meets the parameters noted in (i) and (ii) above, the frequency of those third-party valuations is based upon the grade assigned to each such security under its credit grading system as follows: Grade 1, at least annually; Grade 2, at least semi-annually; Grades 3, 4, and 5, at least quarterly. Bilateral investments which do not meet the parameters in (i) and (ii) above are not required to have a third-party valuation and, in those instances, a valuation analysis will be prepared by TICC Management. TICC Management also retains the authority to seek, on TICC’s behalf, additional third party valuations with respect to TICC’s bilateral portfolio securities, TICC’s syndicated loan investments, and CLO investment vehicles. TICC’s Board of Directors retains ultimate authority as to the third-party review cycle as well as the appropriate valuation of each investment.

INVESTMENT INCOME

~~Interest Income~~

From non-affiliated/non-control investments:

Interest income ~~is recorded on an accrual basis using the contractual rate applicable to each~~– debt investment and includes the accretion of market discounts and/or original issue discount (“OID”) and amortization of market 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 Company otherwise does not expect the borrower to be able to service its debt and other obligations, the Company 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 Company generally restores non-accrual loans to accrual status when past due principal and interest is paid and, in the Company’s judgment, is likely to remain current. As of September 30, 2017 and as of December 31, 2016, the Company had no investments that were on non-accrual status.$

Interest income also includes a payment-in-kind (“PIK”) provision on certain investments in TICC’s portfolio. Refer to the section below, “Payment-In-Kind,” for a description of the PIK provision and its impact on interest income.3,602,389

~~Payment-In-Kind~~$

TICC has debt investments in its portfolio which contain a contractual PIK provision. Certain PIK investments offer issuers the option at each payment date of making payments in cash or additional securities. PIK interest computed at the contractual rate is accrued into income and added to the principal balance on the capitalization date. Upon capitalization, PIK investments are subject to the fair value estimates associated with their respective related investments. A PIK investment on non-accrual status is restored to accrual status once it becomes probable that PIK will be realized. To maintain its status as a RIC, at least 90% of this income must be paid out to stockholders in the form of distributions, even though TICC has not collected any cash. Amounts necessary to pay these distributions may come from available cash or the liquidation of certain investments.4,873,382

~~TICC CAPITAL CORP.~~$

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~7,824,426

~~NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)~~

~~Income from Securitization Vehicles and Investments~~$

10,527,637

Income from ~~investments in the equity class securities of CLO~~securitization vehicles ~~(typically~~and investments

4,096,145

3,217,953

8,777,445

7,977,023

Other income notes or subordinated notes) is recorded using the effective interest method in accordance with the provisions of ASC 325-40, based upon an effective yield to the expected redemption utilizing estimated cash flows, including those CLO equity investments that have not made their inaugural distribution for the relevant period end. The Company monitors the expected residual payments, and effective yield is determined and updated periodically, as needed. Accordingly,

143,472

163,286

599,825

574,649

Total investment income ~~recognized~~from non-affiliated/non-control investments

7,842,006

8,254,621

17,201,696

19,079,309

Total investment income

7,842,006

8,254,621

17,201,696

19,079,309

EXPENSES

Interest expense

2,431,398

1,906,442

4,314,823

4,079,910

Base Fee

1,434,484

1,010,672

2,823,734

2,241,882

Professional fees

570,265

433,746

1,255,219

907,735

Compensation expense

192,875

168,281

365,597

368,629

General and administrative

428,515

405,498

843,690

778,680

Total expenses before incentive fees

5,057,537

3,924,639

9,603,063

8,376,836

Net Investment Income Incentive Fees

—

Total expenses

5,057,537

3,924,639

9,603,063

8,376,836

Net investment income

2,784,469

4,329,982

7,598,633

10,702,473

Net change in unrealized appreciation/(depreciation) on ~~CLO equity securities~~investments:

Non-Affiliate/non-control investments

2,537,168

18,736,102

33,583,290

(64,279,524

)

Affiliated investments

—

249,793

—

(2,182,701

)

Total net change in ~~the GAAP Consolidated Statement~~unrealized appreciation/(depreciation) on investments

2,537,168

18,985,895

33,583,290

(66,462,225

)

Net realized gains/(losses):

Non-affiliated/non-control investments

1,180,480

(2,760,308

)

(12,890,651

)

(3,037,481

)

Extinguishment of ~~Operations differs~~debt

—

(5,211

)

Total net realized gains/(losses)

1,180,480

(2,760,308

)

(12,890,651

)

(3,042,692

)

Net increase/(decrease) in net assets resulting from ~~both the tax-basis~~operations

6,502,117

20,555,569

28,291,272

(58,802,444

)

Net increase in net assets resulting from net investment income per common share (Basic and Diluted):

0.06

0.09

0.15

0.22

Net increase/(decrease) in net assets resulting from ~~the cash distributions actually received by the Company during the period.~~

~~Commitment, Amendment Fee Income~~operations per common share (Basic and ~~Other Income~~Diluted):

Commitment, amendment fee income and other income includes prepayment, amendment, and other fees earned by the Company’s loan investments, distributions from fee letters and success fees associated with portfolio investments. Distributions from fee letters are based upon a percentage$

0.13

0.41

0.57

(1.19

)

Weighted average shares of the collateral manager’s fees, and are recorded as other income when earned. The Company may also earn success fees associated with its investments in certain securitization vehicles or “CLO warehouse facilities,” which are contingent upon a repayment of the warehouse by a permanent CLO securitization structure; such fees are earned and recognized when the repayment is completed.

~~DEFERRED DEBT ISSUANCE COSTS~~

Deferred debt issuance costs consist of fees and expenses incurred in connection with the closing or amending of credit facilities and debt offerings, and are capitalized at the time of payment. These costs are amortized using the straight line method over the terms of the respective credit facilities and debt securities. This amortization expense is included in Interest expense in the Company’s Consolidated Statement of Operations. Upon early termination of debt, or a credit facility, the remaining balance of unamortized fees related to such debt is accelerated into Realized Losses on Extinguishment of Debt on the Company’s Consolidated Statement of Operations. Deferred offering costs are presented on the balance sheet as a direct deduction from the related debt liability.

~~EQUITY OFFERING COSTS~~

~~Equity offering costs consist of fees and expenses incurred in connection with the registration and public offer and sale of the Company’s~~ common stock ~~including legal, accounting~~outstanding (Basic and printing fees. These costs are deferred at the time of incurrence and are subsequently charged as a reduction to capital when the offering takes place or as shares are issued. Deferred costs are periodically reviewed and expensed if the related registration is no longer active.Diluted):

~~SHARE REPURCHASES~~

~~From time to time,~~49,607,474

49,589,607

49,598,636

49,363,588

Distributions per share

0.105

0.201

0.210

0.402

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)

	Three Months Ended June 30, 2021			Three Months Ended June 30, 2020			Six Months Ended June 30, 2021			Six Months Ended June 30, 2020
Increase/(decrease) in net assets from operations:
Net investment income	$	2,784,469		$	4,329,982		$	7,598,633		$	10,702,473
Net change in unrealized appreciation/(depreciation) on investments		2,537,168			18,985,895			33,583,290			(66,462,225	)
Net realized gains/(losses)		1,180,480			(2,760,308	)		(12,890,651	)		(3,042,692	)
Net increase/(decrease) in net assets resulting from operations		6,502,117			20,555,569			28,291,272			(58,802,444	)
Distributions to stockholders
Distributions from net investment income		(4,323,240	)		(8,273,034	)		(8,644,975	)		(16,477,089	)
Tax return of capital distributions		(885,483	)		(1,694,477	)		(1,770,657	)		(3,374,826	)
Total distributions to stockholders		(5,208,723	)		(9,967,511	)		(10,415,632	)		(19,851,915	)

Capital share transactions:
Issuance of common stock (net of underwriting fees and offering costs of $0, $0, $0, and $51,779, respectively)		—			—			—			5,821,240
Reinvestment of distributions		123,929			—			160,770			161,186
Net increase in net assets from capital share transactions		123,929			—			160,770			5,982,426
Total increase/(decrease) in net assets		1,417,323			10,588,058			18,036,410			(72,671,933	)
Net assets at beginning of period		242,045,613			164,738,551			225,426,526			247,998,542
Net assets at end of period	$	243,462,936		$	175,326,609		$	243,462,936		$	175,326,609
Capital share activity:
Shares issued		—			—			—			1,098,277
Shares issued from reinvestment of distributions		26,458			—			34,815			42,343
Net increase in capital share activity		26,458			—			34,815			1,140,620

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF CASH FLOWS
(unaudited)

	Six Months Ended June 30, 2021			Six Months Ended June 30, 2020
CASH FLOWS FROM OPERATING ACTIVITIES
Net increase/(decrease) in net assets resulting from operations	$	28,291,272		$	(58,802,444	)
Adjustments to reconcile net increase/(decrease) in net assets resulting from operations to net cash (used in)/provided by operating activities:
Accretion of discounts on investments		(365,303	)		(583,106	)
Amortization of discount on notes payable and deferred debt issuance costs		318,838			288,213
Increase in investments due to PIK interest income		—			(123,305	)
Purchases of investments		(114,770,681	)		(19,882,372	)
Repayments of principal		17,053,265			28,667,049
Proceeds from the sale of investments		5,819,281			20,531,040
Net realized losses on investments		12,890,651			3,037,481
Reductions to CLO equity cost value		21,404,640			4,614,134
Net change in unrealized (appreciation)/depreciation on investments		(33,583,290	)		66,462,225
(Increase)/Decrease in interest and distributions receivable		(1,208,543	)		2,389,749
Decrease/(Increase) in other assets		48,519			(253,133	)
Increase/(Decrease) in accrued interest payable		504,244			(150,974	)
Increase/(Decrease) in Base Fee and Net Investment
Income Incentive Fee payable		274,781			(469,980	)
Increase/(Decrease) in accrued expenses		237,856			(163,612	)
Net cash (used in)/provided by operating activities		(63,084,470	)		45,560,965

CASH FLOWS FROM FINANCING ACTIVITIES
Distributions paid (net of stock issued under distribution reinvestment plan of $160,771 and $161,186, respectively)		(10,254,862	)		(19,690,729	)
Proceeds from issuance of 5.50% Unsecured Notes		80,500,000			—
Deferred debt issuance costs paid		(2,705,860	)		—
Principal repayment of credit facility		—			(28,090,601	)
Proceeds from issuance of common stock		—			5,873,019
Underwriting fees and offering costs for the issuance of common stock		—			(51,779	)
Net cash provided by/(used in) financing activities		67,539,278			(41,960,090	)
Net increase in cash equivalents.		4,454,808			3,600,875
Cash equivalents, beginning of period		59,137,284			16,460,938
Cash equivalents, end of period	$	63,592,092		$	20,061,813

NON-CASH FINANCING ACTIVITIES
Value of shares issued in connection with distribution reinvestment plan	$	160,771		$	161,186

SUPPLEMENTAL DISCLOSURES
Cash paid for interest	$	3,491,743		$	3,947,881
Securities purchased not settled	$	40,803,008		$	8,742,818

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 1. UNAUDITED INTERIM FINANCIAL STATEMENTS

NOTE 2. ORGANIZATION

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

BASIS OF PRESENTATION

The accompanying consolidated financial statements include the accounts of the Company and its wholly-owned subsidiary, OXSQ Funding for the periods during which it was held. All inter-company accounts and transactions have been eliminated upon consolidation.

The Company follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies. Certain prior period figures have been reclassified from those originally published in quarterly and annual reports to conform to the current period presentation for comparative purposes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (cont.)

USE OF ESTIMATES

CONSOLIDATION

As provided under Regulation S-X and ASC Topic 946-810, Consolidation (“ASC 946-810”), the Company will generally not consolidate its investment in a company other than a wholly-owned investment company or a controlled operating company whose business consists of providing services to the Company for the periods during which it was held. The Company consolidates OXSQ Funding in its financial statements for the periods which it is held in accordance with ASC 946-810.

Cash and Cash Equivalents

Cash equivalents consist of demand deposits and highly liquid investments with original maturities of three months or less. The Company places its cash equivalents with financial institutions and, at times, cash held in bank accounts may exceed the Federal Deposit Insurance Corporation insured limit. Cash equivalents are classified as Level 1 assets and are included on the Company’s consolidated schedule of investments. Cash equivalents are carried at cost or amortized cost which approximates fair value.

INVESTMENT VALUATION

The Company measures its investment portfolio at fair value in accordance with the provisions of ASC 820, Fair Value Measurement (“ASC 820”). Estimates made in the preparation of the Company’s consolidated financial statements include the valuation of investments and the related amounts of unrealized appreciation and depreciation of investments recorded. The Company 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 the Company 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. The Company 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 OXSQ’s investments are based upon “Level 3” inputs as of June 30, 2021.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (cont.)

The Board determines the value of its investment portfolio each quarter. In connection with that determination, members of Oxford Square Management’s portfolio management team prepare a quarterly analysis of each portfolio investment using the most recent portfolio company financial statements, forecasts and other relevant financial and operational information. The Company may engage third-party valuation firms to provide assistance in valuing certain of its syndicated loans and bilateral investments, including related equity investments, although the Board ultimately determines the appropriate valuation of each such investment. Changes in fair value, as described above, are recorded in the consolidated statements of operations as net change in unrealized appreciation/depreciation on investments.

Rule 2a-5 under the 1940 Act was recently adopted by the SEC and establishes requirements for determining fair value in good faith for purposes of the 1940 Act. The Company is evaluating the impact of adopting Rule 2a-5 on the consolidated financial statements and intends to comply with the new rule’s requirements on or before the compliance date in September 2022.

Syndicated Loans (Including Senior Secured Notes)

In accordance with ASC 820-10, the Company’s valuation procedures specifically provide for the review of indicative quotes supplied by the large agent banks that make a market for each security. However, the marketplace from which the Company obtains indicative bid quotes for purposes of determining the fair value of its syndicated loan investments has shown attributes of illiquidity as described by ASC 820-10. During such periods of illiquidity, when the Company believes that the non-binding indicative bids received from agent banks for certain syndicated loan investments that it owns may not be determinative of their fair value, or when no market indicative quote is available, the Company may engage third-party valuation firms to provide assistance in valuing certain syndicated investments that the Company owns. The third-party valuation firms may use the income or market approach in arriving at a valuation. Unobservable inputs utilized could include discount rates derived from estimated credit spreads and earnings before interest, taxes, depreciation, and amortization (“EBITDA”) multiples. In addition, Oxford Square Management analyzes each syndicated loan by reviewing the portfolio company’s financial statements, covenant compliance and recent trading activity in the security, if known, and other business developments related to the portfolio company. All available information, including non-binding indicative bids which may not be determinative of fair value, is presented to the Valuation Committee 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 Valuation Committee 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. The Valuation Committee will evaluate the impact of such additional information, and factor it into its consideration of the fair value that is indicated by the analysis provided by third-party valuation firms, if any. All information is presented to the Board for its determination of fair value of these investments.

Collateralized Loan Obligations — Debt and Equity

The Company holds a number of debt and equity positions in CLO investment vehicles and CLO warehouse investments. These investments are special purpose financing vehicles. In valuing such investments, the Company 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. The Company also considers those instances in which the record date for an equity distribution payment falls on or before 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

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (cont.)

from bids-wanted-in-competition. In addition, the Company considers the operating metrics of the specific investment vehicle, including compliance with collateralization tests, defaulted and restructured securities, and payment defaults, if any. In periods of illiquidity and volatility, the Company may rely more heavily on other metrics, including but not limited to, the collateral manager, time left in the reinvestment period, expected cash flows and overcollateralization ratios, instead of the Company’s generated valuation yields. Oxford Square Management or the Valuation Committee 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 for its determination of fair value of these investments.

Bilateral Investments (Including Equity)

Bilateral investments for which market quotations are readily available are valued by an independent pricing agent or market maker. If such market quotations are not readily available, under the valuation procedures approved by the Board, upon the recommendation of the Valuation Committee, a third-party valuation firm will prepare valuations for each of OXSQ’s bilateral investments that, when combined with all other investments in the same portfolio company, (i) have a value as of the previous quarter of greater than or equal to 2.5% of its total assets as of the previous quarter, and (ii) have a value as of the current quarter of greater than or equal to 2.5% of its total assets as of the current quarter, after taking into account any repayment of principal during the current quarter. In addition, in those instances where a third-party valuation is prepared for a portfolio investment which meets the parameters noted in (i) and (ii) above, the frequency of those third-party valuations is based upon the grade assigned to each such security under its credit grading system as follows: Grade 1, at least annually; Grade 2, at least semi-annually; Grades 3, 4, and 5, at least quarterly. Bilateral investments which do not meet the parameters in (i) and (ii) above are not required to have a third-party valuation and, in those instances, a valuation analysis will be prepared by Oxford Square Management. All information is presented to the Board for its determination of fair value of these investments.

The term “Bilateral investments” means debt and equity investments directly negotiated between the Company and a portfolio company, but excludes syndicated loans (i.e., corporate loans arranged by an agent on behalf of a company, portions of which are held by multiple investors in addition to OXSQ).

Refer to “Note 4. Fair Value” in the notes to the Company’s consolidated financial statements for more information on investment valuation and the Company’s portfolio of investments.

INVESTMENT INCOME

Interest Income

Interest income is recorded on an accrual basis using the contractual rate applicable to each debt investment and includes the accretion of market discounts and/or original issue discount (“OID”) and amortization of market 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 Company otherwise does not expect the borrower to be able to service its debt and other obligations, the Company 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 Company generally restores non-accrual loans to accrual status when past due principal and interest is paid and, in the Company’s judgment, is likely to remain current. As of June 30, 2021 and December 31, 2020, the Company had two debt investments that were on non-accrual status.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (cont.)

Interest income also includes a payment-in-kind (“PIK”) component on certain investments in the Company’s portfolio. Refer to the section below, “Payment-In-Kind,” for a description of PIK income and its impact on interest income.

Payment-In-Kind

The Company has debt and preferred stock investments in its portfolio that contain contractual PIK provisions. PIK interest and preferred stock dividends are computed at their contractual rates and are accrued into income and recorded as interest and dividend income, respectively. The PIK amounts are added to the principal balances on the capitalization dates. Upon capitalization, the PIK portions of the investments are valued at their respective fair values. If the Company believes that a PIK is not fully expected to be realized, the PIK investment would be placed on non-accrual status. When a PIK investment is placed on non-accrual status, the accrued, uncapitalized interest or dividends would be reversed from the related receivable through interest or dividend income, respectively. PIK investments on non-accrual status are restored to accrual status once it becomes probable that such PIK will be ultimately collectible in cash. For the three and six months ended June 30, 2021 and 2020, no PIK dividends were recognized as dividend income.

Income from Securitization Vehicles and Investments

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, based upon estimated cash flows, amounts and timing, including those CLO equity investments that have not made their inaugural distribution for the relevant period end. We monitor the expected residual payments, and effective yield is determined and updated periodically, as needed. Accordingly, investment income recognized on CLO equity securities in the consolidated statement of operations differs from both the tax-basis investment income and from the cash distributions actually received by the Company during the period.

Other Income

Other income includes prepayment, amendment, and other fees earned by the Company’s loan investments, distributions from fee letters and success fees associated with portfolio investments. Distributions from fee letters are an enhancement to the return on a CLO equity investment and are based upon a percentage of the collateral manager’s fees above the amortized cost, and are recorded as other income when earned. The Company may also earn success fees associated with its investments in certain securitization vehicles or CLO warehouse facilities, which are contingent upon a repayment of the warehouse by a permanent CLO securitization structure; such fees are earned and recognized when the repayment is completed.

Preferred Stock Dividends

The Company holds preferred stock investments in its portfolio that contain cumulative preferred dividends that accumulate quarterly. The Company will generally record cumulative preferred dividends as investment income when they are received or declared by the portfolio company’s board of directors or upon any voluntary or involuntary liquidation, dissolution or winding up of the portfolio company, and are collectible. There were no cumulative preferred dividends recorded as dividend income during the three and six months ended June 30, 2021 and 2020, as the Company deemed them to be uncollectible.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (cont.)

DEFERRED DEBT ISSUANCE COSTS

Deferred debt issuance costs consist of fees and expenses incurred in connection with the closing or amending of credit facilities and debt offerings, and are capitalized at the time of payment. These costs are amortized using the straight line method over the terms of the respective credit facilities and debt securities. The amortized expenses are included in interest expense in the Company’s consolidated financial statements. The unamortized deferred debt issuance costs are included on the Company’s statement of assets and liabilities as a direct deduction from the related debt liability. Upon early termination or partial principal pay down of debt, or a credit facility, the unamortized costs related to such debt are accelerated into realized losses on extinguishment of debt on the Company’s consolidated statement of operations.

EQUITY OFFERING COSTS

Equity offering costs consist of fees and expenses incurred in connection with the registration and public offer and sale of the Company’s common stock, including legal, accounting and printing fees. These costs are deferred at the time of incurrence and are subsequently charged as a reduction to capital when the offering takes place or as shares are issued. Deferred costs are periodically reviewed and expensed if the related registration is no longer active.

SHARE REPURCHASES

From time to time, the Board may authorize a share repurchase program under which shares are purchased in open market transactions. Since the Company 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.

~~OTHER ASSETS~~

Other assets consist of funds held in escrow from sales of investments, prepaid expenses associated primarily with insurance costs, other receivables and deferred equity offering costs. At September 30, 2017, funds held in escrow totaled approximately $739,000, related to the sale of the Company’s investment in Ai Squared during the quarter ended June 30, 2016. The funds are expected to be released from escrow to the company during the fourth quarter of 2017, net of settlement

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)~~

~~of any indemnity claims and expenses related to the transaction. Prepaid expenses, other receivables and deferred equity offering costs totaled approximately $777,000 as of September 30, 2017.~~

~~U.S. FEDERAL INCOME TAXES~~

The Company intends to operate so as to qualify to be taxed as a RIC under Subchapter M of the 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, TICC is required to distribute at least 90% of its investment company taxable income annually, meet diversification requirements quarterly and file Form 1120-RIC, 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 statements 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. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.

The Company recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Through September 30, 2017, management has analyzed the Company’s tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions expected to be taken in the Company’s 2017 tax returns. The Company identifies its major tax jurisdictions as U.S Federal and Connecticut State; however, the Company is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months.

~~For tax purposes, the cost basis of the portfolio investments at September 30, 2017 and December 31, 2016 was approximately $484,936,152 and $667,826,311, respectively.~~

SECURITIES TRANSACTIONS

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

Distributions received on CLO equity investments which were optionally redeemed ~~for which~~are first applied to the remaining cost basis ~~has been~~until it is reduced to zero, after which distributions are recorded as realized gains.

25 An optional redemption feature of a CLO allows a majority of the holders of the equity securities issued by the CLO issuer, after the end of a specified non-call period, to cause the redemption of the secured notes issued by the CLO with proceeds of either the liquidation of the CLO’s assets or through a refinancing with new debt. The optional redemption is effectively a voluntary prepayment of the secured debt issued by the CLO prior to the stated maturity of such debt.

~~TICC~~U.S. FEDERAL INCOME TAXES

The Company intends to operate so as to qualify to be taxed as a RIC under Subchapter M of the Code and, as such, to not be subject to U.S. federal income tax on the portion of its taxable income and gains timely distributed to stockholders. To qualify for RIC tax treatment, OXSQ is required to distribute at least 90% of its investment company taxable income annually, meet diversification requirements quarterly and file Form 1120-RIC, as defined by the Code.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
~~SEPTEMBER~~June 30, ~~2017~~2021
(unaudited)

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (cont.)

uncertain tax positions expected to be taken in the Company’s 2021 tax returns. The Company identifies its major tax jurisdictions as U.S Federal and Connecticut State. The Company did not have any uncertain tax positions that met the recognition measurement criteria of ASC 740-10-25, Income Taxes, nor did the company have any unrecognized tax benefits as of the periods presented herein. The Company’s current tax year, 2020, 2019, and 2018 federal tax returns remain subject to examination by the Internal Revenue Service.

For tax purposes, the cost basis of the portfolio investments as of June 30, 2021 and December 31, 2020, was approximately $530,650,028 and $433,128,699, respectively.

RECENT ACCOUNTING PRONOUNCEMENTS

In August 2020, the FASB issued ASU 2020-06, Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity (“ASU 2020-06”), which simplifies the accounting for convertible instruments by removing the separation models for (1) convertible debt with a cash conversion feature and (2) convertible instruments with a beneficial conversion feature. As a result, after adoption, a convertible debt instrument will be accounted for as a single liability measured at its amortized cost. Additionally, ASU 2020-06 requires the application of the if-converted method to calculate the impact of convertible instruments on diluted earnings per share. ASU 2020-06 is effective for fiscal years beginning after December 15, 2021, with early adoption permitted for fiscal years beginning after December 15, 2020, and can be adopted on either a fully retrospective or modified retrospective basis. The Company is in the process of evaluating the impact that this guidance will have on its consolidated financial statements. As of June 30, 2021, the Company did not have any debt instruments with convertible features, and as such, it does not expect this guidance to have a material impact on its consolidated financial statements.

In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”). The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to certain contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued due to reference rate reform. The Company has agreements that have LIBOR as a reference rate with certain portfolio companies and also with certain lenders. These agreements include language for choosing an alternative successor rate if LIBOR reference is no longer considered to be appropriate. Such contract modifications are required to be evaluated in determining whether the modifications result in the establishment of new contracts or the continuation of existing contracts. The standard is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating its effective date for adoption and the impact of the adoption of ASU 2020-04 on the Company’s consolidated financial statements and disclosures, however the impact of the adoption is not expected to be material.

NOTE 4. FAIR VALUE

The Company’s assets measured at fair value by investment type on a recurring basis as of ~~September~~June 30, ~~2017~~2021 were as follows:

	Fair Value Measurements as of Reporting Date Using								Fair Value Measurements at Reporting Date Using
Assets ($ in millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Senior Secured Notes	$	—	$	—	$	231.1	$	231.1	$	—	$	—	$	242.0	$	242.0
Subordinated Debt		—		—		0.8		0.8
CLO Debt		—		—		4.5		4.5
CLO Equity		—		—		173.6		173.6		—		—		162.8		162.8
Equity and Other Investments		—		—		11.8		11.8		—		—		—		—
Total Investments at fair value		—		—		421.7		421.7		—		—		404.8		404.8
Cash and cash equivalents		119.6		—		—		119.6
Total assets at fair value(1)	$	119.6	$	—	$	421.7	$	541.3
Cash equivalents										63.6		—		—		63.6
Total assets at fair value									$	63.6	$	—	$	404.8	$	468.4

~~____________~~25

~~(1) Totals may not sum due to rounding.~~Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 4. FAIR VALUE (cont.)

The Company’s assets measured at fair value by investment type on a recurring basis as of December 31, ~~2016~~2020 were as follows:

	Fair Value Measurements as of Reporting Date Using								Fair Value Measurements at Reporting Date Using
Assets ($ in millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Senior Secured Notes	$	—	$	4.7	$	368.3	$	373.0	$	—	$	—	$	172.2	$	172.2
Subordinated Debt		—		—		0.7		0.7
CLO Debt		—		—		2.7		2.7
CLO Equity		—		—		200.8		200.8		—		—		122.5		122.5
Equity and Other Investments		—		—		12.7		12.7		—		—		—		—
Total Investments at fair value		—		4.7		585.2		589.9		—		—		294.7		294.7
Cash and cash equivalents		8.3		—		—		8.3
Total assets at fair value	$	8.3	$	4.7	$	585.2	$	598.2
Cash equivalents										59.1		—		—		59.1
Total									$	59.1	$	—	$	294.7	$	353.8

Significant Unobservable Inputs for Level 3 Investments

The following tables provide quantitative information about the Company’s Level 3 fair value measurements as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016,~~2020, respectively. The Company’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 Company uses in determining fair value. If the Valuation Committee or ~~TICC~~Oxford Square Management determines that additional techniques, sources or inputs are appropriate or necessary in a given situation, such additional work will be undertaken. The tables, therefore,

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 4. FAIR VALUE (continued)~~

are not ~~all-inclusive,~~all-inclusive, but provide information on the significant Level 3 inputs that are pertinent to the Company’s fair value measurements. The weighted average calculations in the table below are based on principal balances for all debt related calculations and CLO equity.

Quantitative Information about Level 3
Fair Value Measurements

Assets ($ in millions)

Fair Value
as of
September 30,
2017

Valuation
Techniques/
Methodologies

Unobservable
Input

Range/Weighted
Average(8)

Impact to
Fair Value
from an
Increase in
Input(10)

Senior Secured Notes

$
181.8

Market quotes

NBIB(1)

75.1% – 100.5%/98.1%

NA

46.6

Recent transactions

Actual trade/payoff(6)

85.0% – 100.0%/92.6%

NA

2.7

Enterprise value(7)/

Market multiples(2)

5.5x – 6.0x/ncm(4)

Increase

Discounted cash flow(5)

Discount rate(3)

6.2% – 7.8%/ncm(4)

Decrease

Subordinated Debt

0.8

Enterprise value(7)/

Market multiples(2)

5.5x – 6.0x/ncm(4)

Increase

Discounted cash flow(5)

Discount rate(3)

6.3% – 10.0%/ncm(4)

Decrease

CLO Debt

4.5

Market quotes

NBIB(1)

81.6% – 97.5% /85.4(4)

NA

CLO Equity

147.5

Market quotes

NBIB(1)

1.1% – 103.0%/48.6%

NA

17.3

Discounted cash flow(5)

Discount rate(3)(5)

10.6% – 17.5%/12.7%

Decrease

8.7

Recent transactions

Actual trade/payoff(6)

38.5% – 87.0%/48.6%

NA

Equity Shares

11.8

Enterprise value(7)/

EBITDA(2)

$35.5/ncm(4)

Increase

Discounted cash flow(5)

Market multiples(2)

5.5x – 6.0x/ncm(4)

Increase

Other investments

—

Other

Discount rate(3)

10.9%/ncm(4)

Decrease

Total Fair Value for Level 3 Investments(9)

$
421.7

Quantitative Information about Level 3 Fair Value Measurements

Assets ($ in millions)

Fair Value
as of
June 30,
2021

Valuation Techniques/Methodologies

Unobservable Input

Range/Weighted
Average(1)

Impact to
Fair Value
from an
Increase in
Input(2)

Senior Secured Notes

136.3

Market quotes

NBIB(3)

84.5

% – 100.0%/96.3%

98.0

Recent transactions

Actual trade/payoff

(4)

95.8

% – 100.0%/97.7%

7.6

Enterprise value(8)

EBITDA(9)

62.2 million/ncm

(5)

Increase

Market multiples(9)

4.5x – 5.5x/ncm

(5)

Increase

0.2

Options pricing model

Time to Expiration

1 year/ncm

(5)

Increase

Risk-free Rate

0.07

%/ncm(5)

Increase

Implied Volatility

30.0

% – 40.0%/35.0%

Increase

CLO equity

146.6

Market quotes

NBIB(3)

5.0

% – 84.7%/46.8%

6.8

Recent transactions

Actual trade/payoff

(4)

88.0

%/ncm(5)

2.4

Discounted cash flow(6)

Discount rate(7)

8.0

% – 12.9%/11.6%

Decrease

7.1

Liquidation Net Asset Value(8)

NBIB(3)

0.5

% – 27.6%/14.3%

Equity/Other

—

Enterprise value(8)

EBITDA(9)

21.7 million/ncm

(5)

Increase

Market multiples(9)

5.5x – 6.5x/ncm

(5)

Increase

Total Fair Value for Level 3 Investments(10)

404.8

____________

(1) Weighted averages are calculated based on fair value of investments.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 4. FAIR VALUE (cont.)

the value of a comparable company) that is multiplied by the historic and/or expected EBITDA of a company in order to estimate the company’s value. An increase in the Market/EBITDA multiple, in isolation, net of adjustments, would result in an increase in a fair value measurement.

(3) The Company generally uses prices provided by an independent pricing service, or broker or agent bank ~~non-binding~~non-binding indicative bid prices (“NBIB”), on or near the valuation date as the primary basis for the fair value determinations for syndicated notes, and CLO debt and equity investments, which may be adjusted for pending equity distributions as of valuation date. These bid prices are ~~non-binding,~~non-binding, and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by ~~TICC~~Oxford Square Management, including financial performance, recent business developments, and, in the case of CLO debt and equity investments, performance and covenant compliance information as provided by the independent trustee.

(2) EBITDA, or earnings before interest expense, taxes, depreciation and amortization, is an unobservable input which is generally based on most recently available twelve month financial statements provided by the portfolio company. Market multiples, also an unobservable input, represent an estimation of where market participants might value an enterprise based upon information available for comparable companies in the market.

~~(3) Discount rate represents the rate at which future cash flows are discounted to calculate a present value, reflecting market assumptions for risk.~~

(4) ~~The calculation of weighted average for a range of values, for multiple investments within a given asset category, is not considered to provide a meaningful representation (“ncm”).~~

(5) The Company will calculate the fair value of certain CLO equity investments based upon the net present value of expected contractual payment streams discounted using estimated market yields for the equity tranche of the respective CLO vehicle. TICC will also consider those investments 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 an adjustment to the transaction price representing substantially all of the pending distribution.

~~(6)~~ Prices provided by independent pricing services are evaluated in conjunction with actual trades and payoffs and, in certain cases, the value represented by actual trades or payoffs may be more representative of fair value as determined by the Valuation Committee.

27(5) The calculation of weighted average for a range of values, for a single investment within a given asset category, is not considered to provide a meaningful representation (“ncm”).

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 4. FAIR VALUE (continued)~~(6) The Company will calculate the fair value of certain CLO equity investments based upon the net present value of expected contractual payment streams discounted using estimated market yields for the equity tranche of the respective CLO vehicle. The Company will also consider those investments in which the record date for an equity distribution payment falls on or before the last day of the period, and the likelihood that a prospective purchaser would require an adjustment to the transaction price representing substantially all of the pending distribution.

(7) Discount rate represents the rate at which future cash flows are discounted to calculate a present value, reflecting market assumptions for risk.

(8) For ~~the corporate debt investments~~senior secured notes and equity investments, ~~third-party~~third-party valuation firms evaluate the financial and operational information of the portfolio companies that the Company provides to them, as well as independent market and industry information that they consider appropriate in forming an opinion as to the fair value of the Company’s securities. In those instances where the carrying value and/or internal credit rating of the investment does not require the use of a ~~third-party~~third-party valuation firm, a valuation is prepared by ~~TICC~~Oxford Square Management, which may include liquidation analysis or which may utilize a subsequent transaction to provide an indication of fair value.

~~(8)~~(9) EBITDA, or earnings before interest expense, taxes, depreciation and amortization, is an unobservable input which is generally based on the most recently available twelve month financial statements provided by the portfolio company. Market multiples, also an unobservable input, represent an estimation of where market participants might value an enterprise based upon information available for comparable companies in the market.

(10) Total may not sum due to rounding.

	Quantitative Information about Level 3 Fair Value Measurements
Assets ($ in millions)	Fair Value as of December 31, 2020		Valuation Techniques/ Methodologies	Unobservable Input	Range/Weighted Average(1)	Impact to Fair Value from an Increase in Input(2)
Senior Secured Notes	$	95.4	Market quotes	NBIB(3)	69.4% – 99.3%/90.8%	NA
		60.9	Recent transactions	Actual trade/payoff(4)	1.2% – 99.5%/78.3%	NA
		11.8	Discounted cash flow(6)	Discount rate(7)	16.8% – 18.1%/ncm(5)	Decrease
		4.1	Enterprise value(8)	EBITDA(9)	$92.0 million/ncm(5)	Increase
				Market multiples(9)	6.0x – 7.0x/ncm(5)	Increase

CLO		96.1	Market quotes	NBIB(3)	0.0% – 79.0%/34.0%	NA
		25.0	Recent transactions	Actual trade/payoff(4)	75.9% – 83.4%/76.7%	NA
		1.4	Discounted cash flow(6)	Discount rate(7)	11.7% – 21.1%/14.9%	Decrease

Equity/Other		—	Enterprise value(8)	EBITDA(9)	$19.8 million/ncm(5)	Increase
				Market multiples(9)	5.6x – 6.5x/ncm(5)	Increase
Total Fair Value for Level 3 Investments	$	294.7

____________

(1) Weighted averages are calculated based on fair value of investments.

~~(9) Totals may not sum due to rounding.~~27

~~(10)~~Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 4. FAIR VALUE (cont.)

(2) The impact on the fair value measurement of an increase in each unobservable input is in isolation. The discount rate is the rate used to discount future cash flows in a discounted cash flow calculation. An increase in the discount rate, in isolation, would result in a decrease in a fair value measurement. Market/EBITDA multiples refer to the input (often derived from the value of a comparable company) that is multiplied by the historic and/or expected EBITDA of a company in order to estimate the company’s value. An increase in the Market/EBITDA multiple, in isolation, net of adjustments, would result in an increase in a fair value measurement.

Quantitative Information about Level 3
Fair Value Measurements

Assets ($ in millions)

Fair Value
as of
December 31,
2016

Valuation
Techniques/
Methodologies

Unobservable
Input

Range/Weighted
Average(8)

Impact to
Fair Value
from an
Increase
in Input(9)

Senior Secured Notes

$
309.5

Market quotes

NBIB(1)

64.8% – 100.5%/94.5%

NA

11.8

Yield Analysis

NBIB(1)

97.3%/ncm(4)

NA

Discount Margin

6.4%/ncm(4)

Decrease

32.7

Recent transactions

Actual trade/payoff(6)

96.0% – 100.0%/99.3%

NA

14.3

Market quotes/

NBIB(1)

98.0% – 101.0%/98.5%

NA

Enterprise value(7)

EBITDA multiples(2)

4.5x – 6.25x/ncm(4)

Increase

Subordinated Debt

0.7

Market quotes/

NBIB(1)

101.0%/ncm(4)

NA

Enterprise value(7)

EBITDA multiples(2)

4.5x – 5.0x/ncm(4)

Increase

CLO Debt

2.7

Market quotes

NBIB(1)

90.0%/ncm(4)

NA

CLO Equity

155.8

Market quotes

NBIB(1)

25.0% – 108.0%/55.7%

NA

1.9

Discounted cash flow(5)

Discount rate(3)(5)

13.1% – 16.0%/13.9%

Decrease

43.1

Recent transactions

Actual trade/payoff(6)

38.7% – 71.9%/56.2%

NA

Equity Shares

12.4

Enterprise value(7)/

EBITDA(2)

$35. 2 – 170.7/ncm(4)

Increase

Discounted cash flow(5)

Market multiples(2)

4.5x – 9.5x/ncm(4)

Increase

Discount rates(3)

20.0%/ncm(4)

Decrease

Other investments

0.3

Other

Discount rates(3)

10.9%/ncm(4)

Decrease

Total Fair Value for Level 3 Investments

$
585.2

~~____________~~

~~(1)~~(3) The Company generally uses prices provided by an independent pricing service, or broker or agent bank ~~non-binding~~non-binding indicative bid prices (“NBIB”), on or near the valuation date as the primary basis for the fair value determinations for syndicated notes, and CLO debt and equity investments, which may be adjusted for pending equity distributions as of valuation date. These bid prices are ~~non-binding,~~non-binding, and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by ~~TICC~~Oxford Square Management, including financial performance, recent business developments, and, in the case of CLO debt and equity investments, performance and covenant compliance information as provided by the independent trustee.

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 4. FAIR VALUE (continued)~~

(2) EBITDA is an unobservable input which is generally based on most recently available twelve month financial statements provided by the portfolio company. Market multiples, also an unobservable input, represent an estimation of where market participants might value an enterprise based upon information available for comparable companies in the market.

~~(3) Discount rate represents the rate at which future cash flows are discounted to calculate a present value, reflecting market assumptions for risk.~~

(4) ~~The calculation of weighted average for a range of values, for multiple investments within a given asset category, is not considered to provide a meaningful representation (“ncm”).~~

(5) The calculation of weighted average for a range of values, for a single investment within a given asset category, is not considered to provide a meaningful representation (“ncm”).

(6) The Company will calculate the fair value of certain CLO equity investments based upon the net present value of expected contractual payment streams discounted using estimated market yields for the equity tranche of the respective CLO vehicle. The Company will also consider those investments in which the record date for an equity distribution payment falls on or before the last day of the period, and the likelihood that a prospective purchaser would require an adjustment to the transaction price representing substantially all of the pending distribution.

(7) Discount rate represents the rate at which future cash flows are discounted to calculate a present value, reflecting market assumptions for risk.

~~(8) Weighted averages are calculated~~(9) EBITDA, or earnings before interest expense, taxes, depreciation and amortization, is an unobservable input which is generally based on ~~fair value of investments.~~

~~(9) The impact on~~ the ~~fair value measurement of~~most recently available twelve month financial statements provided by the portfolio company. Market multiples, also an ~~increase in each~~ unobservable input, ~~is in isolation. The discount rate is the rate used to discount future cash flows in a discounted cash flow calculation. An increase~~represent an estimation of where market participants might value an enterprise based upon information available for comparable companies in the discount rate, in isolation, would result in a decrease in a fair value measurement. Market/EBITDA multiples refer to the input (often derived from the value of a comparable company) that is multiplied by the historic and/or expected EBITDA of a company in order to estimate the company’s value. An increase in the Market/EBITDA multiple, in isolation, net of adjustments, would result in an increase in a fair value measurement.market.

Financial Instruments Disclosed, But Not Carried, At Fair Value

The following table presents the carrying value and fair value of the Company’s financial liabilities disclosed, but not carried, at fair value as of ~~September~~June 30, ~~2017~~2021, and the level of each financial liability within the fair value hierarchy:

($ in thousands)

Carrying
Value

Fair
Value(2)(3)

Level 1

Level 2

Level 3
2017 Convertible Notes(1)

94,497

94,956

—

—

94,956
6.50% Unsecured Notes(1)

62,258

66,791

—

66,791

—
Total(4)

$
156,756

$
161,747

$
—

$
66,791

$
94,956

($ in millions)	Carrying Value(1)		Fair Value		Level 1		Level 2		Level 3
6.50% Unsecured Notes(2)	$	63.5	$	65.0	$	—	$	65.0	$	—
6.25% Unsecured Notes(2)		43.7		45.5		—		45.5		—
5.50% Unsecured Notes(2)		77.8		81.1		—		81.1		—
Total	$	185.0	$	191.6	$	—	$	191.6	$	—

____________

(1) Carrying value is net of unamortized deferred debt issuance costs. ~~Deferred debt issuance costs associated with the 2017 Convertible Notes (the “Convertible Notes”) totaled $45 at September 30, 2017. Deferred~~Unamortized deferred debt issuance costs associated with the 6.50% Unsecured Notes totaled approximately ~~$2,112 at September~~$0.9 million as of June 30, ~~2017.~~2021. Unamortized deferred debt

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 4. FAIR VALUE (cont.)

____________

issuance costs associated with the 6.25% Unsecured Notes totaled approximately $1.1 million as of June 30, 2021. Unamortized deferred debt issuance costs associated with the 5.50% Unsecured Notes totaled approximately $2.7 million as of June 30, 2021.

(2) ~~For the Convertible Notes, fair value is based upon the mid-point between the bid and ask prices.~~

~~(3)~~ For the 6.50% Unsecured Notes, ~~due 2024 (the “6.50%~~6.25% Unsecured ~~Notes”), the~~Notes and 5.50% Unsecured Notes, fair value is based upon the closing price on the last day of the ~~quarter.~~period. The 6.50% Unsecured Notes, 6.25% Unsecured Notes and 5.50% Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol ~~TICCL)~~“OXSQL”, “OXSQZ”, and “OXSQG”, respectively).

~~(4) Totals may not sum due to rounding.~~

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 4. FAIR VALUE (continued)~~

The following table presents the carrying value and fair value of the Company’s financial liabilities disclosed, but not carried, at fair value as of December 31, ~~2016~~2020 and the level of each financial liability within the fair value hierarchy:

($ in thousands)

Carrying
Value

Fair
Value(3)

Level 1

Level 2

Level 3
TICC CLO 2012-1 LLC Class A-1 Notes, net of discount(1)

$
64,788

$
65,282

$
—

$
—

$
65,282
TICC CLO 2012-1 LLC Class B-1 Notes, net of discount(1)

19,633

20,025

—

—

20,025
TICC CLO 2012-1 LLC Class C-1 Notes, net of discount(1)

22,375

23,058

—

—

23,058
TICC CLO 2012-1 LLC Class D-1 Notes, net of discount(1)

20,290

21,210

—

—

21,210
TICC CLO 2012-1 LLC deferred debt issuance costs(2)

(1,232
)

—

—

—

—
Sub-total TICC CLO 2012-1, LLC Notes(1)(2)

125,854

129,575

—

—

129,575
2017 Convertible Notes(2)(4)

94,117

96,906

—

—

96,906
Total

$
219,971

$
226,481

$
—

$
—

$
226,481

($ in millions)	Carrying Value(1)		Fair Value		Level 1		Level 2		Level 3
6.50% Unsecured Notes(2)	$	63.3	$	64.3	$	—	$	64.3	$	—
6.25% Unsecured Notes(3)		43.5		45.1		—		45.1		—
Total	$	106.8	$	109.4	$	—	$	109.4	$	—

____________

(1) ~~Carrying value is net of discount.~~

~~(2)~~ Carrying value is net of deferred debt issuance costs. Deferred debt issuance costs associated with the ~~outstanding TICC CLO 2012-1 notes are aggregated at the CLO level, and not by class.~~6.5% Unsecured Notes totaled approximately $1.1 million as of December 31, 2020. Deferred debt issuance costs associated with the ~~Convertible~~6.25% Unsecured Notes totaled ~~$425 at~~approximately $1.2 million as of December 31, ~~2016.~~2020.

~~(3)~~(2) For the ~~TICC CLO 2012-1 notes, fair value is based upon the bid price provided by the placement agent at the measurement date; for the Convertible~~6.50% Unsecured Notes, fair value is based upon the ~~mid-point between~~closing price on the ~~bid and ask prices.~~last day of the period. The 6.50% Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol “OXSQL”).

~~(4) Includes rounding adjustments to reconcile period balances.~~

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 4. FAIR VALUE (continued)~~(3) For the 6.25% Unsecured Notes, fair value is based upon the closing price on the last day of the period. The 6.25% Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol “OXSQZ”).

A reconciliation of the fair value of investments for the three months ended ~~September~~June 30, ~~2017,~~2021, utilizing significant unobservable inputs, is as follows:

($ in millions)	Senior Secured Notes			Subordinated Debt		CLO Debt			CLO Equity			Equity/ Other Investments		Total(3)			Senior Secured Notes			CLO Equity			Equity and Other Investments		Total(2)
Balance as of June 30, 2017	$	258.8		$	0.7	$	4.2		$	179.6		$	11.4	$	454.8
Realized gains/(losses) on investments included in earnings		0.7			—		0.2			(2.0	)		—		(1.1	)
Unrealized (depreciation)/appreciation included in earnings		1.7			0.1		(0.2	)		0.6			0.4		2.6
Balance at March 31, 2021																	$	193.4		$	127.2			—	$	320.6
Net realized gains included in earnings																		—			1.2			—		1.2
Net unrealized appreciation included in earnings																		(6.8	)		9.4			—		2.5
Accretion of discount		0.2			—		—			—			—		0.2			0.2			—			—		0.2
Purchases~~(1)~~		16.9			—		3.3			11.0			—		31.2			56.0			43.5			—		99.5
Repayments and Sales~~(1)~~		(47.3	)		—		(3.0	)		(12.6	)		—		(62.9	)		(0.6	)		(3.0	)		—		(3.7	)
Reductions to CLO Equity cost value~~(2)~~(1)		—			—		—			(3.2	)		—		(3.2)			—			(15.5	)		—		(15.5	)
Payment in Kind income(1)		0.1			—		—			—			—		0.1
Transfers in and/or (out) of level 3		—			—		—			—			—		—			—			—			—		—
Balance as of September 30, 2017(3)	$	231.1		$	0.7	$	4.5		$	173.6		$	11.8	$	421.7
The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses relating to TICC’s Level 3 assets still held at the reporting date and reported within the net change in unrealized gains or losses on investments in the Company’s Statement of Operations(1)	$	2.8		$	—	$	(0.2	)	$	(2.1	)	$	0.4	$	0.9
Balance at June 30, 2021(2)																	$	242.0		$	162.8		$	—	$	404.8
Net change in unrealized depreciation on Level 3 investments still held as of June 30, 2021																	$	(6.8	)	$	10.5		$	—	$	3.7

____________

(1) ~~Includes rounding adjustments to reconcile period balances.~~

(2) Reduction to cost value on TICC’s CLO equity investments represents the difference between distributions received, or entitled to be received, for the quarter ended September 30, 2017, of approximately $11.3 million and the effective yield interest income of approximately $8.1 million.

~~(3) Totals may not sum due to rounding.~~

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 4. FAIR VALUE (continued)~~

~~A reconciliation of the fair value of investments for the nine months ended September 30, 2017, utilizing significant unobservable inputs, is as follows:~~

($ in millions)

Senior Secured Notes

Subordinated Debt

CLO
Debt

CLO
Equity

Equity/ Other Investments

Total
Balance as of December 31, 2016

$
368.3

$
0.7

$
2.7

$
200.8

$
12.7

$
585.2

Realized gains/(losses) on investments included in
earnings

2.1

—

0.2

(10.8
)

2.5

(6.0
)
Unrealized (depreciation)/appreciation included in earnings

9.3

0.1

0.1

5.9

(2.2
)

13.2

Accretion of discount

0.8

—

—

—

—

0.8

Purchases(1)

53.6

—

4.5

107.0

3.0

168.1

Repayments and Sales(1)

(203.2
)

—

(3.0
)

(98.0
)

(4.2
)

(308.4
)
Reductions to CLO Equity cost value(2)

—

—

—

(31.4
)

—

(31.4)

Payment in Kind income(1)

0.2

—

—

—

—

0.2

Transfers in and/or (out) of level 3

—

—

—

—

—

—

Balance as of September 30, 2017(3)

$
231.1

$
0.8

$
4.5

$
173.6

$
11.8

$
421.7

The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses relating to TICC’s Level 3 assets still held at the reporting date and reported within the net change in unrealized gains or losses on investments in the Company’s Statement of Operations(1)

$
2.6

$
—

$
0.1

$
(4.7
)

$
0.3

$
(1.7
)

~~____________~~

~~(1) Includes rounding adjustments to reconcile period balances.~~

(2) Reduction to cost value on TICC’s CLO equity investments represents the difference between distributions received, or entitled to be received, for the nine months ended September 30, 2017, of approximately $57.5 million and the effective yield interest income of approximately $26.1 million.

~~(3) Totals may not sum due to rounding.~~

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 4. FAIR VALUE (continued)~~

~~A reconciliation of the fair value of investments for the year ended December 31, 2016, utilizing significant unobservable inputs, is as follows:~~

($ in millions)

Senior Secured Notes

Subordinated Debt

CLO
Debt

CLO
Equity

Equity/ Other Investments

Total
Balance as of December 31, 2015

$
444.5

$
0.6

$
2.1

$
179.0

$
8.8

$
635.0

Realized (losses)/gains included in
earnings

(3.7
)

—

1.7

(9.2
)

(3.0
)

(14.2
)
Unrealized appreciation included in earnings(1)

19.0

—

0.5

73.6

6.4

99.5

Accretion of discount

0.8

—

0.3

—

—

1.1

Purchases

95.7

—

6.7

68.6

0.5

171.5

Repayments and Sales(1)

(188.2
)

—

(8.6
)

(77.0
)

—

(273.8
)
Reductions to CLO Equity Cost Value(2)

—

—

—

(34.2
)

—

(34.2
)
Payment in Kind income

0.2

0.1

—

—

—

0.3

Transfers in and/or (out) of level 3

—

—

—

—

—

—

Balance as of December 31, 2016

$
368.3

$
0.7

$
2.7

$
200.8

$
12.7

$
585.2

The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses relating 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)

$
9.9

$
—

$
0.5

$
50.7

$
3.5

$
64.6

~~____________~~

~~(1) Includes rounding adjustments to reconcile period balances.~~

~~(2)~~ Reduction to cost value on the Company’s CLO equity investments represents the difference between distributions received, or entitled to be received, of approximately ~~$66.7~~$19.5 million and the effective yield interest income recognized on our CLO equity subordinated notes and the amortized cost adjusted income on our CLO equity fee notes of approximately ~~$32.5~~$4.0 million.

(2) Totals may not sum due to rounding.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 4. FAIR VALUE (cont.)

A reconciliation of the fair value of investments for the six months ended June 30, 2021, utilizing significant unobservable inputs, is as follows:

($ in millions)	Senior Secured Notes			CLO Equity			Equity and Other Investments		Total(2)
Balance at December 31, 2020	$	172.2		$	122.5		$	—	$	294.7
Net realized losses included in earnings		(13.4	)		0.6			—		(12.9	)
Unrealized appreciation included in earnings		11.1			22.5			—		33.6
Accretion of discount		0.4			—			—		0.4
Purchases		88.9			43.5			—		132.4
Repayments and Sales		(17.0	)		(4.9	)		—		(21.9	)
Reductions to CLO Equity cost value(1)		—			(21.4	)		—		(21.4	)
Non-cash interest and dividend income due to PIK		—			—			—		—
Transfers in and/or (out) of level 3		—			—			—		—
Balance at June 30, 2021(2)	$	242.0		$	162.8		$	—	$	404.8
Net change in unrealized depreciation on Level 3 investments still held as of June 30, 2021	$	(2.3	)	$	23.0		$	—	$	20.7

____________

(1) Reduction to cost value on the Company’s CLO equity investments represents the difference between distributions received, or entitled to be received, of approximately $30.0 million and the effective yield interest income recognized on our CLO equity subordinated notes and the amortized cost adjusted income on our CLO equity fee notes of approximately $8.6 million.

(2) Totals may not sum due to rounding.

A reconciliation of the fair value of investments for the year ended December 31, 2020, utilizing significant unobservable inputs, is as follows:

($ in millions)	Senior Secured Notes			CLO Debt			CLO Equity			Equity and Other Investments			Total(2)
Balance at December 31, 2019	$	240.5		$	0.8		$	120.6		$	2.8		$	364.8
Realized losses included in earnings		(2.2	)		2.3			(8.3	)		—			(8.2	)
Unrealized depreciation included in earnings		(1.6	)		0.1			(5.5	)		(2.8	)		(9.8	)
Accretion of discount		1.2			0.2			—			—			1.4
Purchases		39.2			8.2			46.5			—			93.8
Repayments and Sales		(105.2	)		(11.5	)		(17.9	)		—			(134.6	)
Reductions to CLO equity cost value(1)		—			—			(13.0	)		—			(13.0	)
Non-cash interest and dividend income due to PIK		0.3			—			—			—			0.3
Transfers in and/or (out) of level 3		—			—			—			—			—
Balance at December 31, 2020(2)	$	172.2		$	—		$	122.5		$	—		$	294.7
Net change in unrealized depreciation on Level 3 investments still held as of December 31, 2020	$	(2.0	)	$	—		$	(14.2	)	$	(2.8	)	$	(19.0	)

____________

(1) Reduction to cost value on the Company’s CLO equity investments represents the difference between distributions received, or entitled to be received, of approximately $28.4 million and the effective yield interest income recognized on our CLO equity subordinated notes and the amortized cost adjusted income on our CLO equity fee notes of approximately $15.4 million.

(2) Totals may not sum due to rounding.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 4. FAIR VALUE (cont.)

The following table shows the fair value of ~~our~~the Company’s portfolio of investments by asset class as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016:~~2020:

September 30, 2017

December 31, 2016
($ in millions)

Investments at Fair Value

Percentage of Total Portfolio

Investments at Fair Value

Percentage of Total Portfolio
Senior Secured Notes

$
231.1

54.7
%

$
373.0

63.2
%
Subordinated Debt

0.8

0.2
%

0.7

0.1
%
CLO Debt

4.5

1.1
%

2.7

0.5
%
CLO Equity

173.6

41.2
%

200.8

34.0
%
Equity and Other Investments

11.8

2.8
%

12.7

2.2
%
Total(1)

$
421.7

100.0
%

$
589.9

100.0
%

~~____________~~

~~(1) Totals may not sum due to rounding.~~

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

	June 30, 2021				December 31, 2020
($ in millions)	Investments at Fair Value		Percentage of Total Portfolio		Investments at Fair Value		Percentage of Total Portfolio
Senior Secured Notes	$	242.0	59.8	%	$	172.2	58.4	%
CLO Equity		162.8	40.2	%		122.5	41.6	%
Equity and Other Investments		—	0.0	%		—	0.0	%
Total	$	404.8	100.0	%	$	294.7	100.0	%

NOTE 5. ~~CASH, CASH EQUIVALENTS AND RESTRICTED CASH~~Cash and Cash Equivalents

~~At September~~As of June 30, ~~2017~~2021 and December 31, ~~2016,~~2020, respectively, cash and cash equivalents ~~and restricted cash~~ were as follows:

September 30, 2017

December 31, 2016
Cash

$
—

$
—
Cash Equivalents

119,601,494

8,261,698
Total Cash and Cash Equivalents

$
119,601,494

$
8,261,698
Restricted Cash

$
—

$
3,451,636

		June 30, 2021			December 31, 2020
Cash and Cash Equivalents		$	63,592,092		$	59,137,284

For further details regarding the composition of cash and cash equivalents ~~and restricted cash~~ refer to “Note 3. Summary of Significant Accounting Policies.”

NOTE 6. BORROWINGS

In accordance with the 1940 Act, with certain limited exceptions, the Company is only allowed to borrow amounts such that its asset coverage, as defined in the 1940 Act, is at least ~~200%~~150%, immediately after such borrowing. As of ~~September~~June 30, ~~2017,~~2021 and December 31, 2020, the Company’s asset coverage for borrowed amounts was ~~504.2%.~~226% and 304%, respectively.

The following are the Company’s outstanding principal amounts, carrying values and fair values of the Company’s borrowings as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016. Fair values~~2020. The fair value of the ~~Company’s notes payable~~6.50% Unsecured Notes (as defined below), 6.25% Unsecured Notes (as defined below), and the 5.50% Unsecured Notes (as defined below) are based upon the ~~bid~~closing price ~~provided by~~on the ~~placement agent at~~last day of the ~~measurement date:~~period and are listed on the NASDAQ Global Select Market (trading symbol OXSQL, OXSQZ, and OXSQG, respectively).

September 30, 2017

December 31, 2016
($ in thousands)

Principal Amount

Carrying Value

Fair
Value

Principal Amount

Carrying Value

Fair
Value
TICC CLO 2012-1 LLC Class A-1 Notes

$
—

$
—

$
—

$
65,282

$
64,788
(1)

$
65,282
TICC CLO 2012-1 LLC Class B-1 Notes

—

—

—

20,000

19,633
(1)

20,025
TICC CLO 2012-1 LLC Class C-1 Notes

—

—

—

23,000

22,375
(1)

23,058
TICC CLO 2012-1 LLC Class D-1 Notes

—

—

—

21,000

20,290
(1)

21,210
TICC CLO 2012-1 LLC deferred issuance costs

—

—

—

—

(1,232
)

—
Sub-total TICC CLO 2012-1, LLC Notes

—

—

—

129,282

125,854

129,575
2017 Convertible Notes

94,542

94,497
(2)

94,956

94,542

94,117
(2)

96,906
6.50% Unsecured Notes

64,370

62,258
(2)

66,791

—

—

—
Total(3)

$
158,912

$
156,756

$
161,747

$
223,824

$
219,971

$
226,481

	As of
	June 30, 2021						December 31, 2020
($ in millions)	Principal Amount		Carrying Value(1)		Fair Value		Principal Amount		Carrying Value(1)		Fair Value
6.50% Unsecured Notes	$	64.4	$	63.5	$	65.0	$	64.4	$	63.3	$	64.3
6.25% Unsecured Notes		44.8		43.7		45.5		44.8		43.5		45.1
5.50% Unsecured Notes		80.5		77.8		81.1		—		—		—
Total	$	189.7	$	185.0	$	191.6	$	109.2	$	106.8	$	109.4

____________

(1) Represents the aggregate principal amount outstanding less the unaccreted discount. As of December 31, 2016, the total unaccreted discount for the 2023 Class A Notes, the 2023 Class B Notes, the 2023 Class C Notes and the 2023 Class D Notes was approximately $494, $367, $625 and $710, respectively.

~~(2) Represents~~The Carrying Value represents the aggregate principal amount outstanding less the unamortized deferred issuance costs. As of ~~September~~June 30, ~~2017,~~2021, the total unamortized deferred issuance costs for the ~~Convertible~~6.50% Unsecured Notes, 6.25% Unsecured Notes, and ~~6.50%~~5.50% Unsecured Notes was approximately ~~$45~~$0.9 million, $1.1 million, and ~~$2,112,~~$2.7 million, respectively. As of December 31, ~~2016,~~2020, the total unamortized deferred issuance costs for the ~~Convertible~~6.50% Unsecured Notes, and 6.25% Unsecured Notes was approximately ~~$425.~~$1.1 million, and $1.2 million, respectively.

~~(3) Totals may not sum due to rounding.~~Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 6. BORROWINGS (cont.)

The weighted average stated interest rate and weighted average maturity on ~~all of~~ the Company’s ~~debt outstanding~~borrowings as of ~~September~~June 30, ~~2017~~2021 were ~~7.09%~~6.02% and ~~2.7~~5.1 years, respectively, and as of December 31, ~~2016~~2020 were ~~5.56%~~6.40% and ~~4.2~~4.1 years, respectively.

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 6. BORROWINGS (continued)~~

The ~~table~~tables below ~~summarizes~~summarize the components of interest expense for the three and six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016:~~

Three Months Ended September 30, 2017

Three Months Ended September 30, 2016
($ in thousands)

Stated Interest Expense

Note Discount

Amortization of Deferred Debt Issuance Costs

Total

Stated Interest Expense

Note Discount

Amortization of Deferred Debt Issuance Costs

Total
TICC CLO 2012-1 LLC Class A-1 Notes

$
42.1

$
1.6

$
—

$
43.7

$
1,019.2

$
46.0

$
—

$
1,065.2
TICC CLO 2012-1 LLC Class B-1 Notes

143.3

8.4

—

151.7

216.1

13.7

—

229.8
TICC CLO 2012-1 LLC Class C-1 Notes

208.7

14.1

—

222.8

322.0

22.9

—

344.9
TICC CLO 2012-1 LLC Class D-1 Notes

222.6

15.9

—

238.5

347.6

25.8

—

373.4
TICC CLO 2012-1 amortization of deferred debt

—

—

16.1

16.1

—

—

81.6

81.6
Convertible Notes

1,772.7

—

128.2

1,900.9

2,156.3

—

156.0

2,312.3
6.50% Unsecured Notes

1,046.0

—

81.8

1,127.8

—

—

—

—
Total

$
3,435.4

$
40.0

$
226.1

$
3,701.5

$
4,061.2

$
108.4

$
237.6

$
4,407.2

~~The table below summarizes the components of interest expense for the nine months ended September~~June 30, ~~2017 and 2016:~~

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016
($ in thousands)

Stated Interest Expense

Note Discount

Amortization of Deferred Debt Issuance Costs

Total

Stated Interest Expense

Note Discount

Amortization of Deferred Debt Issuance Costs

Total
TICC CLO 2012-1 LLC Class A-1 Notes

$
623.8

$
25.4

$
—

$
649.2

$
3,089.1

$
145.3

$
—

$
3,234.4
TICC CLO 2012-1 LLC Class B-1 Notes

600.0

35.4

—

635.4

629.2

40.7

—

669.9
TICC CLO 2012-1 LLC Class C-1 Notes

878.4

59.4

—

937.8

943.2

68.1

—

1,011.3
TICC CLO 2012-1 LLC Class D-1 Notes

939.7

67.0

—

1,006.7

1,021.5

76.5

—

1,098.0
TICC CLO 2012-1 amortization of deferred debt

—

—

91.7

91.7

—

—

253.0

253.0
Convertible Notes

5,318.0

—

380.5

5,698.5

6,468.9

—

464.6

6,933.5
6.50% Unsecured Notes

1,964.2

—

152.0

2,116.2

—

—

—

—
Total

$
10,324.1

$
187.2

$
624.2

$
11,135.5

$
12,151.9

$
330.6

$
717.6

$
13,200.1

~~The aggregate accrued interest which remained payable as of September 30, 2017 and December 31, 2016 was approximately $3.0 million and $1.7 million, respectively.~~

~~TICC CLO 2012-1 LLC~~

On August 23, 2012, the Company completed a $160 million debt securitization financing transaction, consisting of $120 million in secured notes and $40 million of the 2012 subordinated notes. On February 25, 2013 and May 28, 2013, TICC CLO 2012-1 issued additional secured notes totaling an aggregate of $120 million and 2012 subordinated notes totaling

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 6. BORROWINGS (continued)~~

an aggregate of $40 million, which 2012 subordinated notes were purchased by TICC under the “accordion” feature of the debt securitization which allowed, under certain circumstances and subject to the satisfaction of certain conditions, for an increase in the amount of secured and subordinated notes. It is not necessary that the Company own all or any of the notes permitted by this feature, which may affect the accounting treatment of the debt securitization financing transaction. On August 25, 2016, November 25, 2016, February 27, 2017, and May 25, 2017, the Securitization Issuer repaid approximately $36.0 million, approximately $74.7 million, approximately $24.5 million, and approximately $31.4 million of the class A-1 notes, respectively. On August 25, 2017, the Securitization Issuer repaid, in full, the remaining secured notes (classes A-1, B-1, C-1 and D-1) outstanding of approximately $73.4 million. Management is in the process of winding down TICC CLO 2012-1.

In connection with the November 25, 2016 repayment of approximately $74.7 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately $1,296,000, which consisted of approximately $574,000 in accelerated note discount expense and approximately $722,000 in accelerated deferred debt issuance costs.

In connection with the February 27, 2017 repayment of approximately $24.5 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately $409,000, which consisted of approximately $181,000 in accelerated note discount expense and approximately $228,000 in accelerated deferred debt issuance costs.

In connection with the May 25, 2017 repayment of approximately $31.4 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately $505,000, which consisted of approximately $224,000 in accelerated note discount expense and approximately $281,000 in accelerated deferred debt issuance costs.

In connection with the August 25, 2017 repayment of approximately $73.4 million of the Class A-1, B-1, C-1 and D-1 notes, the Company incurred debt extinguishment costs of approximately $2.2 million, which consisted of approximately $1.6 million in accelerated note discount expense and approximately $0.6 million in accelerated deferred debt issuance costs.

~~The accelerated note discount expense and accelerated deferred debt issuance costs are recorded within Realized Losses on Extinguishment of Debt in the Consolidated Statement of Operations.~~

The following table sets forth the components of interest expense, effective annualized average interest rates, and cash paid for interest of the Class A-1, B-1, C-1 and D-1 for the three and nine months ended September 30, 2017 and 2016,2020, respectively:

TICC CLO 2012-1 LLC ($ in thousands)

Three Months Ended September 30, 2017

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016
Stated interest expense

$
616.7

$
1,904.9

$
3,041.9

$
5,683.0

Amortization of deferred issuance costs

16.1

81.6

91.7

253.0

Note discount expense

40.0

108.4

187.2

330.6

Total interest expense

$
672.8

$
2,094.9

$
3,320.8

$
6,266.6

Effective annualized average interest rate

5.98
%

3.70
%

5.33
%

3.56
%
Cash paid for interest

$
1,031.6

$
1,960.0

$
3,591.2

$
5,652.4

Effective January 1, 2017 and through February 27, 2017, the interest charged under the securitization was based on three-month LIBOR, which was 0.930%. Effective February 28, 2017 and through May 25, 2017, the interest charged under the securitization was based on three-month LIBOR, which was approximately 1.052%. Effective May 26, 2017 and through August 25, 2017, the interest charged under the securitization was based on three-month LIBOR, which was approximately 1.189%.

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 6. BORROWINGS (continued)~~

Effective January 1, 2016 and through February 24, 2016, the interest charged under the securitization was based on three-month LIBOR, which was 0.393%. Effective February 25, 2016 and through May 25, 2016, the interest charged under the securitization was based on three-month LIBOR, which was approximately 0.629%. Effective May 26, 2016 and through August 25, 2016, the interest charged under the securitization was based on three-month LIBOR, which was approximately 0.662%. Effective August 26, 2016 and through September 30, 2016, the interest charged under the securitization was based on three-month LIBOR, which was approximately 0.825%.

The interest rate, spread over LIBOR, cash paid for interest and stated interest expense of each of the Class A-1, B-1, C-1 and D-1 Notes for the three and nine months ended September 30, 2017, respectively, are as follows:

Three Months Ended September 30, 2017

Nine Months Ended September 30, 2017
TICC CLO 2012-1 LLC ($ in thousands)

Stated Interest Rate

LIBOR Spread (basis points)

Cash Paid for Interest

Stated Interest Expense

Cash Paid for Interest

Stated Interest Expense
Class A-1 Notes

2.93867
%

175

$
70.5

$
42.1

$
803.6

$
623.8
Class B-1 Notes

4.68867
%

350

239.6

143.3

691.0

600.0
Class C-1 Notes

5.93867
%

475

349.1

208.7

1,012.7

878.4
Class D-1 Notes

6.93867
%

575

372.4

222.6

1,083.9

939.7
Total(1)

$
1,031.6

$
616.7

$
3,591.2

$
3,041.9

	Three Months Ended June 30, 2021						Six Months Ended June 30, 2021
($ in thousands)	Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total		Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total
6.50% Unsecured Notes	$	1,046.0	$	81.0	$	1,127.0	$	2,092.0	$	161.0	$	2,253.0
6.25% Unsecured Notes		699.9		58.1		758.0		1,399.7		115.6		1,515.3
5.50% Unsecured Notes		504.2		42.2		546.4		504.2		42.2		546.4
Total(1)	$	2,250.1	$	181.3	$	2,431.4	$	3,996.0	$	318.8	$	4,314.8

____________

(1) Totals may not sum due to ~~rounding.~~rounding

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2016
TICC CLO 2012-1 LLC ($ in thousands)

Stated Interest Rate

LIBOR Spread (basis points)

Cash Paid for Interest

Stated Interest Expense

Cash Paid for Interest

Stated Interest Expense
Class A-1 Notes

2.57544
%

175

$
1,085.0

$
1,019.2

$
3,095.8

$
3,089.1
Class B-1 Notes

4.32544
%

350

212.7

216.1

618.2

629.2
Class C-1 Notes

5.57544
%

475

318.1

322.0

929.8

943.2
Class D-1 Notes

6.57544
%

575

344.1

347.6

1,008.7

1,021.6
Total(1)

$
1,960.0

$
1,904.9

$
5,652.4

$
5,683.2

	Three Months Ended June 30, 2020						Six Months Ended June 30, 2020
($ in thousands)	Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total		Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total
6.50% Unsecured Notes	$	1,046.0	$	81.0	$	1,127.0	$	2,092.0	$	161.9	$	2,253.9
6.25% Unsecured Notes		699.9		58.0		757.9		1,399.7		116.3		1,516.0
Credit Facility(1)		—		—		—		262.2		4.8		267.0
Repo Facility		21.5		—		21.5		43.0		—		43.0
Total	$	1,767.4	$	139.0	$	1,906.4	$	3,796.9	$	283.0	$	4,079.9

____________

(1) ~~Totals may not sum due to rounding.~~

~~TICC serves as collateral manager to the 2012 Securitization Issuer under a collateral management agreement. TICC is entitled to a deferred fee for its services as collateral manager.~~ The ~~deferred fee is eliminated in consolidation.~~Credit Facility was fully repaid on March 24, 2020.

Notes Payable — 6.50% Unsecured Notes Due 2024 (the “6.50% Unsecured Notes”)

On April 12, 2017, the Company completed an underwritten public offering of approximately $64.4 million in aggregate principal amount of the 6.50% ~~unsecured notes due 2024.~~Unsecured Notes. The 6.50% Unsecured Notes ~~will~~ mature on March 30, 2024, and may be redeemed in whole or in part at any time or from time to time at the Company’s option on or after March 30, 2020. The

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 6. BORROWINGS (continued)~~

6.50% Unsecured Notes ~~will~~ bear interest at a rate of 6.50% per year, payable quarterly on March 30, June 30, September 30, and December 30 of each ~~year, commencing June 30, 2017.~~year.

The aggregate accrued interest payable on the 6.50% Unsecured Notes ~~at September~~as of June 30, ~~2017~~2021 was approximately ~~$11,600.~~$12,000. As of ~~September~~June 30, ~~2017,~~2021, the Company had unamortized deferred debt issuance costs relating to the 6.50% Unsecured Notes of approximately $0.9 million. The deferred debt issuance costs are being amortized over the term of the 6.50% Unsecured Notes and are included in interest expense in the consolidated statements of operations. The cash paid and the effective annualized interest rate for the three months ended June 30, 2021 were approximately $1.0 million and 7.02%, respectively. The cash paid and the effective annualized interest rate for the six months ended June 30, 2021 were approximately $2.1 million and 7.06%, respectively.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 6. BORROWINGS (cont.)

Notes Payable — 6.25% Unsecured Notes Due 2026 (the “6.25% Unsecured Notes”)

On April 3, 2019, the Company completed an underwritten public offering of approximately $44.8 million in aggregate principal amount of 6.25% Unsecured Notes. The 6.25% Unsecured Notes will mature on April 30, 2026, and may be redeemed in whole or in part at any time or from time to time at the Company’s option on or after April 30, 2022. The 6.25% Unsecured Notes bear interest at a rate of 6.25% per year payable quarterly on January 31, April 30, July 31, and October 31, of each year.

The aggregate accrued interest payable on the 6.25% Unsecured Notes as of June 30, 2021 was approximately $0.5 million. As of June 30, 2021, the Company had unamortized deferred debt issuance costs of approximately ~~$2.1~~$1.1 million relating to ~~these notes. This amount is~~the 6.25% Unsecured Notes. The deferred debt issuance costs are being amortized ~~and is included in Interest expense in the Consolidated Statements of Operations~~ over the term of the ~~6.50%~~6.25% Unsecured ~~Notes.~~

~~The following table sets forth the components of~~Notes and are included in interest expense in the consolidated statements of operations. The cash paid and the effective annualized ~~average~~ interest ~~rates and cash paid for interest of the 6.50% Unsecured Notes~~rate for the three ~~and nine~~ months ended ~~September~~June 30, ~~2017:~~

6.50% Unsecured Notes ($ in thousands)

Three Months Ended September 30, 2017

Nine Months Ended September 30, 2017
Stated interest expense

$
1,046.0

$
1,964.2
Amortization of deferred issuance costs

81.8

152.0
Total interest expense

$
1,127.8

$
2,116.2
Effective annualized average interest rate

6.95
%

6.98%
Cash paid for interest

$
1,046.0

$
1,952.6

2021 were approximately $0.7 million and 6.79%, respectively. The ~~6.50%~~cash paid and the effective annualized interest rate for the six months ended June 30, 2021 were approximately $1.4 million and 6.82%, respectively.

Notes Payable — 5.50% Unsecured Notes are TICC’s general, unsecured obligations and rank equal in right of payment with all of TICC’s existing and future senior, unsecured indebtedness and senior in right of payment to any of its subordinated indebtedness. As a result, the 6.50%Due 2028 (the “5.50% Unsecured Notes will be effectively subordinated to TICC’s existing and future secured indebtedness to the extent of the value of the assets securing such indebtedness and structurally subordinated to any existing and future liabilities and other indebtedness of its subsidiary.

~~Convertible Notes~~Notes”)

On ~~September 26, 2012,~~May 20, 2021, the Company ~~issued $105.0~~completed an underwritten public offering of approximately $80.5 million in aggregate principal amount of ~~senior unsecured notes due November 2017,~~5.50% Unsecured Notes. The 5.50% Unsecured Notes will mature on July 31, 2028, and ~~an additional $10.0 million aggregate principal amount of~~may be redeemed in whole or in part at any time or from time to time at the ~~Convertible Notes was issued~~Company’s option on October 22, 2012 pursuant to the exercise of the initial purchasers’ option to purchase additional Convertible Notes. On December 2, 2016 and December 16, 2016, the Company repurchased $12.0 million and approximately $8.5 million of the Convertible Notes, respectively. At September 30, 2017, approximately $94.5 million aggregate principal amount of the Convertible Notes remained outstanding.or after May 31, 2024. The ~~Convertible~~5.50% Unsecured Notes bear interest at a rate of ~~7.50%~~5.50% per year payable ~~semi-annually in arrears~~quarterly on ~~May 1~~January 31, April 30, July 31, and ~~November 1~~October 31, of each year. The Convertible Notes are convertible into shares of TICC’s common stock based on an initial conversion rate of 87.2448 shares of its common stock per $1,000 principal amount of Convertible Notes, which is equivalent to an initial conversion price of approximately $11.46 per share of common stock. The conversion price for the Convertible Notes will be reduced for quarterly cash distributions paid to common shares to the extent that the quarterly distribution exceeds $0.29 per share, subject to adjustment. TICC does not have the right to redeem the Convertible Notes prior to maturity.

The aggregate accrued interest payable on the ~~Convertible~~5.50% Unsecured Notes as of ~~September~~June 30, ~~2017~~2021 was approximately ~~$3.0~~$0.5 million. ~~Deferred debt issuance costs represent fees and other direct incremental costs incurred in connection with the Convertible Notes.~~ As of ~~September~~June 30, ~~2017,~~2021, the Company had unamortized deferred debt issuance costs of approximately ~~$45,000~~$2.7 million relating to ~~these notes. This amount is~~the 5.50% Unsecured Notes. The deferred debt issuance costs are being amortized ~~and is included in Interest expense in the Consolidated Statements of Operations~~ over the term of the ~~Convertible Notes.~~

385.50% Unsecured Notes and are included in interest expense in the consolidated statements of operations. The effective annualized interest rate for both the three and six months ended June 30, 2021 was approximately 5.90%. There was no cash paid for the three and six months ended June 30, 2021.

~~TICC~~Notes Payable — Credit Facility

On June 21, 2018, OXSQ Funding entered into the Credit Facility with Citibank, N.A. Subject to certain exceptions, pricing under the Credit Facility was based on the London Interbank Offered Rate for an interest period equal to three months plus a spread of 2.25% per annum payable quarterly on March 21, June 21, September 21 and December 21. Pursuant to the terms of the credit agreement governing the Credit Facility, OXSQ Funding borrowed approximately $95.2 million. The Credit Facility had a mandatory amortization schedule such that 15.0% of the principal amount outstanding as of June 21, 2018 would have become due and payable on June 21, 2019. On each payment date occurring thereafter, an additional 6.25% of the remaining principal amount outstanding would have been due and payable. All remaining principal and accrued and unpaid interest would have been due and payable on the final maturity date, June 21, 2020.

The Credit Facility was collateralized by a pool of loans initially consisting of loans sold by OXSQ to OXSQ Funding. OXSQ was able to sell and contribute additional loans to OXSQ Funding from time to time. OXSQ acted as the collateral manager of the loans owned by OXSQ Funding, and retained a residual interest through its ownership of OXSQ Funding.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
~~SEPTEMBER~~June 30, ~~2017~~2021
(unaudited)

NOTE 6. BORROWINGS ~~(continued)~~(cont.)

On October 12, 2018, OXSQ Funding amended the Credit Facility with Citibank, N.A. Under the amended Credit Facility, an additional borrowing amount of approximately $37.3 million was made under the same terms as the existing credit agreement. The Company posted additional collateral with a principal amount of approximately $76.4 million. All other existing terms of the Credit Facility remained unchanged.

The ~~following table sets forth~~Company prepaid the ~~components~~remaining outstanding principal of ~~interest expense, effective annualized average interest rates~~approximately $28.1 million in March 2020, and unilaterally terminated the Credit Facility as of March 24, 2020 in accordance with its terms. In connection with the early repayment and termination of the Credit Facility, the Company was required to pay a prepayment fee equal to $21,413. The Company recognized a net extinguishment loss of approximately $5,000 for the six months ended June 30, 2020, which consisted of unamortized deferred debt issuance costs. These costs are recorded within realized losses on extinguishment of debt in the consolidated statements of operations for the six months ended June 30, 2020.

As the Credit Facility was repaid and terminated as of March 24, 2020, there was no cash paid for interest ~~of the Convertible Notes~~ for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017 and 2016, respectively:~~2021.

2017 Convertible Notes ($ in thousands)

Three Months Ended September 30, 2017

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016
Stated interest expense

$
1,772.7

$
2,156.3

$
5,318.0

$
6,468.8

Amortization of deferred issuance costs

128.2

156.0

380.5

464.7

Total interest expense

$
1,900.9

$
2,312.3

$
5,698.5

$
6,933.5

Effective annualized average interest rate

7.98
%

7.98
%

8.06
%

8.03
%
Cash paid for interest

$
—

$
—

$
3,545.3

$
4,312.5

~~The Convertible Notes are TICC’s general, unsecured obligations and rank equal in right of payment~~Repurchase Transaction Facility

On October 18, 2019, the Company entered into a $10 million repurchase transaction facility (the “Repo Facility”) with all of TICC’s existing and future senior, unsecured indebtedness and senior in right of payment to any of its subordinated indebtedness. As a result, the Convertible Notes are effectively subordinated to TICC’s existing and future secured indebtednessNomura Securities International, Inc. (“Nomura”). Pursuant to the ~~extent~~Master Repurchase Agreement (“MRA”) and a transaction facility confirmation, the Company may sell securities to Nomura from time to time with a corresponding repurchase obligation at an agreed-upon price 30 to 60 days after the sale date (“Reverse Repo”). The Repo Facility has a funding cost of 1-month LIBOR plus 2.05% per annum for each Reverse Repo transaction and is subject to a facility fee of 0.85% per annum on the ~~value of~~full $10 million facility amount. The Repo Facility expired without extension by the ~~assets securing such indebtedness and structurally subordinated to any existing and future liabilities and other indebtedness of its subsidiary. For details regarding~~Company on October 18, 2020. The Company accounts for these Reverse Repo transactions as secured financings for the ~~maturity of the Convertible Notes refer to “Note 18. Subsequent Events.”~~

~~NOTE 7. EARNINGS PER SHARE~~

~~The following table sets forth the computation of basic and diluted net increase~~financial reporting purposes in ~~net assets resulting from investment income per share~~accordance with GAAP. There was no cash paid in facility fees for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017 and 2016, respectively:~~

Three Months Ended September 30, 2017

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016
Net increase in net assets resulting from net investment income per common share – basic:

Net investment income

$
6,767,753

$
6,539,020

$
23,097,902

$
17,382,340
Weighted average common shares outstanding – basic

51,479,409

51,479,409

51,479,409

51,985,537
Net increase in net assets resulting from net investment income per common share – basic

$
0.13

$
0.13

$
0.45

$
0.33
Net increase in net assets resulting from net investment income per common share – diluted:

Net investment income, before adjustments

$
6,767,753

$
6,539,020

$
23,097,902

$
17,382,340
Adjustments for interest on convertible notes, deferred issuance costs, and related impact on base management fees and incentive fees(1)

—

—

—

—
Net investment income, as adjusted(1)

$
6,767,753

$
6,539,020

$
23,097,902

$
17,382,340
Weighted average common shares outstanding – basic

51,479,409

51,479,409

51,479,409

51,985,537
Share adjustments for dilutive effect of
convertible notes(1)

—

—

—

—
Weighted average common shares
outstanding – diluted(1)

51,479,409

51,479,409

51,479,409

51,985,537
Net increase in net assets resulting from net investment income per common share – diluted(1)

$
0.13

$
0.13

$
0.45

$
0.33

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~2021, as the Repo Facility expired without extension by the Company on October 18, 2020.

NOTE 7. ~~EARNINGS PER SHARE (continued)~~

~~The following table sets forth the computation of basic and diluted net increase in net assets resulting from operations per share for the three and nine months ended September 30, 2017 and 2016:~~

Three Months Ended September 30, 2017

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016
Net increase in net assets resulting from operations per common share – basic:

Net increase in net assets resulting from operations

$
6,016,019

$
42,912,763

$
27,187,874

$
74,062,706
Weighted average common shares outstanding – basic

51,479,409

51,479,409

51,479,409

51,985,537
Net increase in net assets resulting from operations per common share – basic

$
0.12

$
0.83

$
0.53

$
1.42
Net increase in net assets resulting from operations per common share – diluted

Net increase in net assets resulting from operations, before adjustments

$
6,016,019

$
42,912,763

$
27,187,874

$
74,062,706
Adjustments for interest on convertible senior notes, base management fees, deferred issuance costs and incentive fees⁽¹⁾

—

1,446,266

4,215,831

5,555,309
Net increase in net assets resulting from operations, as adjusted(1)

$
6,016,019

$
44,359,029

$
31,403,705

$
79,618,015
Weighted average common shares outstanding – basic

51,479,409

51,479,409

51,479,409

51,985,537
Adjustments for dilutive effect of convertible notes(1)

—

10,033,152

8,248,298

10,033,152
Weighted average common shares outstanding – diluted(1)

51,479,409

61,512,561

59,727,707

62,018,689
Net increase in net assets resulting from operations per common share – diluted(1)(2)

$
0.12

$
0.72

$
0.53

$
1.28

~~____________~~

(1) Due to the anti-dilutive effect on the computation of diluted earnings per share for the three and nine months ended September 30, 2017 and 2016 for net increase in net assets resulting from net investment income and for the three months ended September 30, 2017 for net increase in net assets resulting from operations, the adjustments for interest on the Convertible Notes, base management fees, deferred issuance costs and net investment income incentive fees, as well as share adjustments for dilutive effect of the Convertible Notes, were excluded from the respective period’s diluted earnings per share computation. The following table represents the respective adjustments which were not made due to the anti-dilutive effect on the computation of diluted change in net assets resulting from net investment income per common share and the diluted change in net assets resulting from operations per common share for the three and nine months ended September 30, 2017 and 2016:

~~(2) Net increase in net assets resulting from operations per share for the nine months ended September 30, 2017 resulted in a diluted effect before rounding adjustments.~~

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 7. EARNINGS PER SHARE (continued)~~

Three Months Ended September 30, 2017

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016
Net increase in net assets resulting from net investment income per common share – diluted:

Adjustments for interest on convertible notes, deferred issuance costs, and related impact on base management fees and incentive fees

$
1,177,683

$
1,446,266

$
4,215,831

$
5,555,309
Share adjustments for dilutive effect of convertible notes

8,248,298

10,033,152

8,248,298

10,033,152
Net increase in net assets resulting from operations per common share – diluted:

Adjustments for interest on convertible notes, deferred issuance costs, and related impact on base management fees and incentive fees

$
1,177,683

$
—

$
—

$
—
Share adjustments for dilutive effect of convertible notes

8,248,298

—

—

—

~~NOTE 8.~~ RELATED PARTY TRANSACTIONS

~~TICC~~The Company pays ~~TICC~~Oxford Square Management a fee for its services under the Investment Advisory Agreement consisting of ~~two components~~ — a base ~~management~~investment advisory fee ~~(the “Base~~the (“Base Fee”) based on its gross assets, as described below, and antwo types of incentive ~~fee.~~fees. The cost of both the Base Fee ~~payable to TICC Management~~ and any incentive fees earned by ~~TICC~~Oxford Square Management are ultimately borne by ~~TICC’s~~the Company’s common stockholders.

As described in greater detail under ~~Base Management~~Item 1. Business — Investment Advisory Agreement — Advisory Fee

~~Through March~~ in its Annual Report on Form 10-K for the year ended December 31, ~~2016,~~2020, the Company first calculates the Base Fee ~~was calculated at an annual rate~~and any incentive fee under the terms of ~~2.00%. Effective~~the Investment Advisory Agreement, then calculates the Base Fee and any incentive fee under the terms of the fee waiver letter unilaterally adopted by Oxford Square Management, effective April 1, 2016 (the “2016 Fee Waiver”), and, finally, adopts the lower of two combined results as the total fees payable to Oxford Square Management.

Base Fee ~~is calculated at an annual rate of 1.50%.~~

The Base Fee is payable quarterly in arrears, ~~and is~~ calculated based on a percentage of the average value of ~~TICC’s~~the Company’s gross assets at the end of the two most recently completed calendar quarters, and appropriately prorated for any partial quarter. Accordingly, the Base Fee will be payable regardless of whether the value of the Company’s gross assets has decreased during the quarter.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

Under the terms of the Investment Advisory Agreement, the Base Fee is calculated at an annual rate of 2.00%, and appropriately adjusted for any equity or debt capital raises, repurchases, or redemptions during the current calendar quarter.

Under the terms of the 2016 Fee Waiver, for the purpose of calculating the amount of total advisory fees (if any) to be waived during a particular calendar quarter, ~~(however,~~the Base Fee (as a portion of the total calculation) is calculated at an annual rate of 1.50%, and adjusted pro rata for any share issuances, debt issuances, repurchases or redemptions during the current calendar quarter; provided, however, that no Base Fee ~~will be~~is payable on the cash proceeds received by the Company in connection with any share or debt issuances until such proceeds have been invested in accordance with ~~TICC’s investment objective). Accordingly, the Base Fee will be payable regardless of whether the value of~~ the Company’s ~~gross assets has decreased during the quarter. The Base Fee for any partial quarter will be appropriately prorated.~~investment objectives.

The following table represents the portion of the total advisory fee ascribed to the Base Fee (pursuant to the 2016 Fee Waiver calculation) for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016,~~2020, respectively:

Three Months Ended September 30, 2017

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016
Base management fee

$
2,004,391

$
2,630,334

$
6,456,566

$
8,747,819

($ in millions)		Three months ended June 30, 2021			Three months ended June 30, 2020			Six months ended June 30, 2021			Six months ended June 30, 2020
Base Fee		$	1.4		$	1.0		$	2.8		$	2.2

The Base ~~management fee~~Fee payable to ~~TICC~~Oxford Square Management as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016~~2020 was ~~$2,004,391~~$1,434,484 and ~~$2,544,576,~~$1,159,703, respectively.

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 8. RELATED PARTY TRANSACTIONS (continued)~~

Incentive Fee

The incentive ~~fee has two parts:~~fees are commonly referred to as the ~~“Net Investment Income~~“Income Incentive Fee” and the “Capital Gains Incentive ~~Fee”. The~~ Fee,” with the first fee payable quarterly in arrears and the second fee payable in arrears at the end of each calendar year.

Net Investment Income Incentive Fee

The first fee (the “Net Investment Income Incentive Fee”), is determined by reference to the Company’s “Pre-Incentive Fee Net Investment Income” (as defined below). Given that this incentive fee is ~~calculated and~~ payable ~~quarterly~~without regard to any gain, loss or unrealized depreciation that may occur during the quarter, Oxford Square Management’s incentive fee may be payable notwithstanding a decline in ~~arrears~~net asset value that quarter.

Under the terms of the Investment Advisory Agreement, the Net Investment Income Incentive Fee is calculated based on the ~~amount by which (x) the “Pre-Incentive~~Company’s “Pre-Incentive Fee Net Investment Income” for the immediately preceding calendar ~~quarter exceeds (y) the “Preferred Return Amount” for the current calendar~~ quarter.

• For this purpose, ~~“Pre-Incentive~~“Pre-Incentive Fee Net Investment Income” means interest income, dividend income and any other income (including ~~any accrued income that we have not yet received in cash and~~ any other fees, such as commitment, origination, structuring, diligence and consulting fees or other fees that ~~we receive~~the Company receives from portfolio companies) accrued during the calendar quarter minus ~~TICC’s~~the Company’s operating expenses ~~accrued during~~for the ~~calendar~~ quarter (including the Base Fee, expenses payable under ~~a separate~~the administration agreement, ~~with BDC Partners (the “Administration Agreement”),~~ and any interest expense and dividends paid on any issued and outstanding preferred stock, but excluding the incentive fee). ~~“Pre-Incentive~~Pre-Incentive Fee Net Investment ~~Income”~~Income includes, in the case of investments with a deferred interest feature (such as ~~OID,~~original issue discount, debt instruments with PIK interest, and zero coupon securities), accrued income that ~~the Company has~~we have not yet received in cash. TICC Management is not under any obligation to reimburse TICC for any part of the incentive fee it received that was based on accrued income that it never received as a result of a default by an entity on the obligation that resulted in the accrual of such income. “Pre-IncentivePre-Incentive Fee Net Investment ~~Income”~~Income does not include any realized capital gains, realized capital losses or unrealized capital appreciation or ~~depreciation~~depreciation.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

• Pre-Incentive Fee Net Investment Income, expressed as a rate of return on ~~investments, or gain/loss~~the value of the Company’s net assets at the end of the immediately preceding calendar quarter, is compared to one-fourth of an annual “hurdle rate.” The annual hurdle rate is determined as of the immediately preceding December 31st by adding 5.0% to the interest rate then payable on ~~extinguishment~~the most recently issued five-year U.S. Treasury Notes, up to a maximum annual hurdle rate of ~~debt. Given that this portion~~10.0%. The annual hurdle rates for the 2021 and 2020 calendar years, calculated as of the immediately preceding December 31st, were 5.36% and 6.69% respectively, under the terms of the Investment Advisory Agreement. The Company’s net investment income (to the extent not distributed to shareholders) used to calculate the Net Investment Income Incentive Fee was also included in the amount of gross assets used to calculate the 2% Base Fee.

a. The operation of the incentive fee with respect to the Company’s Pre-Incentive Fee Net Investment Income for each quarter is as follows:

i. no incentive fee is payable ~~without regard~~ to Oxford Square Management in any ~~gain, loss or unrealized depreciation on investments or gain/loss on extinguishment~~calendar quarter in which the Pre-Incentive Fee Net Investment Income does not exceed one fourth of ~~debt~~the annual hurdle rate (5.36% for the 2021 calendar year).

ii. 20% of the amount of the Pre-Incentive Fee Net Investment Income, if any, that ~~may occur~~exceeds one-fourth of the annual hurdle rate (5.36% for the 2021 calendar year) in any calendar quarter is payable to Oxford Square Management (i.e., once the hurdle rate is reached, 20% of all Pre-Incentive Fee Net Investment Income thereafter will be allocated to Oxford Square Management).

Under the terms of the 2016 Fee Waiver, for the purpose of calculating the amount of total advisory fees (if any) to be waived during a particular calendar quarter, the ~~quarter, this~~Income Incentive Fee (as a portion of ~~TICC Management’s incentive fee may also be payable notwithstanding a decline in net asset value that~~the total calculation) is calculated based on the amount by which (x) the “Pre-Incentive Fee Net Investment Income” (as defined below) for the calendar quarter exceeds (y) the “Preferred Return Amount” (as defined below) for the calendar quarter.

~~Effective April 1, 2016, a~~a. A “Preferred Return Amount” is calculated on a quarterly basis by multiplying 1.75% by the Company’s net asset value at the end of the immediately preceding calendar quarter.

b. The Net Investment Income Incentive ~~fee~~Fee is then calculated as follows:

(a) no Net Investment Income Incentive Fee is payable to ~~TICC~~Oxford Square Management in any calendar quarter in which the ~~“Pre-Incentive~~“Pre-Incentive Fee Net Investment Income” does not exceed the “Preferred Return Amount”;

(b) 100% of the ~~“Pre-Incentive~~“Pre-Incentive Fee Net Investment Income” for such quarter, if any, that exceeds the “Preferred Return Amount” but is less than or equal to a ~~“Catch-Up~~“Catch-Up Amount” determined on a quarterly basis by multiplying 2.1875% by ~~TICC’s~~OXSQ’s net asset value at the end of such calendar quarter; and

(c) for any quarter in which the ~~“Pre-Incentive~~“Pre-Incentive Fee Net Investment Income” exceeds the ~~“Catch-Up~~“Catch-Up Amount,” the Net Investment Income Incentive ~~fee~~Fee will be 20% of the amount of the ~~“Pre-Incentive~~“Pre-Incentive Fee Net Investment Income” for such quarter.

c. There is no accumulation of amounts from quarter to quarter for the “Preferred Return Amount,” and accordingly there is no claw back of amounts previously paid to ~~TICC~~Oxford Square Management if the ~~“Pre-Incentive~~“Pre-Incentive Fee Net Investment Income” for subsequent quarters is below the quarterly “Preferred Return Amount,” and there is no delay of payment of incentive fees to ~~TICC~~Oxford Square Management if the ~~“Pre-Incentive~~“Pre-Incentive Fee Net Investment Income” for prior quarters is below the quarterly “Preferred Return Amount” for the quarter for which the calculation is being made.

~~In addition, effective April 1, 2016, the~~36

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

d. The calculation of the Company’s Net Investment Income Incentive Fee is subject to a total return requirement ~~which~~that provides that a Net Investment Income Incentive Fee will not be payable to ~~TICC~~Oxford Square Management except to the extent 20% of the “cumulative net increase in net assets resulting from operations” (which is the amount, if positive, of the sum of the ~~“Pre-Incentive~~“Pre-Incentive Fee Net Investment Income,” realized gains and losses and unrealized appreciation and ~~depreciation on investments)~~depreciation) during the calendar quarter for which such fees are being calculated and the eleven (11) preceding quarters ~~(or if shorter, the number of quarters since April 1, 2016)~~ exceeds the cumulative Net Investment Income Incentive Fees accrued and/or paid for such eleven (11) preceding ~~quarters (or if shorter,~~quarters.

In the ~~number of quarters since April 1, 2016). Under~~event that the ~~revised~~advisory fee ~~structure,~~calculations under ~~no circumstances will~~ the ~~aggregate fees earned from April 1,~~ 2016 ~~by TICC Management in any quarterly period be~~Fee Waiver produce a higher ~~than the aggregate fees that would have been earned prior to the adoption of these changes.~~

~~From January 1, 2005 through March 31, 2016, the “Pre-Incentive~~combined Base Fee Net Investment Income,” which was expressed as a rate of return on the value of our net assets at the end of the immediately preceding calendar quarter, was compared to one-fourth of an annual hurdle rate that was determined as of the immediately preceding December 31st ~~by adding 5.00% to~~

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 8. RELATED PARTY TRANSACTIONS (continued)~~

the interest rate then payable on the most recently issued five-year U.S. Treasury Notes, up to a maximum annual hurdle rate of 10.00%. The annual hurdle rate used to calculate the “Pre-Incentive Fee Net Investment Income” for the quarters ended September 30, 2017 and ~~September 30, 2016 was 6.93% and 6.76%, respectively.~~

~~The following table represents the~~ Net Investment Income Incentive Fee for any quarterly period, the combined fees are set to the original (lower) level, calculated pursuant to the Investment Advisory Agreement. In the event that advisory fee calculations under the 2016 Fee Wavier produce a lower combined Base Fee and Net Investment Income Incentive Fee for ~~each~~that quarterly period, those lower combined fees are adopted for that quarterly period. In either case, the lower level of combined fees is used for that quarter, and, accordingly, the advisory fee payable to Oxford Square Management can only be reduced, and never increased, as a result of the ~~quarters~~2016 Fee Waiver.

There were no Net Investment Income Incentive Fees for the three and six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016, respectively:~~2020.

Three Months
Ended
September 30, 2017

Three Months
Ended
September 30, 2016

Nine Months
Ended
September 30, 2017

Nine Months
Ended
September 30, 2016
Net investment income incentive fee

$
564,370

$
422,828

$
2,827,991

$
1,666,594

~~The~~There was no Net Investment Income Incentive Fee payable to ~~TICC~~Oxford Square Management as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016 was approximately $567,103 and $1,128,805, respectively.~~2020.

Capital Gains Incentive Fee

The Capital Gains Incentive Fee, which is calculated identically under the Investment Advisory Agreement and under the 2016 Fee Waiver, is determined and payable in arrears as of the end of each calendar year (or upon termination of the Investment Advisory Agreement, as of the termination date), and equals 20% of the Company’s “Incentive Fee Capital Gains,” which consists of its realized capital gains for each calendar year, computed net of all realized capital losses and unrealized capital depreciation ~~on investments~~ for that calendar year. For accounting purposes only, in order to reflect the theoretical ~~capital gains incentive fee~~Capital Gains Incentive Fee that would be payable for a given period as if all unrealized gains ~~on investments~~ were realized, the Company will accrue a Capital Gains Incentive Fee based upon net realized gains ~~on investments (excluding gains/losses on extinguishment of debt)~~ and unrealized depreciation ~~on investments~~ for that calendar year (in accordance with the terms of the Investment Advisory Agreement), plus unrealized appreciation on investments held at the end of the period. It should be noted that a fee so calculated and accrued would not necessarily be payable under the Investment Advisory Agreement, and may never be paid based upon the computation of Capital Gains Incentive Fees in subsequent periods. Amounts paid under the Investment Advisory Agreement will be consistent with the formula reflected in the Investment Advisory Agreement.

The amount of Capital Gains Incentive Fee expense related to the hypothetical liquidation of the portfolio (and assuming no other changes in realized or unrealized gains and losses) would only become payable to ~~TICC~~Oxford Square Management in the event of a complete liquidation of the Company’s portfolio as of period end and the termination of the Investment Advisory Agreement on such date. Also, it should be noted that the Capital Gains Incentive Fee expense fluctuates with the Company’s overall investment results.

There were no Capital Gains Incentive Fees ~~incurred during~~based on hypothetical liquidation for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016.~~2020. There were no accrued Capital Gains Incentive Fees payable to ~~TICC~~Oxford Square Management as of ~~September~~June 30, ~~2017~~2021, and December 31, ~~2016.~~2020.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

Administration Agreement

The Company has also entered into the Administration Agreement with ~~BDC Partners~~Oxford Funds under which ~~BDC Partners~~Oxford Funds provides administrative services for ~~TICC.~~the Company. The Company pays ~~BDC Partners~~Oxford Funds an allocable portion of overhead and other expenses incurred by ~~BDC Partners in performing~~Oxford Funds on its ~~obligations~~behalf under the Administration Agreement, including a portion of the rent and the compensation of the ~~Chief Financial Officer,~~chief financial officer, accounting staff and other administrative support personnel, which creates potential conflicts of interest that the Board ~~of Directors~~ must monitor. The Company also reimburses ~~BDC Partners~~Oxford Funds for the costs associated with the functions performed by ~~TICC’s~~OXSQ’s Chief Compliance Officer that ~~BDC Partners~~Oxford Funds pays on the Company’s behalf pursuant to the terms of an agreement between the Company and Alaric Compliance Services, LLC.

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 8. RELATED PARTY TRANSACTIONS (continued)~~

~~TICC~~Oxford Square Management is controlled by ~~BDC Partners,~~Oxford Funds, its managing member. Charles M. Royce, a member of the ~~Company’s~~ Board, ~~of Directors,~~ holds a minority, ~~non-controlling~~non-controlling interest in ~~TICC~~Oxford Square Management. ~~BDC Partners~~Oxford Funds manages the business and internal affairs of ~~TICC~~Oxford Square Management. Jonathan H. Cohen, the Company’s Chief Executive Officer, as well as a Director, is the managing member of ~~BDC Partners.~~Oxford Funds. Saul B. Rosenthal, the Company’s President and Chief Operating Officer, is also the President and Chief Operating Officer of ~~TICC~~Oxford Square Management and a member of ~~BDC Partners.~~Oxford Funds. Messrs. Cohen and Rosenthal ~~have an equal~~together control the equity ~~interest~~interests in ~~BDC Partners. Mr. Royce does not take part in the management or participate in the operations of TICC Management.~~Oxford Funds.

For the three months ended ~~September~~June 30, ~~2017~~2021 and ~~2016, TICC~~2020, the Company incurred approximately ~~$237,700~~$193,000 and ~~$189,200,~~$168,000, respectively, in compensation expenses for the services of employees allocated to the administrative activities of ~~TICC,~~the Company, pursuant to the Administration Agreement with ~~BDC Partners; for~~Oxford Funds. For the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016, TICC~~2020, the Company incurred approximately ~~$676,000~~$366,000 and ~~$609,300, respectively. Further, TICC~~$369,000, respectively, in compensation expenses. In addition, the Company incurred approximately ~~$24,000~~$13,000 and ~~$27,700~~$14,000 for facility costs allocated under the Administration Agreement for the three months ended ~~September~~June 30, ~~2017~~2021 and ~~2016, respectively;~~2020, respectively. The Company incurred approximately $26,000 and $29,000 for facility costs for the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016, TICC incurred $57,000 and $83,200,~~2020, respectively. As of ~~September~~June 30, ~~2017 and~~2021, there was approximately $73,000 payable under the Administration Agreement. As of December 31, ~~2016, aggregate~~2020, there were no amounts payable under the Administration ~~Agreement were approximately $66,000 and $0, respectively.~~Agreement.

Co-Investment Exemptive Relief

On June 14, 2017, the SEC issued an order permitting ~~TICC~~the Company and certain of its affiliates to complete negotiated ~~co-investment~~co-investment transactions in portfolio companies, subject to certain conditions (the “Order”). Subject to satisfaction of certain conditions to the Order, ~~TICC~~the Company and certain of its affiliates are ~~now~~ permitted, together with any future BDCs, registered ~~closed-end~~closed-end funds and certain private funds, each of whose investment adviser is ~~TICC’s~~the Company’s investment adviser or an investment adviser controlling, controlled by, or under common control with ~~TICC’s~~the Company’s investment adviser, to ~~co-invest~~co-invest in negotiated investment opportunities where doing so would otherwise be prohibited under the 1940 Act, providing ~~TICC’s~~the Company’s stockholders with access to a broader array of investment opportunities.

Pursuant to the Order, ~~TICC~~the Company is permitted to ~~co-invest~~co-invest in such investment opportunities with its affiliates if a “required majority” (as defined in Section 57(o) of the 1940 Act) of its independent directors make certain conclusions in connection with a ~~co-investment~~co-investment transaction, including, but not limited to, that (1) the terms of the potential ~~co-investment~~co-investment transaction, including the consideration to be paid, are reasonable and fair to ~~TICC~~the Company and its stockholders and do not involve overreaching in respect of ~~TICC~~the Company or its stockholders on the part of any person concerned, and (2) the potential ~~co-investment~~co-investment transaction is consistent with the interests of ~~TICC’s~~the Company’s stockholders and is consistent with ~~TICC’s then-current~~the Company’s then-current investment objective and strategies.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

In addition, pursuant to an exemptive order issued by the SEC on April 8, 2020 and applicable to all BDCs, through December 31, 2020, the Company was permitted, subject to the satisfaction of certain conditions, to complete follow-on investments in its existing portfolio companies with certain private funds managed by the Company’s investment adviser or its affiliates and covered by the Order, even if such private funds had not previously invested in such existing portfolio company. Without this order, private funds would generally not be able to participate in such follow-on investments with the Company unless the private funds had previously acquired securities of the portfolio company in a co-investment transaction with the Company. Although the conditional exemptive order has expired, the SEC’s Division of Investment Management has indicated that until March 31, 2022, it will not recommend enforcement action, to the extent that any BDC with an existing co-investment order continues to engage in certain transactions described in the conditional exemptive order, pursuant to the same terms and conditions described therein.

NOTE 8. EARNINGS PER SHARE

The following table sets forth the computation of basic and diluted net increase/(decrease) in net assets resulting from net investment income and operations per share for the three and six months ended June 30, 2021 and 2020, respectively:

	Three Months Ended June 30, 2021		Three Months Ended June 30, 2020		Six Months Ended June 30, 2021		Six Months Ended June 30, 2020
Net investment income	$	2,784,469	$	4,329,982	$	7,598,633	$	10,702,473
Weighted average common shares outstanding		49,607,474		49,589,607		49,598,636		49,363,588
Net increase in net assets resulting from net investment income per common share	$	0.06	$	0.09	$	0.15	$	0.22
Net increase/(decrease) in net assets resulting from operations	$	6,502,117	$	20,555,569	$	28,291,272	$	(58,802,444	)
Net increase/(decrease) in net assets resulting from operations per common share	$	0.13	$	0.41	$	0.57	$	(1.19	)

NOTE 9. DISTRIBUTIONS

The Company intends to continue to operate so as to qualify to be taxed as a RIC under the Code and, as such, the Company would not be subject to federal income tax on the portion of its taxable income and gains distributed to stockholders. To qualify to be taxed as a RIC, the Company is required, among other requirements, to distribute at least 90% of its annual investment company taxable income, as defined by the Code. The amount to be paid out ~~each quarter~~ as a distribution each quarter is determined by the Board ~~of Directors~~ and is based upon the annual taxable income estimated by the management of the Company. Income calculated in accordance with U.S. federal income tax regulations differs substantially from GAAP income. To the extent that the Company’s cumulative undistributed taxable earnings fall below the amount of distributions declared, however, a portion of the total amount of the Company’s distributions for the fiscal year may be deemed a return of capital for tax purposes to the Company’s stockholders.

The Company intends to comply with the applicable provisions of the Code pertaining to RICs to make distributions of taxable income sufficient to relieve it of substantially all federal income taxes. The Company, at its discretion, may carry forward taxable income in excess of calendar year distributions and pay a 4% excise tax on such income. The Company will accrue excise tax on estimated excess taxable income, if any, as required.

4439

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
~~SEPTEMBER~~June 30, ~~2017~~2021
(unaudited)

NOTE 9. DISTRIBUTIONS ~~(continued)~~(cont.)

The Company has adopted an “opt out” distribution reinvestment plan for ~~our~~its common stockholders. As a result, if ~~we make~~the Company makes a cash distribution, then stockholders’ cash distributions will be automatically reinvested in additional shares of ~~our~~the Company’s common stock, unless they specifically “opt out” of the distribution reinvestment plan so as to receive cash distributions. During the three ~~and nine~~ months ended ~~September~~June 30, ~~2017 and 2016,~~2021, the Company issued 26,458 shares of common stock for approximately $124,000 to stockholders in connection with the distribution reinvestment plan. The Company did not issue any shares of common stock during the three months ended June 30, 2020 in connection with the distribution reinvestment plan. During the six months ended June 30, 2021 and 2020, the Company issued 34,815 and 42,343 shares, respectively, of common stock for approximately $161,000 and $161,000, respectively, to stockholders in connection with the distribution reinvestment plan. During the three months ended ~~September~~June 30, ~~2017 and September 30, 2016,~~2021, as part of ~~our~~the Company’s dividend reinvestment plan for ~~our~~its common stockholders, ~~our~~the Company’s dividend reinvestment administrator did not purchase any shares of common stock in the open market to satisfy the reinvestment portion of the Company’s dividends. During the three months ended June 30, 2020, the Company’s dividend reinvestment administrator purchased ~~45,183~~67,726 shares of common stock for approximately $200,000 in the open market to satisfy the reinvestment portion of the Company’s dividends. During the six months ended June 30, 2021 and 2020, the Company’s dividend reinvestment administrator purchased 23,202 shares and ~~73,401~~88,172 shares, respectively, of ~~our~~ common stock for ~~$0.3 million~~approximately $91,000 and ~~$0.4 million,~~$309,000, respectively, in the open market to satisfy the reinvestment portion of ~~our~~the Company’s dividends. On ~~September~~each of January 29, ~~2017,~~February 26, March 31, April 30, May 28, and June 30, 2021, the Company paid ~~a distribution~~monthly distributions of ~~$0.20~~approximately $1.7 million, or $0.035 per share.

~~On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted which changed various technical rules governing the~~For U.S. federal income tax ~~treatment of RICs. The changes are generally effective for taxable years beginning after the date of enactment. Under the Act, the Company will be permitted to carry forward~~purposes, net realized capital losses ~~incurred in taxable years beginning after the date of enactment~~may be carried over to offset future capital gains, if any. These capital losses can be carried forward for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forwardindefinite period and will retain their character as either ~~short-term~~short-term or ~~long-term losses rather~~long-term capital losses. As of December 31, 2020, the Company had a net long-term capital loss carryforward of $90,816,505 available to be carried forward for an indefinite period. The tax character of distributions for the three and six months ended June 30, 2021, represented, on an estimated basis, $0.087 and $0.174 per share, respectively, from ordinary income and $0.018 and $0.036 per share, respectively, as a tax return of capital. For the three and six months ended June 30, 2021, the amounts and sources of distributions reported are only estimates (based on an average of the reported tax character historically) and are not being provided for U.S. tax reporting purposes. Because the Company believes the historical tax characteristics of distributions is the most useful information which is readily available, the Company has used the average of all years from inception of the Company in providing the estimates herein. However, the timing and character of distributions for federal income tax purposes (which are determined in accordance with the U.S. federal tax rules which may differ from GAAP) may be materially different than ~~being considered~~the historical information the Company used in providing the estimates herein. The final determination of the source of all ~~short-term as under previous law.~~distributions in 2021 will be made after year-end and the amounts represented may be materially different from the amounts disclosed in the final Form 1099-DIV notice. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Company’s investment performance and may be subject to change based on tax regulations.

NOTE 10. NET ASSET VALUE PER SHARE

The Company’s net asset value per share ~~at September~~as of June 30, ~~2017 was $7.43,~~2021, and at December 31, ~~2016~~2020, was ~~$7.50.~~$4.91 and $4.55, respectively. In determining the Company’s net asset value per share, the Board ~~of Directors~~ determined in good faith the fair value of the Company’s portfolio investments for which reliable market quotations are not readily available.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 11. SHARE ISSUANCE PROGRAM

On August 1, 2019, the Company entered into an Equity Distribution Agreement with Ladenburg Thalmann & Co. through which the Company may offer for sale, from time to time, up to $150.0 million of the Company’s common stock through an At-the-Market (“ATM”) offering. For the three and six months ended June 30, 2021, the Company did not sell any shares of common stock pursuant to the ATM offering. The Company sold a total of 1,098,277 shares of common stock pursuant to the ATM during the three and six months ended June 30, 2020. The total amount of capital raised net of underwriting fees and offering costs was approximately $5.8 million during the three and six months ended June 30, 2020.

NOTE 12. INVESTMENT INCOME

The following table sets forth the components of investment income for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016,~~2020, respectively:

Three Months Ended September 30, 2017

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016
Interest income

Stated interest income

$
5,091,751

$
8,251,446

$
18,337,423

$
25,231,480
Original issue discount and market discount income

244,751

344,332

827,746

801,621
Payment-in-kind income

59,446

55,898

173,347

163,922
Discount income derived from unscheduled remittances at par

8,460

3,154

37,737

20,574
Total interest income

$
5,404,408

$
8,654,830

$
19,376,253

$
26,217,597
Income from securitization vehicles

$
8,086,059

$
8,635,834

$
26,081,676

$
22,538,250
Commitment, amendment and other fee income

Fee letters

$
314,007

$
339,005

$
1,051,207

$
1,014,785
Loan prepayment and bond call fees

300,000

330,000

570,212

358,381
All other fees

393,223

136,123

895,982

281,788
Total commitment, amendment and other fee income

$
1,007,230

$
805,128

$
2,517,401

$
1,654,954
Total investment income

$
14,497,697

$
18,095,792

$
47,975,330

$
50,410,801

	Three Months Ended June 30, 2021		Three Months Ended June 30, 2020
Interest Income
Stated interest income	$	3,435,957	$	4,389,601
Original issue discount and market discount income		154,721		297,399
Payment-in-kind income		—		61,150
Discount income derived from unscheduled remittances at par		11,711		125,232
Total interest income	$	3,602,389	$	4,873,382
Income from securitization vehicles	$	4,096,145	$	3,217,953
Commitment, amendment and other fee income
Fee letters	$	112,909	$	162,658
Loan prepayment and bond call fees		—		—
All other fees		30,563		628
Total commitment, amendment and other fee income	$	143,472	$	163,286
Total investment income	$	7,842,006	$	8,254,621

	Six Months Ended June 30, 2021		Six Months Ended June 30, 2020
Interest Income
Stated interest income	$	6,972,153	$	9,564,346
Original issue discount and market discount income		365,302		583,106
Payment-in-kind income		—		123,305
Discount income derived from unscheduled remittances at par		486,971		256,880
Total interest income	$	7,824,426	$	10,527,637
Income from securitization vehicles	$	8,777,445	$	7,977,023
Commitment, amendment and other fee income
Fee letters	$	220,870	$	326,509
Loan prepayment and bond call fees		300,000		200,000
All other fees		78,955		48,140
Total commitment, amendment and other fee income	$	599,825	$	574,649
Total investment income	$	17,201,696	$	19,079,309

4541

Table of Contents

~~TICC~~OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
~~SEPTEMBER~~June 30, ~~2017~~2021
(unaudited)

NOTE ~~11.~~12. INVESTMENT INCOME ~~(continued)~~(cont.)

The 1940 Act requires that a BDC offer significant managerial assistance to its portfolio companies. The Company may receive fee income for managerial assistance it renders to portfolio companies in connection with its investments. For the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016,~~2020, respectively, the Company received no fee income for managerial assistance.

~~NOTE 12. SHARE REPURCHASE PROGRAM~~

On November 5, 2015, the Board of Directors authorized a program for the purpose of repurchasing up to $75 million worth of the Company’s common stock. Under that repurchase program, the Company was authorized, but was not obligated, to repurchase outstanding common stock in the open market from time to time through September 30, 2016, provided that repurchases comply with the prohibitions under the Company’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. Further, any repurchases were to be conducted in accordance with the 1940 Act. Additionally, the Company entered into a Rule 10b5-1 trading plan to undertake accretive share repurchasing on a non-discretionary basis of up to $50 million until March 4, 2016. During the year ended December 31, 2016, under that repurchase program, the Company repurchased 4,917,026 shares of outstanding common stock for approximately $25.6 million at the average weighted price of $5.20 per share, inclusive of commission, while complying with the prohibitions under TICC’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, repurchases were conducted in accordance with the 1940 Act. The Company did not repurchase shares of its common stock during the three and nine months ended September 30, 2017, as the program to repurchase up to $75 million worth of the Company’s common stock expired on June 30, 2016. The Company did not repurchase shares of its common stock during the three months ended September 30, 2016.

Period

Total Number of Shares Purchased

Average Price Paid Per Share

Total Number of Shares Purchased as Part of Publicly Announced Program

Maximum Number (or Approximate Dollar Value) of Shares that May Yet Be Purchased Under the Program
January 1, 2016 – January 31, 2016

2,155,303

5.48

2,155,303

39.5 million
February 1, 2016 – February 29, 2016

2,562,494

4.97

2,562,494

26.8 million
March 1, 2016 – March 31, 2016

199,229

5.17

199,229

25.8 million
April 1, 2016 – April 30, 2016

—

—

25.8 million
May 1, 2016 – May 31, 2016

—

—

25.8 million
June 1, 2016 – June 30, 2016

—

—

—
July 1, 2016 – July 30, 2016

—

—

—
August 1, 2016 – August 31, 2016

—

—

—
September 1, 2016 – September 30, 2016

—

—

—
Total – nine months ended September 30, 2016

4,917,026

4,917,026

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

NOTE 13. COMMITMENTS AND CONTINGENCIES

In the normal course of business, the Company enters into a variety of undertakings containing a variety of warranties and indemnifications that may expose the Company 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~~June 30, ~~2017,~~2021, the Company had ~~commitments~~an approximately $5.4 million commitment to purchase ~~additional debt investments totaling approximately $5.0 million.~~a senior secured note investment. Such outstanding commitment is summarized in the following table:

Name of Portfolio Company		Investment Type		Commitment
RSA Security, LLC		Delayed Draw 2nd Lien Term Loan		$	5,371,000

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

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 14. FINANCIAL HIGHLIGHTS

Financial highlights for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016,~~2020, respectively, are as follows:

Per Share Data

Three Months Ended September 30, 2017

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016
Net asset value as of beginning of period

$
7.51

$
6.54

$
7.50

$
6.40

Net investment income(1)

0.13

0.13

0.45

0.33

Net realized and unrealized (losses) gains(2)

(0.01
)

0.70

0.08

1.10

Net change in net asset value from operations(2)

0.12

0.83

0.53

1.43

Distributions per share from net investment income

(0.20
)

(0.29
)

(0.60
)

(0.87
)
Distributions based on weighted average share impact

—

—

—

0.01

Total distributions(3)

(0.20
)

(0.29
)

(0.60
)

(0.86
)
Effect of shares repurchased, gross

—

—

—

0.11

Net asset value at end of period

$
7.43

$
7.08

$
7.43

$
7.08

Per share market value at beginning of period

$
6.34

$
5.27

$
6.61

$
6.08

Per share market value at end of period

$
6.85

$
5.82

$
6.85

$
5.82

Total return(4)

11.20
%

15.94
%

13.00
%

12.43
%
Shares outstanding at end of period

51,479,409

51,479,409

51,479,409

51,479,409

Ratios/Supplemental Data

Net assets at end of period (000’s)

$
382,293

$
364,622

$
382,293

$
364,622

Average net assets (000’s)

384,433

350,631

386,146

332,591

Ratio of operating expenses to average net assets(5)

8.04
%

13.18
%

8.59
%

13.24
%
Ratio of net investment income to average net assets(5)

7.04
%

7.46
%

7.98
%

6.97
%
Portfolio turnover rate(6)

6.52
%

9.42
%

32.3
%

22.92
%

	Three Months Ended June 30, 2021			Three Months Ended June 30, 2020			Six Months Ended June 30, 2021			Six Months Ended June 30, 2020
Per Share Data
Net asset value at beginning of period	$	4.88		$	3.32		$	4.55		$	5.12
Net investment income(1)		0.06			0.09			0.15			0.22
Net realized and unrealized capital gains/(losses)(2)		0.08			0.33			0.42			(1.40	)
Net change in net asset value from operations		0.14			0.42			0.57			(1.18	)
Distributions per share from net investment income		(0.09	)		(0.17	)		(0.17	)		(0.33	)
Tax return of capital distributions(3)		(0.02	)		(0.03	)		(0.04	)		(0.07	)
Total distributions		(0.11	)		(0.20	)		(0.21	)		(0.40	)
Effect of shares issued, net of offering expenses		—			—			—			—
Effect of shares issued/repurchased, gross		—			—			—			—
Net asset value at end of period	$	4.91		$	3.54		$	4.91		$	3.54
Per share market value at beginning of period	$	4.64		$	2.55		$	3.05		$	5.44
Per share market value at end of period	$	4.91		$	2.80		$	4.91		$	2.80
Total return based on Market Value(4)		8.09	%		17.84	%		68.85	%		(41.94	)%
Total return based on Net Asset Value(5)		2.69	%		12.68	%		12.44	%		(23.01	)%
Shares outstanding at end of period		49,624,422			49,589,607			49,624,422			49,589,607

Ratios/Supplemental Data(8)
Net assets at end of period (000’s)		243,463			175,327			243,463			175,327
Average net assets (000’s)		242,754			170,033			238,270			188,562
Ratio of expenses to average net assets(6)		8.33	%		9.23	%		8.06	%		8.88	%
Ratio of net investment income to average net assets(6)		4.59	%		10.19	%		6.38	%		11.35	%
Portfolio turnover rate(7)		1.07	%		4.75	%		7.11	%		6.47	%

____________

(1) Represents per share net investment income for the period, based upon weighted average shares outstanding.

(2) Net realized and unrealized ~~capital gains~~gains/(losses) include rounding adjustments to reconcile change in net asset value per share.

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 14. FINANCIAL HIGHLIGHTS (continued)~~

(3) Management monitors available taxable earnings, including net investment income and realized capital gains, to determine if a tax return of capital may occur for the year. To the extent the Company’s taxable earnings fall below the total amount of the Company’s distributions for that fiscal year, a portion of those distributions may be deemed a tax return of capital to the Company’s stockholders. The ultimate tax character of the Company’s earnings cannot be determined until tax returns are prepared after the end of the fiscal year. The amounts and sources of distributions reported are only estimates (based on an average of the reported tax character historically) and are not being provided for U.S. tax reporting purposes.

(4) Total return based on market value equals the increase or decrease of ending market value over beginning market value, plus distributions, divided by the beginning market value, assuming distribution reinvestment prices obtained under the Company’s distribution reinvestment plan, excluding any discounts. Total return is not annualized.

(5) Total return based on net asset value equals the increase or decrease of ending net asset value over beginning net asset value, plus distributions, divided by the beginning net asset value. Total return is not annualized.

(6) Annualized.

~~(6)~~(7) Portfolio turnover rate is calculated using the lesser of ~~year-to-date~~the year-to-date cash investment sales and debt repayments or ~~year-to-date~~year-to-date cash investment purchases over the average of the total investments at fair value.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2021
(unaudited)

NOTE 14. FINANCIAL HIGHLIGHTS (cont.)

(8) The following table provides supplemental performance ratios (annualized) measured for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~2016:~~2020:

Three Months Ended September 30, 2017

Three Months Ended September 30, 2016

Nine Months Ended September 30, 2017

Nine Months Ended September 30, 2016
Ratio of operating expenses to average net assets:

Operating expenses before incentive fees

7.46
%

12.70
%

7.61
%

12.57
%
Net investment income incentive fees

0.59
%

0.48
%

0.98
%

0.67
%
Ratio of expenses, excluding interest expense

4.19
%

8.16
%

4.74
%

7.95
%

	Three Months Ended June 30, 2021		Three Months Ended June 30, 2020		Six Months Ended June 30, 2021		Six Months Ended June 30, 2020
Ratio of expenses to average net assets:
Expenses before incentive fees	8.33	%	9.23	%	8.06	%	8.88	%
Net investment income incentive fees	—	%	—	%	—	%	—	%
Ratio of expenses, excluding interest expense, to average net assets	4.33	%	4.75	%	4.44	%	4.56	%

NOTE 15. ~~RECENT ACCOUNTING PRONOUNCEMENTS~~RISKS AND UNCERTAINTIES

The interests the Company 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 ~~August 2016,~~addition to the ~~FASB issued ASU 2016-15,Classification of Certain Cash Receipts and Cash Payments (a Consensus~~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 ~~Emerging Issues Task Force)~~ ~~(“ASU 2016-15”), which is intended to reduce diversity~~collateral may decline in ~~practice in how certain transactions are classified in~~value or default; (iii) the ~~statement of cash flows. The Company is currently assessing~~fact that the impact of ASU 2016-15 and does not anticipate a material impact on its consolidated financial statements. ASU 2016-15 is effective for annual reporting periods beginning after December 15, 2017, including interim periods within those fiscal years, with early adoption permitted. The Company is assessing the impact of ASU 2016-15.

In October 2016, the SEC adopted significant reforms under the 1940 Act that impose extensive new disclosure and reporting obligations on most 1940 Act funds (collectively, the “Reporting Rules”). The Reporting Rules expand the volume of information regarding fund portfolio holdings and investment practices that must be disclosed. The adopted amendments to Regulation S-X for 1940 Act funds and BDCs include an update to the disclosures forCompany’s investments in CLO tranches will likely be subordinate to other senior classes of note tranches thereof; and ~~advances to affiliates, and~~(iv) the requirement to include in their financial statements a standardized schedule containing detailed information about derivative investments (among other changes). The amendments to Regulation S-X were effective August 1, 2017. The Company has adopted these amendments as of September 30, 2017 and the adoption has not had a material impact on its consolidated financial statements.

~~In November 2016, the FASB issued ASU 2016-18,Statement of Cash Flows (Topic 230): Restricted Cash (a Consensus~~complex structure of the ~~Emerging Issues Task Force)~~ ~~(“ASU 2016-18”), which requires~~security may not be fully understood at the time of investment and may produce disputes with the CLO vehicle or unexpected investment results. The Company’s net asset value may also decline over time if the Company’s principal recovery with respect to CLO equity investments is less than the price that the statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. ASU 2016-18 is effective for annual reporting periods beginning after December 15, 2017, including interim periods within those fiscal years, with early adoption permitted. The Company ~~is assessing the impact of ASU 2016-18 and~~

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 15. RECENT ACCOUNTING PRONOUNCEMENTS (continued)~~

~~upon adoption of the standard, restricted cash will be included as part of beginning and ending cash and cash equivalents on the consolidated statement of cash flows.~~

In December 2016, the FASB issued ASU 2016-19, Technical Corrections and Improvements. As part of this guidance, ASU 2016-19 amends FASB ASC 820 to clarify the difference between a valuation approach and a valuation technique. The amendment also requires an entity to disclose when there has been a change in either or both a valuation approach and/or a valuation technique. ASU 2016-19 is effective on a prospective basis for financial statements issued for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016 on a prospective basis. The Company has adopted ASU 2016-19 on its consolidated financial statements and disclosures and the adoption of ASU 2016-19 has not had a material impact on its consolidated financial statements.

~~In May 2014, the FASB issued ASU 2014-09,Revenue from Contracts with Customers (Topic 606), which supersedes the revenue recognition requirements inRevenue Recognition (Topic 605)~~. Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchangepaid for those goods or services. In May 2016, ASU 2016-12 amended ASU 2014-09 and deferred the effective period to December 15, 2017. Management has concluded that its revenues associated with financial instruments are scoped out of ASC 606. The adoption of the requirements is not expected to have a significant impact on the consolidated financial statements.

~~NOTE 16. CONCENTRATION OF CREDIT RISK~~investments.

The Company places its cash in an overnight money market account and, at times, cash and cash equivalents may exceed the Federal Deposit Insurance Corporation insured limit. In addition, the Company’s portfolio may be concentrated in a limited number of portfolio companies, ~~or sectors,~~ which will subject the Company to a risk of significant loss if any of these companies defaults on its obligations under any of its debt securities that the Company holds or if those sectors experience a market downturn.

NOTE ~~17. RISKS AND UNCERTAINTIES~~

The United States capital markets have in the past 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 Company believes these conditions may reoccur in the future. A prolonged period of market illiquidity may have an adverse effect on the Company’s business, financial condition and results of operations. Adverse economic conditions could also increase the Company’s funding costs, limit the Company’s access to the capital markets or result in a decision by lenders not to extend credit to the Company. These events could limit the Company’s investment originations, limit the Company’s ability to grow and negatively impact the Company’s operating results.

Many of the companies in which the Company has made or will make investments may be susceptible to adverse economic conditions, which may affect the ability of a company to repay TICC’s loans or engage in a liquidity event such as a sale, recapitalization, or initial public offering. Therefore, the Company’s nonperforming assets may increase, and the value of the Company’s portfolio may decrease during this period.

Adverse economic conditions also may decrease the value of any collateral securing some of the Company’s loans and the value of its equity investments. Adverse economic conditions could lead to financial losses in the Company’s portfolio and a decrease in its revenues, net income, and the value of the Company’s assets.

A portfolio company’s failure to satisfy financial or operating covenants imposed by the Company or other lenders could lead to defaults and, potentially, termination of the portfolio company’s loans and foreclosure on its secured assets, which could trigger cross-defaults under other agreements and jeopardize the portfolio company’s ability to meet its obligations

~~TICC CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~SEPTEMBER 30, 2017~~
~~(unaudited)~~

~~NOTE 17. RISKS AND UNCERTAINTIES (continued)~~

under the debt securities that the Company holds. The Company may incur expenses to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting portfolio company. In addition, if a portfolio company goes bankrupt, even though the Company may have structured its investment as senior debt or secured debt, depending on the facts and circumstances, including the extent to which the Company actually provided significant managerial assistance, if any, to that portfolio company, a bankruptcy court might re-characterize the Company’s debt holding and subordinate all or a portion of the Company’s claim to that of other creditors. These events could harm the Company’s financial condition and operating results.

As a BDC, the Company is required to carry its investments at market value or, if no market value is ascertainable, at fair value as determined in good faith by or under the direction of its Board of Directors. Decreases in the market values or fair values of the Company’s investments are recorded as unrealized depreciation. Depending on market conditions, the Company could incur substantial losses in future periods, which could have a material adverse impact on its business, financial condition and results of operations.

~~NOTE 18.~~16. SUBSEQUENT EVENTS

~~On October 27, 2017,~~The following distributions payable to stockholders are shown below:

Date Declared	Record Date	Payable Date	Per Share Distribution Amount Declared
April 22, 2021	July 16, 2021	July 30, 2021	$0.035
April 22, 2021	August 17, 2021	August 31, 2021	$0.035
April 22, 2021	September 16, 2021	September 30, 2021	$0.035
July 22, 2021	October 15, 2021	October 29, 2021	$0.035
July 22, 2021	November 16, 2021	November 30, 2021	$0.035
July 22, 2021	December 17, 2021	December 31, 2021	$0.035

The Company’s management evaluated subsequent events through the ~~Board~~date of ~~Directors declared a distribution~~issuance of ~~$0.20 per share for~~these consolidated financial statements and noted no other events that necessitate adjustments to or disclosure in the ~~fourth quarter, payable on December 29, 2017 to shareholders~~financial statements.

Table of ~~record as of December 15, 2017.~~Contents

~~On November 1, 2017, the Convertible Notes matured and were repaid in full (approximately $94.5 million) in accordance with their terms.~~

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

This Quarterly Report on Form ~~10-Q~~10-Q contains ~~forward-looking~~forward-looking statements that involve substantial risks and uncertainties. These ~~forward-looking~~forward-looking statements are not historical facts, but rather are based on current expectations, estimates and projections about ~~TICC~~Oxford Square Capital Corp., our current and prospective portfolio investments, our industry, our beliefs, and our assumptions. Words such as “anticipates,” “expects,” “intends,” “plans,” “will,” “may,” “continue,” “believes,” “seeks,” “estimates,” “would,” “could,” “should,” “targets,” “projects,” and variations of these words and similar expressions are intended to identify ~~forward-looking~~forward-looking statements. The ~~forward-looking~~forward-looking statements contained in this Quarterly Report on Form ~~10-Q~~10-Q involve risks and uncertainties, including statements as to:

•our future operating ~~results;~~results, including our ability to achieve objectives as a result of the current COVID-19 pandemic;

•our business prospects and the prospects of our portfolio companies;

•the impact of investments that we expect to make;

•our contractual arrangements and relationships with third parties;

•the dependence of our future success on the general economy and its impact on the industries in which we ~~invest;~~invest and the impact of the COVID-19 pandemic thereon;

•the ability of our portfolio companies and CLO investments to achieve their ~~objectives;~~objectives, including as a result of the COVID-19 pandemic;

•the valuation of our investments in portfolio companies and CLOs, particularly those having no liquid trading market, and the impact of the COVID-19 pandemic thereon;

• market conditions and our ability to access alternative debt markets and additional debt and equity capital, and the impact of the COVID-19 pandemic thereon;

• our expected financings and investments;

•the adequacy of our cash resources and working capital; ~~and~~

•the timing of cash flows, if any, from the operations of our portfolio ~~companies.~~companies and CLO investments and the impact of the COVID-19 pandemic thereon; and

• our regulatory structure and tax treatment, including our ability to operate as a business development company (“BDC”), and to continue to qualify to be taxed as a regulated investment company (“RIC”);

•the ability of our investment adviser to locate suitable investments for us and to monitor and ~~effectively~~ administer our ~~investments.~~investments and the impact of the COVID-19 pandemic thereon.

These statements are not guarantees of future performance and are subject to risks, uncertainties, and other factors, some of which are beyond our control and difficult to predict and could cause actual results to differ materially from those expressed or forecasted in the ~~forward-looking~~forward-looking statements, including without limitation:

•an economic downturn, including as a result of the current COVID-19 pandemic, could impair our portfolio companies’ and CLO investments ability to continue to operate, which could lead to the loss of some or all of our investments in such portfolio ~~companies;~~companies and CLO investments;

•a contraction of available credit and/or an inability to access the equity markets, including as a result of the current COVID-19 pandemic, could impair our lending and investment activities;

•interest rate volatility could adversely affect our results, particularly because we use leverage as part of our investment strategy;

•currency fluctuations could adversely affect the results of our investments in foreign companies, particularly to the extent that we receive payments denominated in foreign currency rather than U.S. dollars; and

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•the risks, uncertainties and other factors we identify inItem 1A. — Risk Factors contained in our Annual Report on Form ~~10-K~~10-K for the year ended December 31, ~~2016,~~2020, elsewhere in this Quarterly Report on Form ~~10-Q~~10-Q and in our other filings with the SEC.

Although we believe that the assumptions on which these ~~forward-looking~~forward-looking statements are based are reasonable, any of those assumptions could prove to be inaccurate, and as a result, the ~~forward-looking~~forward-looking statements based on those assumptions also could be inaccurate. Important assumptions include our ability to originate new loans and investments, certain margins and levels of profitability and the availability of additional capital. In light of these and other uncertainties, the inclusion of a projection or ~~forward-looking~~forward-looking statement in this Quarterly Report on Form ~~10-Q~~10-Q should not be regarded as a representation by us that our plans and objectives will be achieved. ~~These risks and uncertainties include those described or identified inItem 1A. — Risk Factors~~ ~~contained in our Annual Report on Form 10-K for the year ended December 31, 2016, and elsewhere in this Quarterly Report on Form 10-Q.~~ You should not place undue reliance on these ~~forward-looking~~forward-looking statements, which apply only as of the date of this Quarterly Report on Form ~~10-Q.~~10-Q.

Except where the context requires otherwise, the terms ~~“TICC,~~“OXSQ,” “Company,” “we,” “us” and “our” refer to ~~TICC~~Oxford Square Capital Corp. together with its subsidiary ~~TICC CLO 2012-1~~Oxford Square Funding 2018, LLC (“~~2012 Securitization Issuer” or “TICC CLO 2012-1”~~OXSQ Funding”)~~; “TICC~~, for the periods during which it was held; “Oxford Square Management” refers to ~~TICC~~Oxford Square Management, LLC; and ~~“BDC Partners”~~“Oxford Funds” refers to ~~BDC Partners,~~Oxford Funds, LLC.

The following analysis of our financial condition and results of operations should be read in conjunction with our consolidated financial statements and the related notes thereto contained elsewhere in this Quarterly Report on Form ~~10-Q.~~

5210-Q.

OVERVIEW

Our investment objective is to maximize our portfolio’s total return. Our primary ~~current~~ focus is to seek an attractive ~~risk-adjusted~~risk-adjusted total return by investing primarily in corporate debt securities and in collateralized loan obligation (“CLO”), which are structured finance investments that own corporate debt securities. CLO investments may also include warehouse facilities, which are ~~financing structures~~early-stage CLO vehicles intended to aggregate loans that may be used to form the basis of a traditional CLO vehicle. We operate as a ~~closed-end, non-diversified~~closed-end, non-diversified management investment company and have elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). We have elected to be treated for tax purposes as a regulated investment company (“RIC”), under the Internal Revenue Code of 1986, as amended (the “Code”), beginning with our 2003 taxable year.

Our investment activities are managed by ~~TICC~~Oxford Square Management, LLC (“~~TICC~~Oxford Square Management”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. ~~TICC~~Oxford Square Management is owned by ~~BDC Partners,~~Oxford Funds, LLC (“~~BDC Partners”~~Oxford Funds”), its managing member and a related party, ~~and~~ Charles M. Royce, a member of ~~our~~Oxford Square Capital Corp.’s Board of Directors (the “Board”) who holds a minority, ~~non-controlling~~non-controlling interest in ~~TICC~~Oxford Square Management. Jonathan H. Cohen, our Chief Executive Officer, and Saul B. Rosenthal, our President, ~~and Chief Operating Officer,~~ are the controlling members of ~~BDC Partners.~~Oxford Funds. Under an investment advisory agreement (the “Investment Advisory Agreement”), we have agreed to pay ~~TICC~~Oxford Square Management an annual base investment advisory fee (the “Base Fee”) calculated on gross assets, and an incentive fee based upon our performance. Under an amended and restated administration agreement (the “Administration Agreement”), we have agreed to pay or reimburse ~~BDC Partners,~~Oxford Funds, as administrator, for certain expenses incurred in operating ~~TICC.~~the Company. Our executive officers and directors, and the executive officers of ~~TICC~~Oxford Square Management and ~~BDC Partners,~~Oxford Funds, serve or may serve as officers and directors of entities that operate in a line of business similar to our own. Accordingly, they may have obligations to investors in those entities, the fulfillment of which might not be in the best interests of us or our stockholders.

We generally expect to invest between $5 million and $50 million in each of our portfolio companies, although this investment size may vary proportionately as the size of our capital base changes and market conditions ~~warrant, and accrue interest at fixed or variable rates.~~warrant. We expect that our investment portfolio will be diversified among a large number of investments with few investments, if any, exceeding 5.0% of the total portfolio. As of ~~September~~June 30, ~~2017,~~2021, our debt investments had stated interest rates of between ~~4.75%~~3.85% and ~~15.00%~~10.25% and maturity dates of between 1516 and ~~112~~94 months. In addition, our ~~total~~ portfolio had a weighted average annualized yield on debt investments of approximately ~~9.5%.~~7.6% as of June 30, 2021.

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The ~~weighted average yield and the~~ weighted average annualized yield of our debt investments is not the same as a return on investment for our stockholders but, rather, relates to a portion of our investment portfolio and is calculated before the payment of all of our fees and expenses. The weighted average annualized yield was computed using the effective interest rates as of ~~September~~June 30, ~~2017,~~2021, including accretion of original issue discount (“OID”). There can be no assurance that the weighted average annualized yield will remain at its current level.

We have historically borrowed funds to make investments and may continue to borrow funds to make investments. As a result, we are exposed to the risks of leverage, which may be considered a speculative investment technique. Borrowings, also known as leverage, magnify the potential for gain and loss on amounts invested and therefore increase the risks associated with investing in our securities. In addition, the costs associated with our borrowings, including any increase in the management fee payable to ~~TICC~~Oxford Square Management, will be borne by our common stockholders.

In addition, as a BDC under the 1940 Act, we are required to make available significant managerial assistance, for which we may receive fees, to our portfolio companies. This assistance could involve, among other things, monitoring the operations of our portfolio companies, participating in board and management meetings, consulting with and advising officers of portfolio companies and providing other organizational and financial guidance. These fees would be generally ~~non-recurring,~~non-recurring, however in some instances they may have a recurring component. We have received no fee income for managerial assistance to date.

Prior to making an investment, we may enter into a non-binding term sheet with the potential portfolio company. These term sheets are generally subject to a number of conditions, including but not limited to the satisfactory completion of our due diligence investigations of the company’s business and legal documentation for the loan.

To the extent possible, we will generally seek to invest in loans that are collateralized by a security interest in the borrower’s assets or guaranteed by a principal to the transaction. Interest payments, if not deferred, are normally payable quarterly with most debt investments having scheduled principal payments on a monthly or quarterly basis. When we receive a warrant to purchase stock in a portfolio company, the warrant will typically have a nominal strike price, and will entitle us to purchase a modest percentage of the borrower’s stock.

53During the quarter ended June 30, 2021, the U.S. loan market strengthened versus the quarter ended March 31, 2021. U.S. loan prices, as defined by the S&P/LSTA Leveraged Loan Index, increased from 97.55% of par as of March 31, 2021 to 98.37% of par on June 30, 2021. As of June 30, 2021, the Company’s Board of Directors approved the fair value of the Company’s investment portfolio of approximately $404.8 million in good faith in accordance with the Company’s valuation procedures.

CRITICAL ACCOUNTING POLICIES

The preparation of consolidated financial statements and related disclosures in conformity with generally accepted accounting principles in the United States (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the consolidated financial statements, and revenues and expenses during the periods reported. Actual results could materially differ from those estimates. We have identified investment valuation and investment income as critical accounting policies.

Investment Valuation

We fair value our investment portfolio in accordance with the provisions of ASC 820,Fair Value Measurement and Disclosure(“ASC 820”). Estimates made in the preparation of our consolidated financial statements include the valuation of investments and the related amounts of unrealized appreciation and depreciation of investments recorded. We believe 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 we make.

ASC ~~820-10~~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~~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~~820-10 also establishes a ~~three-tier~~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

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develop its own assumptions. We consider the attributes of current market conditions on an ~~ongoing~~on-going basis and have determined that due to the general illiquidity of the market for ~~our~~its investment portfolio, whereby little or no market data exists, almost all of our investments are based upon “Level 3” inputs as of ~~September~~June 30, ~~2017~~.2021.

Our Board ~~of Directors~~ determines the value of our investment portfolio each quarter. In connection with that determination, members of ~~TICC~~Oxford Square Management’s portfolio management team prepare a quarterly analysis of each portfolio investment using the most recent portfolio company financial statements, forecasts and other relevant financial and operational information. ~~Since March 2004, we have engaged third-party~~We also engage third-party valuation firms to provide assistance in valuing certain of its syndicated loans and bilateral investments, including related equity investments, although our Board ~~of Directors~~ ultimately determines the appropriate valuation of each such investment. Changes in fair value, as described above, are recorded in the consolidated statement of operations as net change in unrealized appreciation/~~(depreciation).~~depreciation.

Syndicated Loans (Including Senior Secured Notes)

In accordance with ASC ~~820-10,~~820-10, our valuation procedures specifically provide for the review of indicative quotes supplied by the large agent banks that make a market for each security. However, the marketplace from which we obtain indicative bid quotes for purposes of determining the fair value of ~~its~~our syndicated loan investments has shown attributes of illiquidity as described by ~~ASC-820-10.~~ASC-820-10. During such periods of illiquidity, when we believe that the ~~non-binding~~non-binding indicative bids received from agent banks for certain syndicated investments that ~~it owns~~we own may not be determinative of their fair value or when no market indicative quote is available, we may engage ~~third-party~~third-party valuation firms to provide assistance in valuing certain syndicated investments that we own. The third-party valuation firms may use the income or market approach in arriving at a valuation. Unobservable inputs utilized could include discount rates derived from estimated credit spreads and earnings before interest, taxes, depreciation, and amortization multiples. In addition, ~~TICC~~Oxford Square Management ~~prepares an analysis of~~analyzes each syndicated loan by reviewing the company’s financial ~~summary,~~statements, covenant compliance ~~review,~~and recent trading activity in the security ~~if known,~~(if known), and other business developments related to the portfolio company. All available information, including ~~non-binding~~non-binding indicative bids which may not be determinative of fair value, is presented to the Valuation Committee 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 Valuation Committee 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. The Valuation Committee will evaluate the impact of such additional information, and factor it into its consideration of the fair value that is indicated by the analysis provided by ~~third-party~~third-party valuation firms, if any.

Collateralized Loan Obligations — Debt and Equity

We have acquired a number of debt and equity positions in CLO investment vehicles and CLO warehouse investments. These investments are special purpose financing vehicles. In valuing such investments, we consider 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,~~period-end, as well as the indicative prices provided by the broker who arranges transactions in such investment vehicles. We also consider 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.~~bids-wanted-in-competition. In addition, we consider the operating metrics of the specific investment vehicle, including compliance with collateralization tests, defaulted and restructured securities, and payment defaults, if any. ~~TICC~~Oxford Square Management or the Valuation Committee may request an additional analysis by a ~~third-party~~third-party firm to assist in the valuation process of CLO investment vehicles. All information is presented to our Board ~~of Directors~~ for its determination of fair value of these investments.

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Bilateral Investments (Including Equity)

Bilateral investments for which market quotations are readily available are valued by an independent pricing agent or market maker. If such market quotations are not readily available, under the valuation procedures approved by our Board ~~of Directors,~~ upon the recommendation of the Valuation Committee, a ~~third-party~~third-party valuation firm will prepare valuations for each of our bilateral investments that, when combined with all other investments in the same portfolio company, (i) have a value as of the previous quarter of greater than or equal to 2.5% of its total assets as of the previous quarter, and (ii) have a value as of the current quarter of greater than or equal to 2.5% of its total assets as of the previous quarter, after taking into account any repayment of principal during the current quarter. In addition, in those instances where a ~~third-party~~third-party valuation is prepared for a portfolio investment which meets the parameters noted in (i) and (ii) above, the frequency of those ~~third-party~~third-party valuations is based upon the grade assigned to each such security under its credit grading system as follows: Grade 1, at least annually; Grade 2, at least ~~semi-annually;~~semi-annually; Grades 3, 4, and 5, at least quarterly. Bilateral investments which do not meet the parameters in (i) and (ii) above are not required to have a ~~third-party~~third-party valuation and, in those instances, a valuation analysis will be prepared by ~~TICC~~Oxford Square Management. ~~TICC~~Oxford Square Management also retains the authority to seek, on our behalf, additional third party valuations with respect to both our bilateral portfolio securities and our syndicated loan ~~investments, and CLO investment vehicles.~~investments. Our Board ~~of Directors retain~~retains ultimate authority as to the ~~third-party~~third-party review cycle as well as the appropriate valuation of each investment.

Refer to “Note 4. Fair Value” in the notes to our consolidated financial statements for more information on investment valuation and our portfolio of investments.

Investment Income

Interest Income

Interest income is recorded on an accrual basis using the contractual rate applicable to each debt investment and includes the accretion of market discounts and/or ~~OID~~original issue discount (“OID”) and amortization of market 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 we otherwise do not expect the borrower to be able to service its debt and other obligations, we will place the loan on ~~non-accrual~~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. We generally restore ~~non-accrual~~non-accrual loans to accrual status when past due principal and interest is paid and, in our judgment, is likely to remain current. As of ~~September~~June 30, ~~2017 and December 31, 2016,~~2021, we had notwo debt investments that were on ~~non-accrual~~non-accrual status.

Interest income also includes a ~~payment-in-kind~~payment-in-kind (“PIK”) ~~provision~~component on certain investments in our portfolio. ~~See~~Refer to the section below, ~~“Payment-In-Kind,~~“Payment-In-Kind,” for a description of ~~the~~ PIK ~~provision~~income and its impact on interest income.

Payment-In-Kind

We have debt and preferred stock investments in our portfolio ~~which~~that contain a contractual PIK ~~provision. Certain PIK investments offer issuers the option at each payment date of making payments in cash or additional securities.~~provisions. PIK interest and preferred stock dividends are computed at ~~the~~their contractual ~~rate is~~rates and are accrued into income and added to the principal ~~balance~~balances on the capitalization ~~date.~~dates. Upon capitalization, the PIK portions of the investments are valued at their respective fair values. If we believe that a PIK is not fully expected to be realized, the PIK investment would be placed on non-accrual status. When a PIK investment is placed on non-accrual status, the accrued, uncapitalized interest or dividends would be reversed from the related receivable through interest or dividend income, respectively. PIK investments ~~are subject to the fair value estimates associated with their respective related investments. A PIK investment~~ on ~~non-accrual~~non-accrual status isare restored to accrual status once it becomes probable that such PIK will be ~~realized. To qualify for tax treatment~~ultimately collectible in cash. For the three and six months ended June 30, 2021, no PIK preferred stock dividends were recognized as ~~a RIC, this income must be paid out to stockholders in the form~~dividend income.

Table of ~~distributions, even though we have not collected any cash. Amounts necessary to pay these distributions may come from available cash or the liquidation of certain investments.~~Contents

Income from Securitization Vehicles and Equity Investments

Income from investments in the equity class securities of CLO vehicles (typically income notes or subordinated notes) is recorded using the effective ~~interest~~yield method in accordance with the provisions of ASC ~~325-40,~~325-40, based upon ~~an effective yield to the expected redemption utilizing~~ estimated cash flows, amounts and timing including those CLO equity investments that have not made their inaugural distribution for the relevant period end. We monitor the expected residual payments, and effective yield is determined and updated periodically, as needed. Accordingly, investment income recognized on CLO equity securities in the GAAP statement of operations differs from both the ~~tax-basis~~tax-basis investment income and from the cash distributions actually received by us during the period.

~~Commitment, Amendment Fee Income and~~ Other Income

~~Commitment, amendment fee income and other~~Other income includes prepayment, amendment, and other fees earned by our loan investments, distributions from fee letters and success fees associated with portfolio investments. Distributions from fee letters are an enhancement to the return on a CLO equity investment and are based upon a percentage of the collateral manager’s fees above the amortized cost, and are recorded as other income when earned. We may also earn success fees associated with our investments in certain securitization vehicles or ~~“CLO~~CLO warehouse facilities,” which are contingent upon a repayment of the warehouse by a permanent CLO ~~securitization~~ structure; such fees are earned and recognized when the repayment is completed.

Recently Issued Accounting Standards

Refer to “Note ~~15. Recent Accounting Pronouncements” in~~3. Summary of Significant Account Policies” to our consolidated financial statements for a description of recent accounting pronouncements, including the impact on our consolidated financial statements.

PORTFOLIO COMPOSITION AND INVESTMENT ACTIVITY

The total fair value of our investment portfolio was approximately ~~$421.7~~$404.8 million and ~~$589.9~~$294.7 million as of ~~September~~June 30, ~~2017~~2021, and December 31, ~~2016,~~2020, respectively. The ~~decrease~~increase in the value of investments during the ~~nine~~six month period ended ~~September~~June 30, ~~2017~~2021, was due primarily to debt repayments and sales of securities totaling approximately $313.1 million and realized losses of approximately $6.0 million, partially offset by purchases of investments of approximately $168.1 million and net unrealized appreciation on our investment portfolio of approximately ~~$13.2~~$33.6 million (which incorporates reductions to CLO equity cost value of ~~$31.3~~$21.4 million)~~. Refer to the table below,~~ and $132.4 million of investments acquired, which ~~reconciles~~was partially offset by $17.0 million of debt repayments, $4.9 million of sales of investments and realized losses of $12.9 million.

A reconciliation of the investment portfolio for the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and the year ended December 31, ~~2016.~~2020 follows:

($ in millions)	June 30, 2021			December 31, 2020
Beginning investment portfolio	$	294.7		$	364.8
Portfolio investments acquired		132.4			93.8
Debt repayments		(17.0	)		(80.4	)
Sales of securities		(4.9	)		(54.2	)
Reductions to CLO equity cost value(1)		(21.4	)		(13.0	)
Non-cash interest income due to PIK		—			0.3
Accretion of discounts on investments		0.4			1.4
Net change in unrealized appreciation/depreciation on investments		33.6			(9.8	)
Net realized losses on investments		(12.9	)		(8.2	)
Ending investment portfolio(2)	$	404.8		$	294.7

____________

(1) For the six months ended June 30, 2021, the reduction to cost value on our CLO equity investments of approximately $21.4 million represented the difference between distributions received, or entitled to be received, on our investments held in CLO equity subordinated notes and fee notes, for the six months ended June 30, 2021, of approximately $30.0 million and the effective yield interest income recognized on our CLO equity subordinated notes and the amortized cost adjusted income on our CLO equity fee notes of approximately $8.6 million. For the year ended December 31, 2020,

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the reduction to cost value on our CLO equity investments of approximately $13.0 million represented the difference between distributions received, or entitled to be received, on our investments held in CLO equity subordinated notes and fee notes, for the year ended December 31, 2020, of approximately $28.4 million and the effective yield interest income recognized on our CLO equity subordinated notes and the amortized cost adjusted income on our CLO equity fee notes of approximately $15.4 million.

(2) Totals may not sum due to rounding.

During the ~~quarter~~six months ended ~~September~~June 30, ~~2017,~~2021 we ~~closed~~purchased approximately ~~$31.2~~$132.4 million in portfolio investments, which includes additional investments of approximately $30.3 million in existing portfolio companies and approximately $102.1 million in new portfolio companies. During the year ended December 31, 2020, we purchased approximately $93.8 million in portfolio investments, including additional investments of approximately ~~$12.1~~$22.1 million in existing portfolio companies and approximately $19.1 million in new portfolio companies. For the year ended December 31, 2016, we closed approximately $171.6 million in portfolio investments, including additional investments of approximately $71.3 million in existing portfolio companies and approximately $100.3$71.8 million in new portfolio companies.

In certain instances, we receive ~~payments~~investment proceeds based on the scheduled amortization of the outstanding loan balances and from the sales of portfolio investments. In addition, we receive repayments of some of our debt investments prior to their scheduled maturity date. The frequency or volume of these repayments may fluctuate significantly from period to period.

For the ~~quarter~~six months ended ~~September~~June 30, ~~2017,~~2021 and the year ended December 31, 2020, we ~~recorded~~recognized proceeds from the sales of securities of approximately ~~$12.5~~$4.9 million and ~~for~~$54.2 million, respectively. Also, during the six months ended June 30, 2021 and the year ended December 31, ~~2016,~~2020, we ~~recorded sales of securities~~had debt repayments of approximately ~~$176.8 million. Also, during the quarter ended September 30, 2017, we had repayments and amortization of principal payments of approximately $50.3~~$17.0 million and ~~for the year ended December 31, 2016, we had repayments and amortization of principal payments of approximately $115.1 million.~~$80.4 million, respectively.

As of ~~September~~June 30, ~~2017,~~2021, we had investments in debt securities of, or loans to, 2119 portfolio companies, with a fair value of approximately ~~$236.4~~$242.0 million, and CLO equity investments of approximately ~~$185.3~~$162.8 million. ~~These~~

As of December 31, 2020, we had investments in debt securities of, or loans to, 16 portfolio companies, with a fair value of approximately $172.2 million, and CLO equity investments of approximately $122.5 million. Interest income on our debt investments included approximately ~~$0.2~~$0.3 million in ~~capitalized~~ PIK interest, which, as described in “— Overview” above, is added to the carrying value of our investments, reduced by repayments of principal.

As of December 31, 2016, we had investments in debt securities of, or loans to, 30 portfolio companies, with a fair value of approximately $376.4 million, and equity investments of approximately $213.5 million. These debt investments included approximately $0.3 million in capitalized PIK interest.

~~A reconciliation of the investment portfolio for the nine months ended September 30, 2017 and the year ended December 31, 2016 follows:~~

($ in millions)

September 30, 2017

December 31, 2016
Beginning investment portfolio

$
589.9

$
656.7

Portfolio investments acquired

168.1

171.6

Debt repayments

(159.0
)

(115.1
)
Sales of securities

(154.1
)

(176.8
)
Reductions to CLO equity cost value(1)

(31.3
)

(34.2
)
Payment in kind(2)

0.1

0.3

Accretion of discounts on investments

0.8

1.1

Net unrealized appreciation

13.2

100.6

Net realized losses

(6.0
)

(14.3
)
Ending investment portfolio

$
421.7

$
589.9

~~____________~~

(1) For the nine months ended September 30, 2017, reduction to cost value on our CLO equity investments represents the difference between distributions received, or entitled to be received for the nine months ended September 30, 2017, of approximately $57.4 million and the effective yield interest income of approximately $26.1 million. For the year ended December 31, 2016, reduction to cost value on our CLO equity investments represents the difference between distributions received, or entitled to be received for the year ended December 31, 2016, of approximately $66.7 million and the effective yield interest income of approximately $32.5 million.

~~(2) Includes rounding adjustment to reconcile ending investment portfolio at September 30, 2017 and December 31, 2016.~~

The following table indicates the quarterly portfolio investment activity for the past ~~seven~~six quarters:

($ in millions)

New
Investments

Debt
Repayments

Reductions to
CLO Equity
Cost(1)

Sales of
Securities
Quarter ended

September 30, 2017

$
31.2

$
50.3

$
3.2

$
12.5
June 30, 2017

89.3

57.1

16.1

60.4
March 31, 2017

47.6

51.6

12.1

81.2
Total⁽²⁾

$
168.1

$
159.0

$
31.3

$
154.1
December 31, 2016

$
27.0

$
1.9

$
3.9

$
51.6
September 31, 2016

58.4

50.5

9.4

74.7
June 30, 2016

73.4

60.0

9.5

36.0
March 31, 2016

12.8

2.7

11.4

14.5
Total⁽²⁾

$
171.6

$
115.1

$
34.2

$
176.8

Three Months Ended ($ in millions)	Purchases of Investments		Debt Repayments		Reductions to CLO Equity Cost(1)		Sales of Investments
June 30, 2021	$	99.5		0.6		15.5		3.0
March 31, 2021		32.9		16.4		6.0		1.8
Total 2021 to date(2)	$	132.4	$	17.0	$	21.4	$	4.9
December 31, 2020	$	46.9	$	51.1	$	6.4	$	25.4
September 30, 2020		18.3		0.6		2.0		8.3
June 30, 2020		21.3		16.7		2.6		9.5
March 31, 2020		7.4		12.0		2.0		11.1
Total 2020(2)	$	93.8	$	80.4	$	13.0	$	54.2

____________

(1) Represents reductions to CLO equity cost value (representing distributions received, or entitled to be received, in excess of effective yield interest income and amortized cost adjusted CLO fee note income).

(2) Totals may not sum due to ~~rounding~~rounding.

Table of Contents

The following table shows the fair value of our portfolio of investments by asset class as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016:~~2020:

($ in millions)

September 30, 2017

December 31, 2016

Investments at
Fair Value(1)

Percentage of
Total Portfolio(1)

Investments at
Fair Value

Percentage of
Total Portfolio
Senior Secured Notes

$
231.1

54.7
%

$
373.0

63.2
%
Subordinated Debt

0.8

0.2
%

0.7

0.1
%
CLO Debt

4.5

1.1
%

2.7

0.5
%
CLO Equity

173.6

41.2
%

200.8

34.0
%
Equity and Other Investments

11.8

2.8
%

12.7

2.2
%
Total(1)

$
421.7

100.0
%

$
589.9

100.0
%

~~____________~~

~~(1) Total may not sum due to rounding.~~

	June 30, 2021				December 31, 2020
($ in millions)	Investments at Fair Value		Percentage of Total Portfolio		Investments at Fair Value		Percentage of Total Portfolio
Senior Secured Notes	$	242.0	59.8	%	$	172.2	58.4	%
CLO Equity		162.8	40.2	%		122.5	41.6	%
Equity and Other Investments		—	0.0	%		—	0.0	%
Total	$	404.8	100.0	%	$	294.7	100.0	%

Qualifying assets must represent at least ~~70%~~70.0% of the Company’s total assets at the time of acquisition of any additional ~~non-qualifying~~non-qualifying assets. As of ~~September~~June 30, ~~2017,~~2021, we held qualifying assets that represented ~~67.3%~~62.2% of our total assets.

58 No additional non-qualifying assets were acquired during the periods when qualifying assets were less than 70.0% of the total assets.

The following table shows our portfolio of investments by industry at fair value, as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016:~~2020:

	September 30, 2017				December 31, 2016			June 30, 2021				December 31, 2020
	Investments at Fair Value		Percentage of Fair Value		Investments at Fair Value		Percentage of Fair Value	Investments at Fair Value		Percentage of Fair Value		Investments at Fair Value		Percentage of Fair Value
		($ in millions)				($ in millions)		($ in millions)				($ in millions)
Structured finance(1)	$	178.0	42.1	%	$	203.5	34.5%	$	162.8	40.2	%	$	122.5	41.6	%
Business services									91.5	22.6	%		60.4	20.5	%
Healthcare									53.7	13.3	%		41.7	14.1	%
Software									28.1	6.9	%		13.3	4.5	%
Diversified insurance									27.1	6.7	%		10.8	3.7	%
Plastics Manufacturing									14.4	3.6	%		7.0	2.4	%
Telecommunication services		57.3	13.6	%		96.7	16.4%		14.4	3.5	%		11.8	4.0	%
Business services		52.9	12.5	%		80.3	13.6%
Software		24.7	5.9	%		18.7	3.2%
Consumer services		18.8	4.5	%		16.9	2.9%
IT consulting		15.2	3.6	%		11.6	2.0%
Diversified insurance		15.2	3.6	%		15.1	2.5%
Financial intermediaries		13.5	3.2	%		47.0	8.0%
Healthcare		12.9	3.1	%		—	0.0%
Printing and publishing		12.8	3.0	%		62.9	10.7%
Logistics		10.5	2.5	%		10.6	1.8%
Utilities									7.5	1.8	%		7.2	2.4	%
Aerospace and defense		5.4	1.3	%		5.5	0.9%		5.4	1.3	%		5.4	1.8	%
Education		4.5	1.1	%		4.3	0.7%		—	0.0	%		14.6	5.0	%
Travel		—	—			8.9	1.5%
Computer hardware		—	—			7.9	1.3%
Total	$	421.7	100.0	%	$	589.9	100.0%
Total(2)								$	404.8	100.0	%	$	294.7	100.0	%

____________

(1) Reflects our ~~debt and~~ equity investments in CLOs as of ~~September~~June 30, ~~2017~~2021, and December 31, ~~2016,~~2020, respectively.

(2) Totals may not sum due to rounding.

Table of Contents

PORTFOLIO GRADING

We have adopted a credit grading system to monitor the quality of our debt investment portfolio. As of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016,~~2020, our portfolio had a weighted average grade of ~~2.2~~2.1 and ~~2.2,~~2.1, respectively, based upon the fair value of the debt investments in the portfolio. Equity securities and investments in CLOs are not graded.

As of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016,~~2020, our debt investment portfolio was graded as follows:

($ in millions)										($ in millions)		June 30, 2021
Grade	Summary Description	September 30, 2017									Summary Description	Principal Value		Percentage of Debt Portfolio		Portfolio at Fair Value		Percentage of Debt Portfolio
Grade	Summary Description	Principal Value		Percentage of Total Portfolio		Portfolio at Fair Value⁽¹⁾		Percentage of Total Portfolio
			($ in millions)				($ in millions)
1	Company is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and such trend is expected to continue.	$	—	—		$	—	—			Company is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and such trend is expected to continue.	$	—	0.0	%	$	—	0.0	%
2	Full repayment of the outstanding amount of TICC’s cost basis and interest is expected for the specific tranche.		193.9	79.3	%		190.7	80.7	%		Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		241.8	90.2	%		234.3	96.8	%
3	Closer monitoring is required. Full repayment of the outstanding amount of TICC’s cost basis and interest is expected for the specific tranche		50.5	20.7	%		45.6	19.3	%		Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		—	0.0	%		—	0.0	%
4	A loss of interest income has occurred or is expected to occur and in most cases, the investment is placed on non-accrual status. Full repayment of the outstanding amount of TICC’s cost basis is expected for the specific tranche.		—	—			—	—			A loss of interest income has occurred or is expected to occur and, in most cases, the investment is placed on non-accrual status. Full repayment of the outstanding amount of OXSQ’s cost basis is expected for the specific tranche.		—	0.0	%		—	0.0	%
5	Full repayment of the outstanding amount of TICC’s cost basis is not expected for the specific tranche and the investment is placed on non-accrual status.		—	—			—	—			Full repayment of the outstanding amount of OXSQ’s cost basis is not expected for the specific tranche and the investment is placed on non-accrual status.		26.2	9.8	%		7.8	3.2	%
		$	244.4	100.0	%	$	236.4	100.0	%		Total(1)	$	268.0	100	%	$	242.0	100	%

____________

(1) Totals may not sum due to rounding

($ in millions)		December 31, 2020
Grade	Summary Description	Principal Amount		Percentage of Debt Portfolio		Portfolio at Fair Value		Percentage of Debt Portfolio
1	Company is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and such trend is expected to continue.	$	—	0.0	%	$	—	0.0	%
2	Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		167.9	80.5	%		156.1	90.7	%
3	Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		14.3	6.8	%		11.8	6.9	%
4	A loss of interest income has occurred or is expected to occur and, in most cases, the investment is placed on non-accrual status. Full repayment of the outstanding amount of OXSQ’s cost basis is expected for the specific tranche.		—	0.0	%		—	0.0	%
5	Full repayment of the outstanding amount of OXSQ’s cost basis is not expected for the specific tranche and the investment is placed on non-accrual status.		26.4	12.7	%		4.2	2.5	%
	Total(1)	$	208.5	100.0	%	$	172.2	100.0	%

____________

(1) Totals may not sum due to rounding.

5953

Grade

Summary Description

December 31, 2016

Principal
Value

Percentage of
Total Portfolio

Portfolio at
Fair Value

Percentage of
Total Portfolio

($ in millions)

($ in millions)

1

Company is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and such trend is expected to continue.

$
—

—

$
—

—

2

Full repayment of the outstanding amount of TICC’s cost basis and interest is expected, for the specific tranche.

309.7

78.3
%

301.9

80.2
%
3

Closer monitoring is required. Full repayment of the outstanding amount of TICC’s cost basis and interest is expected for the specific tranche.

85.8

21.7
%

74.5

19.8
%
4

A loss of interest income has occurred or is expected to occur and, in most cases, the investment is placed on non-accrual status. Full repayment of the outstanding amount of TICC’s cost basis is expected for the specific tranche.

—

—

—

—

5

Full repayment of the outstanding amount of TICC’s cost basis is not expected for the specific tranche and the investment is placed on non-accrual status.

—

—

—

—

$
395.5

100.0
%

$
376.4

100.0
%

Table of Contents

We expect that a portion of our investments will be in the grades 3, 4 or 5 categories from time to time, and, as such, we will be required to work with troubled portfolio companies to improve their business and protect our investment. The number and amount of investments included in grades 3, 4 or 5 may fluctuate from period to period. ~~Refer to our consolidated financial statements for more information on our investment portfolio.~~

RESULTS OF OPERATIONS

Set forth below is a comparison of our results of operations for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 to the three and ~~nine~~six months ended ~~September~~June 30, ~~2016.~~2020.

Investment Income

Investment income for the three months ended ~~September~~June 30, ~~2017~~2021 and ~~September~~June 30, ~~2016~~2020 was approximately ~~$14.5~~$7.8 million and ~~$18.1~~$8.3 million, respectively. Investment income for the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~September~~June 30, ~~2016,~~2020 was approximately ~~$48.0~~$17.2 million and ~~$50.4~~$19.1 million, respectively. The following tables set forth the components of investment income for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~September~~June 30, ~~2016:~~2020:

Three Months
Ended
September 30,
2017

Three Months
Ended
September 30,
2016

Nine Months
Ended
September 30,
2017

Nine Months
Ended
September 30,
2016
Interest income

Stated interest income

$
5,091,751

$
8,251,446

$
18,337,423

$
25,231,480
Original issue discount and market discount income

244,751

344,332

827,746

801,621
Payment-in-kind income

59,446

55,898

173,347

163,922
Discount income derived from unscheduled remittances at par

8,460

3,154

37,737

20,574
Total interest income

$
5,404,408

$
8,654,830

$
19,376,253

$
26,217,597
Income from securitization vehicles

$
8,086,059

$
8,635,834

$
26,081,676

$
22,538,250

Commitment, amendment and other fee income

Fee letters

$
314,007

$
339,005

$
1,051,207

$
1,014,785
Loan prepayment and bond call fees

300,000

330,000

570,212

358,381
All other fees

393,223

136,123

895,982

281,788
Total commitment, amendment and other fee income

$
1,007,230

$
805,128

$
2,517,401

$
1,654,954
Total investment income

$
14,497,697

$
18,095,792

$
47,975,330

$
50,410,801

	Three Months Ended June 30, 2021		Three Months Ended June 30, 2020
Interest Income
Stated interest income	$	3,435,957	$	4,389,601
Original issue discount and market discount income		154,721		297,399
Payment-in-kind income		—		61,150
Discount income derived from unscheduled remittances at par		11,711		125,232
Total interest income	$	3,602,389	$	4,873,382
Income from securitization vehicles	$	4,096,145	$	3,217,953
Commitment, amendment and other fee income
Fee letters	$	112,909	$	162,658
Loan prepayment and bond call fees		—		—
All other fees		30,563		628
Total commitment, amendment and other fee income	$	143,472	$	163,286
Total investment income	$	7,842,006	$	8,254,621

	Six Months Ended June 30, 2021		Six Months Ended June 30, 2020
Interest Income
Stated interest income	$	6,972,153	$	9,564,346
Original issue discount and market discount income		365,302		583,106
Payment-in-kind income		—		123,305
Discount income derived from unscheduled remittances at par		486,971		256,880
Total interest income	$	7,824,426	$	10,527,637
Income from securitization vehicles	$	8,777,445	$	7,977,023
Commitment, amendment and other fee income
Fee letters	$	220,870	$	326,509
Loan prepayment and bond call fees		300,000		200,000
All other fees		78,955		48,140
Total commitment, amendment and other fee income	$	599,825	$	574,649
Total investment income	$	17,201,696	$	19,079,309

~~Total~~The decrease in total investment income for the three and six months ended ~~September~~June 30, ~~2017 reflected~~2021 was primarily due to a decrease ~~of approximately $3.6 million. That decrease was comprised of lower~~in interest income of approximately $3.3 million which was largely attributable to a smaller corporate loan portfolio due to loan sale activity. Income from securitization vehicles reflected a decrease of approximately $0.5 million which was partially offset by an increase in commitment, amendment and other fee income of $0.2 million.

~~Total investment~~ income for the ~~nine~~three and six months ended ~~September~~June 30, ~~2017 reflected a decrease~~2021.

Table of ~~approximately $2.4 million. That decrease was comprised~~Contents

The total principal value of ~~lower interest income of approximately $6.8 million which was largely attributable to a smaller corporate loan portfolio due to loan sale activity. Total principal outstanding on~~ income producing debt investments as of ~~September~~June 30, ~~2017~~2021 and ~~September~~June 30, ~~2016 were~~2020 was approximately ~~$244.4~~$241.8 million and ~~$416.6~~$215.9 million, respectively. The decrease in interest income was partially offset by an increase in income from securitization vehicles of approximately $3.5 million due largely to an increased weighted average effective yield on our CLO equity portfolio.

As of ~~September~~June 30, ~~2017,~~2021, our debt investments had a range of stated interest rates of 3.85% and 10.25% and maturity dates of between ~~4.75%~~16 and ~~15.00%~~94 months compared to a range of stated interest rates of 3.93% to 10.81% and maturity dates between 1511 and ~~112 months compared to stated interest rates of 4.75% to 15.00% and maturity dates between 24 and 104~~133 months as of ~~September~~June 30, ~~2016.~~2020. In addition, our total debt portfolio had a weighted average yield on debt investments of approximately ~~9.5%~~7.6% as of ~~September~~June 30, ~~2017,~~2021, compared to approximately ~~8.0%~~8.1% as of ~~September~~June 30, ~~2016.~~2020. As of June 30, 2021, two debt investments were on non-accrual status with a combined fair value of approximately $7.8 million and total principal value of approximately $26.2 million.

Income from securitization vehicles for the three months ended June 30, 2021 and June 30, 2020, was approximately $4.1 million and $3.2 million, respectively. Income from securitization vehicles for the six months ended June 30, 2021 and June 30, 2020, was approximately $8.8 million and $8.0 million, respectively. The ~~increase~~total principal outstanding on our investments in ~~the~~CLOs as of June 30, 2021 and June 30, 2020, was approximately $370.1 million and $303.4 million, respectively. The weighted average yield on ~~our debt portfolio over the past twelve months is primarily due to our ongoing strategy~~CLO equity investments as of ~~rotating the corporate loan portfolio into higher-yielding, less liquid loans.~~June 30, 2021 and June 30, 2020, was approximately 10.4% and 7.1%, respectively.

Operating Expenses

Total ~~operating~~ expenses for the three months ended ~~September~~June 30, ~~2017~~2021 and ~~September 30, 2016~~2020, were approximately ~~$7.7~~$5.1 million and ~~$11.6~~$3.9 million, respectively. Total ~~operating~~ expenses for the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~September 30, 2016~~2020, were approximately ~~$24.9~~$9.6 million and ~~$33.0~~$8.4 million, respectively. ~~The decreases during those periods were largely attributable to lower professional fees,~~Those amounts consisted of base management fees, ~~and~~interest expense, professional fees, compensation expense, general and administrative ~~expenses.~~expenses, and incentive fees.

~~Expenses before net investment income incentive fees~~The Base Fee for the three months ended ~~September~~June 30, ~~2017 and September 30, 2016 were~~2021 was approximately ~~$7.2~~$1.4 million ~~and $11.1~~compared with $1.0 million respectively. Operating expenses before incentive fees for the nine months ended September 30, 2017 and September 30, 2016 were approximately $22.0 million and $31.4 million, respectively. The decreases during those periods were largely attributable to lower professional fees, base management fees, and general and administrative expenses.

~~The investment advisory base management fee~~ for the three months ended ~~September~~June 30, ~~2017 and September~~2020. The Base Fee for the six months ended June 30, ~~2016~~2021 was approximately ~~$2.0~~$2.8 million ~~and $2.6~~compared with $2.2 million ~~respectively. The investment advisory base management fee~~ for the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2020. The increase for the three and ~~September~~six months ended June 30, ~~2016~~2021 was ~~approximately $6.5 million and $8.7 million, respectively. Those decreases were~~ due largely to ~~the previously announced fee reduction from 2.00% to 1.50% of gross assets (refer to “Incentive Fees,” below, for discussion of ongoing fee waivers), as well as a decline~~an increase in the weighted average gross assets due to the sale of certain assets to fund the voluntary partial repayment of the TICC CLO 2012-1 LLC class A-1 notes and partial repurchase of outstanding shares of Convertible Notes (refer to the discussion in the Liquidity and Capital Resources section below). At September 30, 2017 and December 31, 2016, approximately $2.0 million and $2.5 million, respectively, of investment advisory base management fees remained payable to TICC Management.assets.

Interest ~~expenses~~expense for the three and six months ended ~~September~~June 30, ~~2017 and September 30, 2016 were~~2021, was approximately ~~$3.7~~$2.4 million and ~~$4.4~~$4.3 million, ~~respectively. The decrease in~~respectively, which primarily relates to our 5.50% unsecured notes due 2028 (the “5.50% Unsecured Notes), 6.25% unsecured notes due 2026 (the “6.25% Unsecured Notes”) and 6.50% unsecured notes due 2024 (the “6.50% Unsecured Notes”), compared to interest expense ~~is due primarily to lower weighted average debt outstanding over~~of approximately $1.9 million and $4.1 million for the three ~~month period. Interest expenses~~and six months ended June 30, 2020, which relates to our 6.25% Unsecured Notes, 6.50% Unsecured Notes, the repurchase transaction facility (the “Repo Facility”) and the credit facility entered into between Oxford Square Funding 2018, LLC, a special purpose vehicle and wholly-owned subsidiary of OXSQ, and Citibank, N.A. (the “Credit Facility”). The increase for the ~~nine~~three and six months ended ~~September~~June 30, ~~2017 and September 30, 2016 were approximately $11.1 million and $13.2 million, respectively. The decrease over~~2021 was a result of the ~~nine month period was primarily driven~~issuance of the 5.50% Unsecured Notes in May 2021, partially offset by the ~~lower weighted average debt outstanding due to~~retirement of the ~~previously stated note repayment~~Repo Facility and ~~repurchases. The aggregate accrued interest which remained payable at September 30, 2017 and December 31, 2016 was approximately $3.0 million and $1.7 million, respectively.~~the Credit Facility.

Professional fees, consisting of legal, ~~financial advisory,~~consulting, valuation, audit and tax fees, were approximately ~~$0.7 million and $2.2~~$0.6 million for the three months ended ~~September~~June 30, ~~2017 and September 30, 2016, respectively. Professional fees were~~2021, compared to approximately ~~$2.1~~$0.4 million and $5.4 million for the nine months ended September 30, 2017 and September 30, 2016, respectively. Those decreases in professional fees are primarily attributable to the discontinuation of services related to the engagement of legal and financial advisors.

~~Compensation expenses~~ for the three months ended ~~September~~June 30, ~~2017 and September 30, 2016~~2020. Professional fees were approximately ~~$0.2~~$1.3 million ~~reflecting~~for the six months ended June 30, 2021, compared to approximately $0.9 million for the six months ended June 30, 2020. The increase for the three and six months ended June 30, 2021 was primarily due to higher legal fees.

Compensation expense was approximately $193,000 for the three months ended June 30, 2021, compared to $168,000 for the three months ended June 30, 2020. Compensation expense was approximately $366,000 for the six months ended June 30, 2021, compared to $369,000 for the six months ended June 30, 2020. Compensation expense reflects the allocation of compensation expenses for the services of our ~~chief financial officer,~~Chief Financial Officer, accounting personnel, and other administrative support staff. Compensation expenses for the nine months ended September 30, 2017 and September 30, 2016 were $0.7 million and $0.6 million, respectively. At September 30, 2017 and December 31, 2016, respectively, approximately $66,000 and $0 of compensation expense remained payable.

General and administrative expenses, consisting primarily of directors’ fees, insurance, listing fees, transfer agent and custodian fees, office supplies, facilities costs and other expenses, were approximately ~~$0.5 million and $1.7 million~~$429,000 for the three ~~and nine~~ months ended ~~September~~June 30, ~~2017,~~2021, compared to ~~approximately $1.7 million and $3.4 million~~$405,000 for the three ~~and nine~~ months ended ~~September~~June 30, ~~2016.~~2020. General and administrative expenses were approximately $844,000 for the six months ended June 30, 2021, compared to $779,000 for the six months ended June 30, 2020. Office supplies, facilities costs and other expenses are allocated to ~~the Company~~us under the terms of the Administration Agreement.

Table of Contents

Incentive Fees

~~The~~There was no net investment income incentive fee (“Net Investment Income Incentive Fee”) recorded for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017 was approximately $0.6 million~~2021 and ~~$2.8 million, respectively, compared~~2020 due to ~~approximately $0.4 million and $1.7 million for both~~ the ~~three and nine months ended September 30, 2016.~~

total return requirement. The ~~net investment income incentive fee~~Net Investment Income Incentive Fee is calculated and payable quarterly in arrears based on the amount by which (x) the ~~“Pre-Incentive~~“Pre-Incentive Fee Net Investment Income” for the immediately preceding calendar quarter exceeds (y) the “Preferred Return Amount” for the calendar ~~quarter (see “Note 8. Related Party Transactions” in the notes to our consolidated financial statements).~~quarter. For this purpose, ~~“Pre-Incentive~~“Pre-Incentive Fee Net Investment Income” means interest income, dividend income and any other income accrued during the calendar quarter minus our operating expenses for the quarter (including the ~~base fee,~~Base Fee, expenses payable under the Administration Agreement with ~~BDC Partners,~~Oxford Funds, and any interest expense and dividends paid on any issued and outstanding preferred stock, but excluding the incentive fee). Refer to “Note 7. Related Party Transactions” in the notes to our consolidated financial statements.

The expense attributable to the capital gains incentive fee ~~expense,~~(the “Capital Gains Incentive Fee”), as reported under GAAP, is calculated as if the Company’s entire portfolio had been liquidated at period end, and therefore is calculated on the basis of net realized and unrealized gains and losses at the end of each period. ~~The~~That expense (or the reversal of such an expense) related to ~~the~~that hypothetical liquidation of the portfolio (and assuming no other changes in realized or unrealized gains and losses) would only become payable to ~~TICC Management~~our investment adviser in the event of a complete liquidation of our portfolio as of period end and the termination of the Investment Advisory Agreement on such date. For the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~September 30, 2016,~~2020, no accrual was required as a result of the impact of accumulated net unrealized depreciation and net realized losses on our portfolio.

The ~~actual~~ amount of the ~~capital gains incentive fee~~Capital Gains Incentive Fee which will actually be payable is determined in accordance with the terms of the Investment Advisory Agreement and is calculated as of the end of each calendar year (or upon termination of the Investment Advisory Agreement). The terms of the Investment Advisory Agreement state that the ~~capital gains incentive fee~~Capital Gains Incentive Fee calculation is based on net realized gains, if any, offset by gross unrealized depreciation for the calendar year. No effect is given to gross unrealized appreciation in this calculation. For the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~September 30, 2016,~~2020, such an accrual was not required under the terms of the Investment Advisory Agreement.

Realized and Unrealized Gains/Losses on Investments

For the three months ended ~~September~~June 30, ~~2017,~~2021, we recognized net realized gains on investments of approximately $1.2 million, which reflects gains from the sale of a CLO equity investment during the period.

For the three months ended June 30, 2021, our net change in unrealized appreciation was approximately $2.5 million, composed of $12.6 million in gross unrealized appreciation, $8.8 million in gross unrealized depreciation and approximately $1.1 million relating to the reversal of prior period net unrealized appreciation as investment gains were realized. This includes net unrealized appreciation of approximately $15.5 million resulting from reductions to the cost value of our CLO equity investments representing the difference between distributions received, or entitled to be received, on our investments held in CLO equity subordinated notes and fee notes, of approximately $19.5 million and the effective yield interest income recognized on our CLO equity subordinated notes and the amortized cost adjusted income on our CLO equity fee notes of approximately $4.0 million.

The most significant components of the net change in unrealized appreciation during the three months ended June 30, 2021, were as follows (in millions):

Portfolio Company	Net Change in Unrealized Appreciation (Depreciation)
Westcott Park CLO, Ltd.	$	2.3
Telos CLO 2014-5, Ltd.		1.4
Cedar Funding VI CLO, Ltd.		1.0
Octagon Investment Partners 37, Ltd.		(1.1	)
Premiere Global Services, Inc.		(8.2	)
Net all other		7.1
Total	$	2.5

Table of Contents

For the six months ended June 30 2021, we recognized net realized losses on investments of approximately ~~$1.1 million. For the nine months ended September 30, 2017, we recognized net realized losses on investments of approximately $6.0~~$12.9 million, which primarily reflects the ~~losses from~~extinguishment of a debt investment which was previously on non-accrual status.

For the ~~sale of CLO equity investments, partially offset by the gains realized from the sale and repayment of certain senior secured notes.~~

~~Based upon the fair value determinations made in good faith by the Board of Directors, for the three~~six months ended ~~September~~June 30, ~~2017,~~2021, our net change in unrealized ~~appreciation/(depreciation)~~appreciation was approximately ~~$2.6~~$33.6 million, ~~primarily due to improvements in the corporate loan market,~~ composed of ~~$7.8~~$30.0 million in gross unrealized appreciation, ~~$6.9~~$9.2 million in gross unrealized depreciation and approximately ~~$1.7~~$12.8 million relating to the reversal of prior period net unrealized depreciation as investment gains and losses were realized. ~~The net change in unrealized appreciation~~This includes net unrealized appreciation of approximately ~~$3.2~~$21.4 million ~~as a result of~~resulting from reductions to the cost value of our CLO equity investments ~~under~~representing the difference between distributions received, or entitled to be received, on our investments held in CLO equity subordinated notes and fee notes, of approximately $30.0 million and the effective yield ~~accounting methodology, whereby~~interest income recognized on our CLO equity subordinated notes and the amortized cost ~~value~~adjusted income on our CLO equity fee notes of ~~the respective investments are reduced by the excess of actual cash received (and record date distributions to be received) over the calculated income using the effective yield.~~approximately $8.6 million.

The most significant components of the net change in unrealized appreciation ~~and depreciation~~ during the ~~three~~six months ended ~~September~~June 30, ~~2017~~2021, were as follows (in millions):

Portfolio Company

Change in
Unrealized
Appreciation/
(Depreciation)
Birch Communications, Inc.

3.0

Ares XXIX CLO Ltd.

$
2.3

Net all other(1)

(2.7
)
Total

$
2.6

~~____________~~

~~(1) Unrealized gains and losses of less than $1.0 million have been combined.~~

Based upon the fair value determinations made in good faith by the Board of Directors, during the nine months ended September 30, 2017, we had net change in unrealized appreciation/(depreciation) of $13.2 million, composed of $10.4 million in gross unrealized appreciation, $12.0 million in gross unrealized depreciation and approximately $14.8 million relating to the reversal of prior period net unrealized depreciation as investment gains and losses were realized. The net change in unrealized appreciation

includes net unrealized appreciation of approximately $31.3 million as a result of reductions to the cost value of our CLO equity investments under the effective yield accounting methodology, whereby the cost value of the respective investments are reduced by the excess of actual cash received (and record date distributions to be received) over the calculated income using the effective yield.

~~The most significant components of the net change in unrealized appreciation and depreciation during the nine months ended September 30, 2017 were as follows (in millions):~~

Portfolio Company

Change in
Unrealized
Appreciation/
(Depreciation)

Source Hov, LLC

$
6.2

Mountain Hawk III CLO, Ltd.

3.6

Shackleton 2013-IV CLO, Ltd.

3.5

Benefit Street 2013 CLO Equity

2.8

Aricent Technologies, Inc.

2.0

Ares XXIX CLO Ltd. 1.5
Marea CLO Equity

1.3

Halcyon Loan Advisors Funding 2012-4 Ltd.

1.3

Ares XXV CLO Ltd. 1.1
Windriver 2012-1 CLO Equity, Ltd.

(1.1
)
York 2014-1A CLO Equity

(1.3
)
KVK CLO 2013-2, Ltd.

(1.6
)
Electric Lightwave Holdings, Inc. (F/K/A “Integra Telecom Holdings, Inc.”)

(2.4
)
Net all other⁽¹⁾

(3.7
)
Total

$
13.2

~~____________~~

~~(1) Unrealized gains and losses of less than $1.0 million have been combined.~~

~~Realized loss on extinguishment of debt~~

On August 25, 2016, November 25, 2016, February 27, 2017, and May 25, 2017, the 2012 Securitization Issuer repaid approximately $36.0 million, approximately $74.7 million, approximately $24.5 million, and approximately $31.4 million of the Class A-1 notes, respectively. On August 25, 2017, the 2012 Securitization Issuer repaid in full the remaining secured notes (Classes A-1, B-1, C-1 and D-1) outstanding of approximately $73.4 million.

In connection with the August 25, 2016 repayment of approximately $36.0 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately $648,000, which consisted of approximately $287,000 in accelerated note discount expense and approximately $361,000 in accelerated deferred debt issuance costs. In connection with the November 25, 2016 repayment of approximately $74.7 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately $1,296,000, which consisted of approximately $574,000 in accelerated note discount expense and approximately $722,000 in accelerated deferred debt issuance costs. In connection with the February 27, 2017 repayment of approximately $24.5 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately $409,000, which consisted of approximately $181,000 in accelerated note discount expense and approximately $228,000 in accelerated deferred debt issuance costs. In connection with the May 25, 2017 repayment of approximately $31.4 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately $505,000, which consisted of approximately $224,000 in accelerated note discount expense and approximately $281,000 in accelerated deferred debt issuance costs. In connection with the August 25, 2017 repayment of approximately $73.4 million of the Class A-1, B-1, C-1 and D-1 notes, the Company incurred debt extinguishment costs of approximately $2.2 million, which consisted of approximately $1.6 million in accelerated note discount expense and approximately $0.6 million in accelerated deferred debt issuance costs. The debt extinguishment costs in connection with the August 25, 2016, November 25, 2016, February 27, 2017, May 25, 2017 and August 25, 2017 are recorded within Realized Loss on Extinguishment of Debt in the Consolidated Statement of Operations.

Portfolio Company	Net Change in Unrealized Appreciation (Depreciation)
Imagine! Print Solutions, Inc.	$	13.4
Sound Point CLO XVI, Ltd.		4.3
Cedar Funding II CLO, Ltd.		4.2
Global Tel Link Corp.		2.5
Premiere Global Services, Inc.		(8.1	)
Net all other		17.3
Total	$	33.6

Net Increase in Net Assets Resulting from Net Investment Income

Net investment income for the three ~~and nine~~ months ended ~~September~~June 30, ~~2017~~2021 and June 30, 2020 was approximately ~~$6.8~~$2.8 million and ~~$23.1~~$4.3 million, ~~respectively, as compared with~~respectively. Net investment income for the ~~three and nine~~six months ended ~~September~~June 30, ~~2016 of~~2021 and June 30, 2020 was approximately ~~$6.5~~$7.6 million and ~~$17.4~~$10.7 million, respectively. The decrease in net ~~increases for both the three and nine month periods were~~investment income was primarily ~~the result of higher income from securitization vehicles and lower total expenses, partially offset by lower~~due to a decrease in interest ~~income on debt investments.~~income.

For the three and ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2021, the net increase in net assets resulting from net investment income per common share was ~~$0.13~~$0.06 and $0.15 (basic and diluted) ~~and $0.45 (basic and diluted)~~, ~~respectively, based on 51,479,409 weighted average common shares outstanding as of September 30, 2017,~~ compared to the net increase in net assets resulting from net investment income per share of ~~$0.13 (basic~~$0.09 and ~~diluted) and $0.33~~$0.22 (basic and diluted) for the three and ~~nine~~six months ended ~~September~~June 30, ~~2016, respectively, based on 51,479,409 and 51,985,537 weighted average common shares outstanding~~2020. The per share decrease is primarily due to lower interest income for the three and ~~nine~~six months ended ~~September~~June 30, 2016, respectively. Due to the anti-dilutive effect on the computation of diluted earnings per share for the three and nine months ended September 30, 2017 and September 30, 2016, the adjustments for interest on Convertible Notes, base management fees, deferred issuance costs and net investment income incentive fees as well as adjustments for dilutive effect of Convertible Notes were excluded from the respective period’s diluted earnings per share computation.

For the three and nine months ended September 30, 2017, the net increase in the net assets resulting from core net investment income per common share was $0.13 (basic and diluted) and $0.53 (basic and diluted), based on 51,479,409 weighted average common shares as of September 30, 2017, compared to $0.31 (basic and diluted) and $0.92 (basic and diluted) for the three and nine months ended September 30, 2016, based on 51,479,409 and 51,985,537 weighted average common shares for the three and nine months ended September 30, 2016, respectively.

~~Please see “— Supplemental Information Regarding Core Net Investment Income” below for more information.~~2021.

Net ~~Increase~~Increase/(Decrease) in Net Assets Resulting from Operations

Net increase in net assets resulting from operations for the three ~~and nine~~ months ended ~~September~~June 30, ~~2017~~2021 was approximately ~~$6.0~~$6.5 million ~~and $27.2 million, respectively,~~ compared with a net increase in net assets resulting from operations of approximately ~~$42.9 million and $74.1~~$20.6 million for the three ~~and nine~~ months ended ~~September~~June 30, ~~2016, respectively. This~~2020. For the six months ended June 30, 2021, the net increase in net assets resulting from operations was approximately $28.3 million compared with a net decrease ~~was largely due to lower~~in net ~~unrealized appreciation on investments~~assets resulting from operations of ~~$39.8~~approximately $58.8 million ~~and $57.3 million, respectively.~~for the six months ended June 30, 2020.

For the three ~~and nine~~ months ended ~~September~~June 30, ~~2017, respectively,~~2021, the net increase in net assets resulting from operations per common share was ~~$0.12 (basic and diluted) and $0.53~~$0.13 (basic and diluted), compared to a net increase in net assets resulting from operations per share of ~~approximately $0.83 (basic)~~$0.41 (basic and ~~$0.72 (diluted)~~diluted) for the three months ended ~~September~~June 30, ~~2016 and a~~2020. For the six months ended June 30, 2021, the net increase in net assets resulting from operations per common share was $0.57 (basic and diluted), compared to a net decrease in net assets resulting from operations per share of ~~approximately $1.42 (basic)~~$1.19 (basic and ~~$1.28 (diluted)~~diluted) for the ~~nine~~six months ended ~~September~~June 30, ~~2016. Due to the anti-dilutive effect on the computation~~2020.

Table of diluted earnings per share for the three months ended September 30, 2017, the adjustments for interest on Convertible Notes, base management fee, deferred issuance costs and net investment income incentive fees as well as adjustments for dilutive effect of Convertible Notes were excluded from the respective period’s diluted earnings per share computation.Contents

~~Supplemental Information Regarding Core Net Investment Income~~

On a supplemental basis, we provide information relating to 1) core net investment income and 2) the ratio of core net investment income to net assets, which are non-GAAP measures. These measures are provided in addition to, but not as a substitute for, net investment income. Our non-GAAP measures may differ from similar measures by other companies, even if similar terms are used to identify such measures. Core net investment income represents net investment income adjusted for additional cash distributions received, or entitled to be received (if any, in either case), on our CLO equity investments (excluding those cash distributions believed to represent a return of capital) and also excludes any capital gains incentive fees we recognize but have no obligation to pay in any period. The Company did not recognize any capital gains incentive fees for the quarter ended September 30, 2017.

Income from investments in the “equity” class securities of CLO vehicles, for GAAP purposes, is recorded using the effective interest method based upon an effective yield to the expected redemption utilizing estimated cash flows, compared to the cost resulting in an effective yield for the investment; the difference between the actual cash received or distributions entitled to be received and the effective yield calculation is an adjustment to cost. Accordingly, investment income recognized on CLO equity securities in the GAAP statement of operations differs from the cash distributions actually received by us during the period (referred to below as “CLO equity additional distributions”).

Further, in order to continue to qualify to be taxed as a RIC, we are required, among other things, to distribute at least 90% of our investment company taxable income annually. Therefore, core net investment income may provide a better indication of estimated taxable income for a reporting period than does GAAP net investment income, although we can offer no assurance that will be the case as the ultimate tax character of our earnings cannot be determined until tax returns are prepared after the end of a fiscal year. We note that these non-GAAP measures may not be useful indicators of taxable earnings, particularly during periods of market disruption and volatility.

~~The following tables provide a reconciliation of net investment income to core net investment income for the three and nine months ended September 30, 2017 and 2016, respectively:~~

Three Months Ended
September 30, 2017

Three Months Ended
September 30, 2016

Amount

Per Share
Amounts

Amount

Per Share
Amounts
Net investment income

$
6,767,753

$
0.131

$
6,539,020

$
0.127
CLO equity additional distributions

47,456

0.001

9,359,695

0.182
Core net investment income

$
6,815,209

$
0.132

$
15,898,715

$
0.309

Nine Months Ended
September 30, 2017

Nine Months Ended
September 30, 2016

Amount

Per Share
Amounts

Amount

Per Share
Amounts
Net investment income

$
23,097,902

$
0.449

$
17,382,340

$
0.334
CLO equity additional distributions

4,333,407

0.084

30,289,507

0.583
Core net investment income

$
27,431,309

$
0.533

$
47,671,847

$
0.917

~~In addition, the following ratio is presented to supplement the financial highlights included in “Note 14. Financial Highlights” in the notes to our consolidated financial statements:~~

Three Months
Ended
September 30,
2017

Three Months
Ended
September 30,
2016

Nine Months
Ended
September 30,
2017

Nine Months
Ended
September 30,
2016
Ratio of core net investment income to average net assets

7.09
%

18.14
%

9.48
%

19.11
%

The following table provides a reconciliation of the ratio of net investment income to average net assets to the ratio of core net investment income to average net assets for the three and nine months ended September 30, 2017 and 2016, respectively:

Three Months
Ended
September 30, 2017

Three Months
Ended
September 30,
2016

Nine Months
Ended
September 30,
2017

Nine Months
Ended
September 30,
2016
Ratio of net investment income to average net
assets

7.04
%

7.46
%

7.98
%

6.97
%
Ratio of CLO equity additional estimated taxable income to average net assets

0.05
%

10.68
%

1.50
%

12.14
%
Ratio of core net investment income to average net assets

7.09
%

18.14
%

9.48
%

19.11
%

LIQUIDITY AND CAPITAL RESOURCES

As of ~~September~~June 30, ~~2017,~~2021, cash and cash equivalents were approximately ~~$119.6~~$63.6 million as compared to approximately ~~$8.3~~$59.1 million atas of December 31, ~~2016.~~2020. For the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2021, net cash ~~provided by~~used in operating activities for the period, consisting primarily of the items described in “— Results of Operations,” was approximately ~~$202.4~~$63.1 million, largely reflecting purchases of investments of approximately $114.8 million and net change in unrealized appreciation of approximately $33.6 million, partially offset by proceeds from principal repayments ~~and reductions to debt cost~~ and sales of investments of approximately ~~$310.2~~$22.9 million and ~~reductions to CLO equity cost value of approximately $31.3 million, partially offset by purchases of new~~net realized losses on investments of approximately ~~$163.0 million and net change in unrealized appreciation/(depreciation) of $13.2~~$12.9 million. For the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2021, net cash provided by ~~investing activities of approximately $3.5 million reflects the change in restricted cash in the 2012 Securitization Issuer. For the nine months ended September 30, 2017, net cash used in~~ financing activities was approximately ~~$94.5~~$67.5 million, reflecting ~~the distribution of dividends and repayment of TICC CLO 2012-1 LLC notes and partially offset by the proceeds from~~ the issuance of the ~~6.50%~~5.50% Unsecured ~~Notes.~~

~~From time to time, we may seek to retire, repurchase, or exchange debt securities in open market purchases or~~Notes, offset by ~~other means dependent on market conditions, liquidity, contractual obligations, and other matters.~~

~~On April 12, 2017, we completed an underwritten public offering~~payments of approximately $64.4 million in principal amount of 6.50% unsecured notes due 2024 and intend to use the net proceeds from this offering to repay or repurchase a portion of the outstanding indebtedness under the 7.50% convertible notes due 2017, which currently amounts to approximately $94.5 million plus accrued interest as of September 30, 2017.distributions.

Contractual Obligations

A summary of our significant contractual payment obligations as of ~~September~~June 30, ~~2017~~2021, is as follows:

Contractual obligations

Payments Due by Period

Total

Less than
1 year

1 – 3
years

3 – 5
years

More than
5 years
Long-term debt obligations:

Convertible Notes(1)

$
94,542,000

$
94,542,000

$
—

$
—

$
—
6.50% Unsecured Notes

64,370,225

—

—

—

64,370,225
Total

$
158,912,225

$
94,542,000

$
—

$
—

$
64,370,225

			Payments Due by Period
Contractual obligations (in millions)	Principal Amount		Less than 1 year		1 – 3 years		3 – 5 years		More than 5 years
Long-term debt obligations:
6.50% Unsecured Notes	$	64.4	$	—	$	64.4	$	—	$	—
6.25% Unsecured Notes		44.8		—		—		44.8		—
5.50% Unsecured Notes		80.5		—		—		—		80.5
	$	189.7	$	—	$	64.4	$	44.8	$	80.5

~~____________~~

~~(1) On November 1, 2017, the Convertible Notes matured and were repaid in full in accordance with their terms.~~

~~See also~~Refer to “Note 6. Borrowings” in the notes to our consolidated financial statements.

Off-Balance Sheet Arrangements

In the normal course of business, we enter into a variety of undertakings containing a variety of warranties and indemnifications that may expose us 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~~June 30, ~~2017,~~2021, we had ~~no off-balance sheet arrangements, including~~an approximately $5.4 million commitment to purchase a senior secured note investment. Such outstanding commitment is summarized in the following table:

Name of Portfolio Company		Investment Type		Commitment
RSA Security, LLC		Delayed Draw 2nd Lien Term Loan		$	5,371,000

Share Issuance Program

On August 1, 2019, we entered into an Equity Distribution Agreement with Ladenburg Thalmann & Co. through which we may offer for sale, from time to time, up to $150.0 million of the Company’s common stock through an At-the-Market (“ATM”) offering. For the three and six months ended June 30, 2021, we did not sell any ~~risk management~~shares of ~~commodity pricing or other hedging practices.~~common stock pursuant to the ATM offering.

Borrowings

In accordance with the 1940 Act, with certain limited exceptions, as of June 30, 2021, we ~~are~~were only allowed to borrow amounts such that our asset coverage, as defined in the 1940 Act, iswas at least ~~200%~~150%, immediately after such borrowing. As of ~~September~~June 30, ~~2017,~~2021 and December 31, 2020, our asset coverage for borrowed amounts was ~~504.2%.~~approximately 226% and 304%, respectively.

On April 6, 2018, the Board, including a “required majority” (as such term is defined in Section 57(o) of the 1940 Act) of the Board, approved the modified asset coverage requirements set forth in Section 61(a)(2) of the 1940 Act. As a result, the Company’s asset coverage requirements for senior securities was changed from 200% to 150%, effective as of April 6, 2019.

The weighted average stated interest rate and weighted average maturity on all of ~~our~~the Company’s debt outstanding as of ~~September~~June 30, ~~2017~~2021, were ~~7.09%~~6.02% and ~~2.7~~5.1 years, respectively, and as of December 31, ~~2016~~2020, were ~~5.56%~~6.40% and ~~4.2~~4.1 years, respectively.

6758

~~TICC CLO 2012-1 LLC~~

~~On August 23, 2012, we completed a $160 million debt securitization financing transaction, consisting~~Table of $120 million in secured notes and $40 million of the 2012 subordinated notes. On February 25, 2013 and May 28, 2013, TICC CLO 2012-1 issued additional secured notes totaling an aggregate of $120 million and 2012 subordinated notes totaling an aggregate of $40 million, which 2012 subordinated notes were purchased by us under the “accordion” feature of the debt securitization which allowed, under certain circumstances and subject to the satisfaction of certain conditions, for an increase in the amount of secured and subordinated notes. It is not necessary that we own all or any of the notes permitted by this feature, which may affect the accounting treatment of the debt securitization financing transaction. On August 25, 2016, November 25, 2016, February 27, 2017, and May 25, 2017, we repaid approximately $36.0 million, approximately $74.7 million, approximately $24.5 million, and approximately $31.4 million of the Class A-1 notes, respectively. On August 25, 2017, the 2012 Securitization Issuer repaid, in full, the remaining secured notes (Classes A-1, B-1, C-1 and D-1) outstanding of approximately $73.4 million.Contents

In connection with the May 25, 2017 repayment of approximately $31.4 million of the Class A-1 notes, we incurred debt extinguishment costs of approximately $505,000, which consisted of approximately $224,000 in accelerated note discount expense and approximately $281,000 in accelerated deferred debt issuance costs.

~~The accelerated note discount expense and accelerated deferred debt issuance costs are recorded within Realized Loss on Extinguishment of Debt in the Consolidated Statement of Operations.~~

TICC CLO 2012-1 LLC ($ in thousands)

Three Months
Ended
September 30,
2017

Three Months
Ended
September 30,
2016

Nine Months
Ended
September 30,
2017

Nine Months
Ended
September 30,
2016
Stated interest expense

$
616.7

$
1,904.9

$
3,041.9

$
5,683.0

Amortization of deferred issuance costs

16.1

81.6

91.7

253.0

Note discount expense

40.0

108.4

187.2

330.6

Total interest expense

$
672.8

$
2,094.9

$
3,320.8

$
6,266.6

Effective annualized average interest rate

5.98
%

3.70
%

5.33
%

3.56
%
Cash paid for interest

$
1,031.6

$
1,960.0

$
3,591.2

$
5,652.4

The classes, interest rates, spread over LIBOR, cash paid for interest and stated interest expense of each of the Class A-1, B-1, C-1 and D-1 for the three and nine months ended September 30, 2017, respectively, are as follows:

Three Months Ended
September 30, 2017

Nine Months Ended
September 30, 2017
TICC CLO 2012-1 LLC
($ in thousands)

Stated
Interest
Rate

LIBOR
Spread
(basis points)

Cash
Paid for
Interest

Stated
Interest
Expense

Cash
Paid for
Interest

Stated
Interest
Expense
Class A-1 Notes

2.93867
%

175

$
70.5

$
42.1

$
803.6

$
623.8
Class B-1 Notes

4.68867
%

350

239.6

143.3

691.0

600.0
Class C-1 Notes

5.93867
%

475

349.1

208.7

1,012.7

878.4
Class D-1 Notes

6.93867
%

575

372.4

222.6

1,083.9

939.7
Total(1)

$
1,031.6

$
616.7

$
3,591.2

$
3,041.9

~~____________~~

~~(1) Totals may not sum due to rounding.~~

Three Months Ended
September 30, 2016

Nine Months Ended
September 30, 2016
TICC CLO 2012-1 LLC
($ in thousands)

Stated
Interest
Rate

LIBOR
Spread
(basis points)

Cash
Paid for
Interest

Stated
Interest
Expense

Cash
Paid for
Interest

Stated
Interest
Expense
Class A-1 Notes

2.57544
%

175

$
1,085.0

$
1,019.2

$
3,095.8

$
3,089.1
Class B-1 Notes

4.32544
%

350

212.7

216.1

618.2

629.2
Class C-1 Notes

5.57544
%

475

318.1

322.0

929.8

943.2
Class D-1 Notes

6.57544
%

575

344.1

347.6

1,008.7

1,021.6
Total(1)

$
1,960.0

$
1,904.9

$
5,652.4

$
5,683.2

~~____________~~

~~(1) Totals may not sum due to rounding.~~

TICC serves as collateral manager to the 2012 Securitization Issuer under a collateral management agreement. TICC is entitled to a deferred fee for its services as collateral manager. The deferred fee is eliminated in consolidation.

~~6.50% Unsecured Notes~~

On April 12, 2017, we completed an underwritten public offering of approximately $64.4 million in aggregate principal amount of the 6.50% ~~unsecured notes due 2024.~~Unsecured Notes. The 6.50% Unsecured Notes will mature on March 30, 2024, and may be redeemed in whole or in part at any time or from time to time at ~~our~~the Company’s option on or after March 30, 2020. The 6.50% Unsecured Notes ~~will~~ bear interest at a rate of 6.50% per year payable quarterly on March 30, June 30, September 30, and December 30 of each ~~year, commencing June 30, 2017.~~

The aggregate accrued interest payable on the 6.50% Unsecured Notes at September 30, 2017 was approximately $11,600. Deferred debt issuance costs represent fees and other direct incremental costs incurred in connection with the 6.50% Unsecured Notes. As of September 30, 2017, we had a deferred debt issuance balance of approximately $2.1 million. This amount is being amortized and is included in interest expense in the consolidated statements of operations over the term of the 6.50% Unsecured Notes.

The following table sets forth the components of interest expense, effective annualized average interest rates and cash paid for interest of the 6.50% Unsecured Notes for the three and nine months ended September 30, 2017:

6.50% Unsecured Notes ($ in thousands)

Three Months
Ended
September 30,
2017

Nine Months
Ended
September 30,
2017
Stated interest expense

$
1,046.0

$
1,964.2
Amortization of deferred issuance costs

81.8

152.0
Total interest expense

$
1,127.8

$
2,116.2
Effective annualized average interest rate

6.95
%

6.98%
Cash paid for interest

$
1,046.0

$
1,952.6

year. The 6.50% Unsecured Notes are ~~TICC’s general, unsecured obligations~~listed on the NASDAQ Global Select Market under the trading symbol “OXSQL.”

On June 21, 2018, Oxford Square Funding 2018, LLC, a special purpose vehicle and ~~rank~~wholly-owned subsidiary of OXSQ (“OXSQ Funding”), entered into the Credit Facility with Citibank, N.A. Subject to certain exceptions, pricing under the Credit Facility was based on the London Interbank Offered Rate for an interest period equal ~~in right~~to three months plus a spread of ~~payment with all of TICC’s existing~~2.25% per annum payable quarterly on March 21, June 21, September 21 and future senior, unsecured indebtedness and senior in right of payment to any of its subordinated indebtedness. As a result, the 6.50% Unsecured Notes will be effectively subordinated to TICC’s existing and future secured indebtednessDecember 21. Pursuant to the ~~extent~~terms of the ~~value~~credit agreement governing the Credit Facility, OXSQ Funding borrowed approximately $95.2 million. The Credit Facility had a mandatory amortization schedule such that 15.0% of the ~~assets securing such indebtedness~~principal amount outstanding as of June 21, 2018 was due and ~~structurally subordinated to any~~payable on June 21, 2019. On each payment date occurring thereafter, an additional 6.25% of the remaining principal amount outstanding was due and payable. On October 12, 2018, OXSQ Funding amended the Credit Facility with Citibank, N.A., and an additional borrowing amount of approximately $37.3 million was made under the same terms as the existing credit agreement. We repaid the remaining outstanding principal on March 24, 2020 of approximately $17.1 million and ~~future liabilities and other indebtedness~~did not extend the maturity of ~~its subsidiary.~~

~~Convertible Notes~~the Credit Facility.

On ~~September 26, 2012,~~April 3, 2019, we ~~issued $105.0~~completed an underwritten public offering of approximately $44.8 million in aggregate principal amount of the ~~Convertible~~6.25% Unsecured Notes. The 6.25% Unsecured Notes will mature on April 30, 2026, and ~~an additional $10.0 million aggregate principal amount of the Convertible Notes was issued~~may be redeemed in whole or in part at any time or from time to time at our option on October 22, 2012 pursuant to the exercise of the initial purchasers’ option to purchase additional Convertible Notes. On December 2, 2016 and December 16, 2016, we repurchased $12.0 million and approximately $8.5 million of the Convertible Notes, respectively. At Septemberor after April 30, ~~2017, approximately $94.5 million aggregate principal amount of the Convertible Notes remained outstanding.~~2022. The ~~Convertible~~6.25% Unsecured Notes bear interest at a rate of ~~7.50%~~6.25% per year payable ~~semi-annually in arrears~~quarterly on ~~May 1~~January 31, April 30, July 31, and ~~November 1~~October 31 of each ~~year, commencing on May 1, 2013.~~year. The ~~Convertible~~6.25% Unsecured Notes are ~~convertible~~listed on the NASDAQ Global Select Market under the trading symbol “OXSQZ.”

On October 18, 2019, the Company entered into ~~shares~~a $10 million repurchase transaction facility (the “Repo Facility”) with Nomura Securities International, Inc. (“Nomura”). Pursuant to the Master Repurchase Agreement (“MRA”) and a transaction facility confirmation, the Company may sell securities to Nomura from time to time with a corresponding repurchase obligation at an agreed-upon price 30 to 60 days after the sale date (“Reverse Repo”). The Repo Facility has a funding cost of ~~our common stock based~~1-month LIBOR plus 2.05% per annum for each Reverse Repo transaction and is subject to a facility fee of 0.85% per annum on the full $10 million facility amount. The Repo Facility expired without extension by the Company on October 18, 2020.

On May 20, 2021, we completed an ~~initial conversion rate~~underwritten public offering of ~~87.2448 shares of its common stock per $1,000~~approximately $80.5 million in aggregate principal amount of ~~Convertible Notes, which is equivalent to an initial conversion price of approximately $11.46 per share of common stock.~~the 5.50% Unsecured Notes. The ~~conversion price for the Convertible~~5.50% Unsecured Notes will ~~be reduced for quarterly cash distributions paid to common shares to the extent that the quarterly distribution exceeds $0.29 per share, subject to adjustment. The Convertible Notes~~ mature on ~~November 1, 2017, unless previously converted~~July 31, 2028, and may be redeemed in ~~accordance with their terms. We do not have the right~~whole or in part at any time or from time to ~~redeem the Convertible~~time at our option on or after May 31, 2024. The 5.50% Unsecured Notes ~~prior to maturity.~~bear interest at a rate of 5.50% per year payable quarterly on January 31, April 30, July 31, and October 31 of each year. The ~~aggregate accrued interest payable~~5.50% Unsecured Notes are listed on the ~~Convertible Notes at September 30, 2017 was approximately $3.0 million. Deferred debt issuance costs represent fees and other direct incremental costs incurred in connection with~~NASDAQ Global Select Market under the ~~Convertible Notes. As of September 30, 2017, we had a deferred debt issuance balance of approximately $45,000. This amount is being amortized and is included in interest expense~~trading symbol “OXSQG.”

Refer to “Note 6. Borrowings” in the notes to our consolidated ~~statements of operations over the term of the Convertible Notes.~~

The following table sets forth the components of interest expense, effective annualized average interest rates and cash paid for interest of the Convertible Notes for the three and nine months ended September 30, 2017 and 2016, respectively:

2017 Convertible Notes ($ in thousands)

Three Months
Ended
September 30,
2017

Three Months
Ended
September 30,
2016

Nine Months
Ended
September 30,
2017

Nine Months
Ended
September 30,
2016
Stated interest expense

$
1,772.7

$
2,156.3

$
5,318.0

$
6,468.8

Amortization of deferred issuance costs

128.2

156.0

380.5

464.7

Total interest expense

$
1,900.9

$
2,312.3

$
5,698.5

$
6,933.5

Effective annualized average interest rate

7.98
%

7.98
%

8.06
%

8.03
%
Cash paid for interest

$
—

$
—

$
3,545.3

$
4,312.5

70financial statements.

Distributions

In order to qualify for tax treatment as a RIC, and to avoid corporate level tax on the income we distribute to our stockholders, we are required, under Subchapter M of the Code, to distribute at least 90% of our ordinary income and ~~short-term~~short-term capital gains to our stockholders on an annual basis.

~~Effective January 1, 2015, we recorded interest from~~To the extent our ~~investments in~~taxable earnings fall below the ~~equity class securities~~total amount of ~~CLO vehicles using~~our distributions for that fiscal year, a portion of those distributions may be deemed a return of capital to our stockholders. Thus, the ~~effective interest method in accordance with~~source of a distribution to our stockholders may be the ~~provisions~~original capital invested by the stockholder rather than our taxable ordinary income or capital gains. Stockholders should read any written disclosure accompanying a distribution payment carefully and should not assume that the source of ~~ASC 325-40,Beneficial Interests in Securitized Financial Assets, based upon an estimation~~any distribution is taxable ordinary income or capital gains. The final determination of ~~an effective yield to~~ the ~~expected redemption utilizing estimated cash flows, including those CLO equity investments that have not~~nature of our distributions can only be made their inaugural distribution for the relevant period end. We monitor the expected residual payments, and effective yield is determined and updated periodically, 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 we actually received during the period. CLO entities generally constitute “passive foreign investment companies” and 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~~filing of ~~earnings as determined under~~our tax ~~regulations for each CLO equity investment, while accounting~~return. We have until October 15, 2022, to file our federal income is recorded using the effective yield method. This method requires the calculation of an effective yield to expected redemption based upon an estimation of the amount and timing of future cash flows, including recurring cash flows as well as future principal repayments; the difference between the actual cash received (and record date distributions to be received) and the effective yield income calculation is an adjustment to cost. The effective yield is reviewed quarterly and adjusted as appropriate. Our final taxable earningstax return for the year ended December 31, ~~2016 resulted in~~2021.

Table of Contents

For the quarter ended June 30, 2021, management estimated that a ~~50.7% non-taxable~~tax return of ~~capital. While GAAP accounting income~~capital occurred of approximately $0.02 per share. We may not be able to achieve operating results that will allow us to make distributions at a specific level or to increase the amount of these distributions from time to time. In addition, we may be limited in our ~~CLO equity class investments for~~ability to make distributions due to the ~~three months ended September 30, 2017 was approximately $8.1 million,~~asset coverage requirements applicable to us as a BDC under the 1940 Act. If we ~~received or were entitled to receive approximately $11.3 million in distributions. Our distribution policy is based upon our estimate~~do not distribute a certain percentage of our ~~taxable net~~income annually, we will suffer adverse tax consequences, including possible loss of favorable regulated 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.~~company tax treatment. We cannot assure stockholders that they will receive any distributions.

The following table reflects the cash distributions, including ~~dividends and returns of capital,~~distributions reinvested, if any, per share that our Board ~~of Directors~~ has declared on our common stock ~~since~~from the beginning of ~~2015:~~2020 through 2021:

Date Declared

Record Date

Payment Date

Amount
Fiscal 2017

October 27, 2017

December 15, 2017

December 29, 2017

$
0.20

February 27, 2017

September 15, 2017

September 29, 2017

0.20

February 27, 2017

June 16, 2017

June 30, 2017

0.20

February 27, 2017

March 16, 2017

March 31, 2017

0.20

Total (2017)

$
0.80

Fiscal 2016

October 26, 2016

December 16, 2016

December 30, 2016

$
0.29

July 28, 2016

September 16, 2016

September 30, 2016

0.29

April 28, 2016

June 16, 2016

June 30, 2016

0.29

February 15, 2016

March 17, 2016

March 31, 2016

0.29

Total (2016)

$
1.16
(1)

Fiscal 2015

November 2, 2015

December 16, 2015

December 31, 2015

$
0.29

July 30, 2015

September 16, 2015

September 30, 2015

0.29

April 27, 2015

June 16, 2015

June 30, 2015

0.29

February 19, 2015

March 17, 2015

March 31, 2015

0.27

Total (2015)

$
1.14
(2)

Date Declared	Record Date	Payment Date	Total Distributions		GAAP net investment income			Distributions in excess of/ (less than) GAAP net investment income
Fiscal 2021(1)
July 22, 2021	December 17, 2021	December 31, 2021	$	0.035	$	N/A		$	—
July 22, 2021	November 16, 2021	November 30, 2021		0.035		N/A			—
July 22, 2021	October 15, 2021	October 29, 2021		0.035		N/A			—
Total (Fourth Quarter 2021)				0.105		—	(3)		—

April 22, 2021	September 16, 2021	September 30, 2021	$	0.035	$	N/A		$	—
April 22, 2021	August 17, 2021	August 31, 2021		0.035		N/A			—
April 22, 2021	July 16, 2021	July 30, 2021		0.035		N/A			—
Total (Third Quarter 2021)				0.105		—	(3)		—

February 23, 2021	June 16, 2021	June 30, 2021	$	0.035	$	N/A		$	—
February 23, 2021	May 14, 2021	May 28, 2021		0.035		N/A			—
February 23, 2021	April 16, 2021	April 30, 2021		0.035		N/A			—
Total (Second Quarter 2021)				0.105		0.06			0.05

October 22, 2020	March 17, 2021	March 31, 2021	$	0.035	$	N/A		$	—
October 22, 2020	February 12, 2021	February 26, 2021		0.035		N/A			—
October 22, 2020	January 15, 2021	January 29, 2021		0.035		N/A			—
Total (First Quarter 2021)				0.105	$	0.10			—

Fiscal 2020(1)
September 11, 2020	December 16, 2020	December 31, 2020	$	0.035	$	N/A		$	—
September 11, 2020	November 13, 2020	November 30, 2020		0.035		N/A			—
September 11, 2020	October 16, 2020	October 30, 2020		0.035		N/A			—
Total (Fourth Quarter 2020)				0.105		0.10			—

June 1, 2020	September 16, 2020	September 30, 2020		0.035		N/A			—
June 1, 2020	August 17, 2020	August 31, 2020		0.035		N/A			—
June 1, 2020	July 17, 2020	July 31, 2020		0.035		N/A			—
Total (Third Quarter 2020)				0.105		0.09			0.01

February 24, 2020	June 15, 2020	June 30, 2020		0.067		N/A			—
February 24, 2020	May 14, 2020	May 29, 2020		0.067		N/A			—
February 24, 2020	April 15, 2020	April 30, 2020		0.067		N/A			—
Total (Second Quarter 2020)				0.201		0.09			0.11

October 25, 2019	March 17, 2020	March 31, 2020		0.067		N/A			—
October 25, 2019	February 14, 2020	February 28, 2020		0.067		N/A			—
October 25, 2019	January 17, 2020	January 31, 2020		0.067		N/A			—
Total (First Quarter 2020)				0.201		0.13			0.07
Total (2020)			$	0.612	$	0.40	(2)	$	0.21	(2)

____________

(1) ~~Includes a taxable~~The tax characterization of cash distributions for the year ending December 31, 2021 and year ended December 31, 2020 will not be known until the tax return for such years are finalized. For the year ending December 31, 2021 and year ended

Table of ~~capital~~Contents

____________

December 31, 2020, the amounts and sources of ~~approximately $0.59 per share~~distributions reported are only estimates and are not being provided for U.S. tax reporting purposes. The final determination of the source of all distributions in 2021 and 2020 will be made after year-end and the amounts represented may be materially different from the amounts disclosed in the final Form 1099-DIV notice. The actual amounts and sources of the amounts for tax ~~purposes.~~reporting purposes will depend upon the Company’s investment performance and may be subject to change based on tax regulations.

(2) ~~Includes a taxable return of capital of approximately $0.08 per share~~Totals may not sum due to rounding.

(3) We have not yet reported investment income for ~~tax purposes.~~

71this period.

Related Parties

We have a number of business relationships with affiliated or related parties, including the following:

• We have entered into the Investment Advisory Agreement with ~~TICC~~Oxford Square Management. ~~TICC~~Oxford Square Management is controlled by ~~BDC Partners,~~Oxford Funds, its managing member. ~~BDC Partners,~~In addition to Oxford Funds, Oxford Square Management is owned by Charles M. Royce, a member of our Board, who holds a minority, non-controlling interest in Oxford Square Management as the non-managing member. Oxford Funds, as the managing member of ~~TICC~~Oxford Square Management, manages the business and internal affairs of ~~TICC~~Oxford Square Management. In addition, ~~BDC Partners~~Oxford Funds provides us with office facilities and administrative services pursuant to the Administration Agreement. ~~Jonathan H. Cohen is the managing member of and controls BDC Partners. Saul B. Rosenthal is also the President of TICC Management and a member of BDC Partners.~~

~~Charles M. Royce has a minority, non-controlling interest in TICC Management, but he does not take part in the management or participate in the operations of TICC Management.~~

• Messrs. Cohen and Rosenthal also currently serve as Chief Executive Officer and President, respectively, at Oxford Bridge Management, LLC, the investment adviser to the Oxford Bridge, LLC ~~a private fund that invests principally in~~and Oxford Bridge II, LLC (together, the ~~equity of CLOs. BDC Partners~~“Oxford Bridge Funds”), and at Oxford Gate Management, LLC, the investment adviser to Oxford Gate Master Fund, LLC, Oxford Gate, LLC and Oxford Gate (Bermuda), LLC (collectively, the ”Oxford Gate Funds”). Oxford Funds is the managing member of both Oxford Bridge Management, LLC and Oxford Gate Management, LLC. In addition, Bruce L. Rubin serves as the Chief Financial Officer and Secretary, and Gerald Cummins serves as the Chief Compliance Officer, respectively, of both Oxford Bridge Management, LLC and Oxford Gate Management, LLC.

• Messrs. Cohen and Rosenthal currently serve as Chief Executive Officer and President, respectively, of Oxford Lane Capital Corp., a ~~non-diversified closed-end~~non-diversified closed-end management investment company that invests primarily in equity and junior debt tranches of CLO vehicles, and its investment adviser, Oxford Lane Management, LLC. ~~BDC Partners~~Oxford Funds provides Oxford Lane Capital Corp. with office facilities and administrative services pursuant to an administration agreement and also serves as the managing member of Oxford Lane Management, LLC. In addition, Bruce L. Rubin serves as the Chief Financial Officer, Treasurer and Corporate Secretary of Oxford Lane Capital Corp. and Chief Financial Officer and Treasurer of Oxford Lane Management, LLC, and Mr. Cummins serves as the Chief Compliance Officer of Oxford Lane Capital Corp. and Oxford Lane Management, LLC.

As a result, certain conflicts of interest may arise with respect to the management of our portfolio by Messrs. Cohen and Rosenthal on the one hand, and the obligations of Messrs. Cohen and Rosenthal to manage Oxford Lane Capital Corp. ~~and~~, the Oxford Bridge ~~LLC,~~Funds and the Oxford Gate Funds, respectively, on the other hand.

~~TICC~~Oxford Square Management, Oxford Lane Management, LLC, Oxford Bridge Management, LLC and Oxford ~~Bridge~~Gate Management, LLC are subject to a written policy with respect to the allocation of investment opportunities among ~~TICC,~~the Company, Oxford Lane Capital Corp. ~~and~~, the Oxford Bridge ~~LLC.~~Funds and the Oxford Gate Funds. Where investments are suitable for more than one entity, the allocation policy generally provides that, depending on size and subject to current and anticipated cash availability, the absolute size of the investment as well as its relative size compared to the total assets of each entity, current and anticipated weighted average costs of capital, among other factors, ana desired investment amount will be determined by the adviser to each entity. If the investment opportunity is of a size sufficient for each entity to receive its desired investment amount, then each entity ~~receives the~~would be allocated that investment amount; otherwise, the investment amount ~~is reduced~~would be apportioned on a pro ~~rata.~~ rata basis.

On June 14, 2017, the Securities and Exchange Commission issued an order permitting ~~TICC~~the Company and certain of its affiliates to complete negotiated ~~co-investment~~co-investment transactions in portfolio companies, subject to certain conditions (the “Order”). Subject to satisfaction of certain conditions to the Order, ~~TICC~~the Company and certain of its affiliates are ~~now~~ permitted, together with any future BDCs, registered ~~closed-end~~closed-end funds and certain private funds, each of whose investment adviser is ~~TICC’s~~the Company’s investment adviser or an investment adviser controlling, controlled by, or under common control with ~~TICC’s~~the Company’s investment adviser, to ~~co-invest~~co-invest in negotiated investment opportunities

Table of Contents

where doing so would otherwise be prohibited under the 1940 Act, providing ~~TICC’s~~the Company’s stockholders with access to a broader array of investment opportunities. Pursuant to the Order, we are permitted to ~~co-invest~~co-invest in such investment opportunities with our affiliates if a “required majority” (as defined in Section 57(o) of the 1940 Act) of our independent directors make certain conclusions in connection with a ~~co-investment~~co-investment transaction, including, but not limited to, that (1) the terms of the potential ~~co-investment~~co-investment transaction, including the consideration to be paid, are reasonable and fair to us and our stockholders and do not involve overreaching in respect of us or our stockholders on the part of any person concerned, and (2) the potential ~~co-investment~~co-investment transaction is consistent with the interests of our stockholders and is consistent with our ~~then-current~~then-current investment objective and strategies. In addition, pursuant to an exemptive order issued by the SEC on April 8, 2020 and applicable to all BDCs, through December 31, 2020, we were permitted, subject to the satisfaction of certain conditions, to complete follow-on investments in our existing portfolio companies with certain other funds managed by our investment adviser or its affiliates and covered by the Order, even if such private funds had not previously invested in such existing portfolio company. Without this order, private funds would generally not be able to participate in such follow-on investments with us unless the private funds had previously acquired securities of the portfolio company in a co-investment transaction with us. Although the conditional exemptive order has expired, the SEC’s Division of Investment Management has indicated that until March 31, 2022, it will not recommend enforcement action, to the extent that any BDC with an existing co-investment order continues to engage in certain transactions described in the conditional exemptive order, pursuant to the same terms and conditions described therein.

In the ordinary course of business, we may enter into transactions with portfolio companies that may be considered related party transactions. In order to ensure that we do not engage in any prohibited transactions with any persons affiliated with us, we have implemented certain policies and procedures whereby our executive officers screen each of our transactions for any possible affiliations between the proposed portfolio investment, us, companies controlled by us and our employees and directors. We will not enter into any agreements unless and until we are satisfied that doing so will not raise concerns under

the 1940 Act or, if such concerns exist, we have taken appropriate actions to seek board review and approval or exemptive relief for such transaction. Our Board ~~of Directors~~ reviews these procedures on an annual basis.

We have also adopted a Code of Business Conduct and Ethics which applies to, among others, our senior officers, including our Chief Executive Officer and Chief Financial Officer, as well as all of our officers, directors and employees. Our Code of Business Conduct and Ethics requires that all employees and directors avoid any conflict, or the appearance of a conflict, between an individual’s personal interests and our interests. Pursuant to our Code of Business Conduct and Ethics, each employee and director must disclose any conflicts of interest, or actions or relationships that might give rise to a conflict. Our Audit Committee is charged with approving any waivers under our Code of ~~Business Conduct and~~ Ethics. As required by the NASDAQ Global Select Market corporate governance listing standards, the Audit Committee of our Board ~~of Directors~~ is also required to review and approve any transactions with related parties (as such term is defined in Item 404 of Regulation ~~S-K)~~S-K).

Information concerning related party transactions is included in the consolidated financial statements and related notes, appearing elsewhere in this quarterly report on Form ~~10-Q.~~10-Q.

RECENT DEVELOPMENTS

~~On October 27, 2017, the Board~~The following distributions payable to stockholders are shown below:

Date Declared	Record Date	Payable Dates	Per Share Distribution Amount Declared
April 22, 2021	July 16, 2021	July 30, 2021	$0.035
April 22, 2021	August 17, 2021	August 31, 2021	$0.035
April 22, 2021	September 16, 2021	September 30, 2021	$0.035
July 22, 2021	October 15, 2021	October 29, 2021	$0.035
July 22, 2021	November 16, 2021	November 30, 2021	$0.035
July 22, 2021	December 17, 2021	December 31, 2021	$0.035

Table of ~~Directors declared a distribution of $0.20 per share for the fourth quarter, payable on December 29, 2017 to shareholders of record as of December 15, 2017.~~Contents

~~On November 1, 2017, the Convertible Notes matured and were repaid in full (approximately $94.5 million) in accordance with their terms.~~

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

We are subject to financial market risks, including changes in interest rates. As of ~~September~~June 30, ~~2017, one~~2021, all debt ~~investment~~investments in our portfolio ~~was at a fixed rate, and the remaining 25 debt investments~~ were at variable interest rates, representing approximately ~~$0.8 million and $243.6~~$268.0 million in principal ~~debt, respectively. At September~~debt. As of June 30, ~~2017,~~2021, all except two of our variable rate investments were income producing. The variable rates are based upon the ~~five-year~~five-year U.S. Department of Treasury note, the Prime rate or LIBOR, and, in the case of our bilateral investments, are generally reset annually, whereas our ~~non-bilateral~~non-bilateral investments generally reset quarterly. We expect that future debt investments will generally be made at variable rates. Many of the variable rate investments contain interest rate floors.

~~To illustrate the potential impact of a change~~We may in the ~~underlying~~future hedge against interest rate onfluctuations by using standard hedging instruments such as futures, options and forward contracts. While hedging activities may insulate us against adverse changes in interest rates, they may also limit our ~~net investment income as it pertains~~ability to ~~our debt portfolio, we have assumed a 1% increase~~participate in the ~~underlying five-year Treasury note, the Prime rate or LIBOR, and no other change in our portfolio as~~benefits of ~~September 30, 2017. We have also assumed no outstanding variable rate borrowings due~~lower interest rates with respect to the ~~repayment of the TICC CLO 2012-1 secured notes. Under this analysis, net investment income would increase by $2.4 million on an annualized basis, reflecting the amount of~~ investments in our portfolio with fixed interest rates.

On March 5, 2021, the United Kingdom’s Financial Conduct Authority (the “FCA”), which ~~have implied~~regulates LIBOR, announced that (i) 24 LIBOR settings would cease to exist immediately after December 31, 2021 (all seven euro LIBOR settings; all seven Swiss franc LIBOR settings; the Spot Next, 1-week, 2-month, and 12-month Japanese yen LIBOR settings; the overnight, 1-week, 2-month, and 12-month sterling LIBOR settings; and the 1-week and 2-month US dollar LIBOR settings); (ii) the overnight and 12-month US LIBOR settings would cease to exist after June 30, 2023; and (iii) the FCA would consult on whether the remaining nine LIBOR settings should continue to be published on a synthetic basis for a certain period using the FCA’s proposed new powers that the UK government is legislating to grant to them.

Based on our Consolidated Statements of Assets and Liabilities as of June 30, 2021, the following table shows the annualized impact on net investment income of hypothetical base rate changes in interest rates for our settled investments (considering interest rate floors ~~that would be unaffected by~~for floating rate instruments), excluding CLO equity investments. The base interest rate case assumes the rates on our portfolio investments remain unchanged from the actual effective interest rates as of June 30, 2021. These hypothetical calculations are based on a ~~1% change~~model of the investments in our portfolio, held as of June 30, 2021, and are only adjusted for assumed changes in the underlying base interest ~~rate.~~rates. Although management believes that this analysis is indicative of our existing interest rate sensitivity, it does not adjust for changes in the credit quality, size and composition of our portfolio, and other business developments, including a change in the level of our borrowings, that could affect the net increase (or decrease) in net assets resulting from operations. Accordingly, no assurances can be given that actual results would not differ materially from the results under this hypothetical analysis.

We may in the future hedge against interest rate fluctuations by using standard hedging instruments such as futures, options and forward contracts. While hedging activities may insulate us against adverse changes in interest rates, they may also limit our ability to participate in the benefits of lower interest rates with respect to the investments in our portfolio with fixed interest rates.
Hypothetical Change in LIBOR
Estimated
Percentage
change in
Investment
Income
Up 300 basis points
23.1
%
Up 200 basis points
15.4
%
Up 100 basis points
7.7
%
Down 25 basis points
(0.6
)%

ITEM 4. CONTROLS AND PROCEDURES.

(a) Evaluation of Disclosure Controls and Procedures

As of ~~September~~June 30, ~~2017~~2021 (the end of the period covered by this report), we, including our Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule ~~13a-15(e)~~13a-15(e) of the Securities Exchange Act of 1934, as amended). Based on that evaluation, our management, including the Chief Executive Officer and Chief Financial Officer, concluded that our disclosure controls and procedures were effective and provided reasonable assurance that information required to be disclosed in our periodic SEC filings is recorded, processed, summarized and reported within the time

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periods specified in the SEC’s rules and forms, and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure. However, in evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the ~~cost-benefit~~cost-benefit relationship of such possible controls and procedures.

(b) Changes in Internal Control Over Financial Reporting

There have been no changes in the Company’s internal control over financial reporting (as defined in Rule ~~13a-15(f)~~13a-15(f) under the Securities Exchange Act of 1934, as amended) that occurred during the quarter ended ~~September~~June 30, ~~2017~~2021, that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

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PART II — OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS.

We are not currently subject to any material legal proceedings. From time to time, we may be a party to certain legal proceedings in the ordinary course of business, including proceedings relating to the enforcement of our rights under contracts with our portfolio companies. While the outcome of these legal proceedings, if any, cannot be predicted with certainty, we do not expect that these proceedings will have a material effect upon our financial condition or results of operations.

ITEM 1A. RISK FACTORS.

In addition to the other information set forth in this report, you should carefully consider the risk factors discussed in Item ~~1A. Risk Factors~~1A (Risk Factors) in our Annual Report on Form ~~10-K~~10-K for the fiscal year ended December 31, ~~2016, which could materially affect our business, financial condition and/or operating results.~~2020. The risks described in our Annual Report on Form ~~10-K~~10-K are not the only risks facing ~~our company.~~us. Additional risks and uncertainties not currently known to us or that we currently deem to be immaterial also may materially and adversely affect our business, financial condition and/or operating results. ~~There~~Other than the risk factors set forth below, there have been no material changes known to us during the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021, to the risk factors discussed in Item 1A. Risk Factors in our Annual Report on Form ~~10-K~~10-K for the year ended December 31, ~~2016.~~2020.

We are subject to risks related to corporate social responsibility.

Our business faces increasing public scrutiny related to environmental, social and governance (“ESG”) activities. We risk damage to our brand and reputation if we fail to act responsibly in a number of areas, such as environmental stewardship, corporate governance and transparency and considering ESG factors in our investment processes. Adverse incidents with respect to ESG activities could impact the value of our brand, the cost of our operations and relationships with investors, all of which could adversely affect our business and results of operations. Additionally, new regulatory initiatives related to ESG could adversely affect our business.

Cybersecurity risks and cyber incidents may adversely affect our business or the businesses of our portfolio companies by causing disruptions to our operations or to the operations of our portfolio companies, a compromising or corruption of our confidential information or the confidential information of our portfolio companies and/or damage to our business relationships or the business relationships of our portfolio companies, all of which could negatively impact the business, financial condition and operating results of us or our portfolio companies.

A cyber incident is considered to be any adverse event that threatens the confidentiality, integrity or availability of the information resources of us or our portfolio companies. These incidents may be an intentional attack or an unintentional event and could involve gaining unauthorized access to our information systems or those of our portfolio companies or third-party vendors for purposes of misappropriating assets, stealing confidential information, corrupting data or causing operational disruption. Despite careful security and controls design, the information technology systems of our portfolio companies and our third-party vendors, may be subject to security breaches and cyber-attacks the result of which could include disrupted operations, misstated or unreliable financial data, liability for stolen assets or information, increased cybersecurity protection and insurance costs, litigation and damage to business relationships. As our, our portfolio companies’ and our third party vendor’s reliance on technology has increased, so have the risks posed to our information systems, both internal and those provided by third-party service providers, and the information systems of our portfolio companies and third-party vendors. We have implemented processes, procedures and internal controls to help mitigate cybersecurity risks and cyber intrusions, but these measures, as well as our increased awareness of the nature and extent of a risk of a cyber-incident, do not guarantee that a cyber-incident will not occur and/or that our financial results, operations or confidential information will not be negatively impacted by such an incident. Further, the remote working conditions resulting from the COVID-19 pandemic have heightened our and our portfolio companies’ vulnerability to a cybersecurity risk or incident.

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ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS.

Sales of Unregistered Equity Securities

WeWhile we did not engage in unregistered sales of equity securities during the ~~three months~~quarter ended ~~September~~June 30, ~~2017, and~~2021, we ~~did not issue~~issued 26,458 shares of common stock under our distribution reinvestment plan. This issuance was not subject to the registration requirements of the Securities Act of 1933, as amended. The aggregate value for the shares of common stock issued under the distribution reinvestment plan during the quarter ended June 30, 2021 was approximately $124,000. During the quarter ended ~~September~~June 30, ~~2017,~~2021, as part of our ~~dividend~~distribution reinvestment plan for our common stockholders, our dividend reinvestment administrator ~~purchased 45,183~~did not purchase any shares of our common stock ~~for $0.3 million~~ in the open market to satisfy the reinvestment portion of our ~~dividends.~~distributions.

Issuer Purchases of Equity Securities

During the quarter ended June 30, 2021, no common stock was repurchased by the Company.

ITEM 3. DEFAULTS UPON SENIOR SECURITIES.

None.

ITEM 4. MINE SAFETY DISCLOSURES.

Not applicable.

ITEM 5. OTHER INFORMATION.

None.

~~II-1~~

ITEM 6. EXHIBITS.

The following exhibits are filed as part of this report or hereby incorporated by reference to exhibits previously filed with the SEC:

3.1		Articles of Incorporation (Incorporated by reference to Exhibit a. to the Registrant’s Registration Statement onForm N-2N-2 (File No. 333-109055), filed on September 23, 2003).
3.2		Articles of Amendment (Incorporated by reference to Exhibit 3.1 to the Registrant’s current report on Form 8-K filed December 3, 2007).
3.3		Third Amended and Restated Bylaws (Incorporated by reference to Exhibit 3.3 to the Registrant’s report on F~~orm~~Form 10-Q filed on November 7, 2016).
3.4		Articles of Amendment (Incorporated by reference to Exhibit 3.1 to the Registrant’s current report on Form 8-K filed March 20, 2018).
3.5		Articles of Amendment (Incorporated by reference to Exhibit 3.2 to the Registrant’s current report on Form 8-K filed March 20, 2018).
4.1		Form of Share Certificate (Incorporated by reference to Exhibit d. to the Registrant’s Registration Statement onForm N-2N-2 (File No. 333-109055), filed on September 23, 2003).
114.2		~~Computation~~Third Supplemental Indenture, dated as of ~~Per Share Earnings (included in the notes~~May 20, 2021, relating to the ~~financial statements contained in this report)~~5.50% Notes due 2028, by and between Oxford Square Capital Corp. and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit 4.1 to the Registrant’s current report on Form 8-K filed May 20, 2021).
4.3		Form of 5.50% Notes due 2028 (Incorporated by reference to Exhibit 4.2 to the Registrant’s current report on Form 8-K filed May 20, 2021).
31.1		Certification of Chief Executive Officer pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*
31.2		Certification of Chief Financial Officer pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*
32.1		Certification of Chief Executive Officer pursuant to section 906 of The Sarbanes-Oxley Act of 2002.*
32.2		Certification of Chief Financial Officer pursuant to section 906 of The Sarbanes-Oxley Act of 2002.*

____________

* Filed herewith

~~II-2~~66

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

				~~TICC~~OXFORD SQUARE CAPITAL CORP.
Date: July 29, 2021	By:	/s/ Jonathan H. Cohen
		Jonathan H. Cohen
		Chief Executive Officer
		(Principal Executive Officer)
Date: July 29, 2021	~~November 2, 2017~~	By:	/s/~~Jonathan H. Cohen~~Bruce L. Rubin
					~~Jonathan H. Cohen~~ ~~Chief Executive Officer~~ ~~(Principal Executive Officer)~~

~~Date:~~	~~November 2, 2017~~	~~By:~~	~~/s/~~Bruce L. Rubin
		Chief Financial Officer
			~~Bruce L. Rubin~~ ~~Chief Financial Officer~~ (Principal Accounting Officer)

~~II-3~~67

COMPANY/INVESTMENT⁽¹⁾	PRINCIPAL AMOUNT		COST		FAIR VALUE⁽²⁾		% of Net Assets
Senior Secured Notes
Aerospace and Defense
Novetta, LLC
first lien senior secured notes, 6.34% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022^{(4)(5)(6)(15)}	$	5,600,250	$	5,548,448	$	5,397,241
Total Aerospace and Defense			$	5,548,448	$	5,397,241	1.4	%

Business Services
Imagine! Print Solutions
second lien senior secured notes, 10.09% (LIBOR + 8.75%), (1.00% floor) due March 30, 2022^(4)(5)(15)	$	15,000,000	$	14,851,246	$	14,700,000

Polycom, Inc.
second lien senior secured notes, 11.24% (LIBOR + 10.00%), (1.00% floor) due September 27, 2024^(4)(5)(17)		13,000,000		12,756,478		13,000,000

Premiere Global Services, Inc.
senior secured notes, 7.78% (LIBOR + 6.50%), (1.00% floor) due December 8, 2021^{(4)(5)(6)(14)(15)}		15,819,410		14,607,301		15,305,279
second lien senior secured notes, 10.74% (LIBOR + 9.50%), (1.00% floor) due June 6, 2022^{(4)(5)(14)(17)}		10,000,000		9,728,198		9,875,000
Total Business Services			$	51,943,223	$	52,880,279	13.8	%

Consumer Services
Jackson Hewitt Tax Service, Inc.
first lien senior secured notes, 8.31% (LIBOR + 7.00%), (1.00% floor) due July 30, 2020^{(4)(5)(6)(15)}	$	19,601,471	$	19,296,154	$	18,817,412
Total Consumer Services			$	19,296,154	$	18,817,412	4.9	%

Diversified Insurance
AmeriLife Group LLC
first lien senior secured notes, 5.99% (LIBOR + 4.75%), (1.00% floor) due July 10, 2022^{(4)(5)(6)(17)}	$	15,447,791	$	15,329,320	$	15,196,764
Total Diversified Insurance			$	15,329,320	$	15,196,764	4.0	%

Education
Edmentum, Inc. (F/K/A “Plato, Inc.”)
first lien senior secured notes, 5.81% (LIBOR + 4.50%), (1.00% floor) Cash, 2.00% PIK due June 10, 2019^{(3)(4)(5)(6)(15)}	$	6,013,256	$	5,989,356	$	4,517,459
Total Education			$	5,989,356	$	4,517,459	1.2	%

Financial Intermediaries
First American Payment Systems
second lien senior secured notes, 11.73% (LIBOR + 10.50%), (1.00% floor) due July 6, 2024^{(4)(5)(6)(17)}	$	1,500,000	$	1,457,823	$	1,477,500

Harbortouch Payments
second lien senior secured notes, 10.74% (LIBOR + 9.50%), (1.00% floor) due October 11, 2024^{(4)(5)(6)(17)}		12,000,000		11,793,754		12,000,000
Total Financial Intermediaries			$	13,251,577	$	13,477,500	3.5	%

COMPANY/INVESTMENT⁽¹⁾	PRINCIPAL AMOUNT/SHARES		COST		FAIR VALUE⁽²⁾		% of Net Assets
Collateralized Loan Obligation — Equity Investments – (continued)
Structured Finance – (continued)
West CLO 2014-1, Ltd.
CLO subordinated notes, estimated yield 24.57% due July 18, 2026^{(9)(11)(12)(19)}	$	13,500,000	$	9,068,058	$	9,180,000

Windriver 2012-1 CLO, Ltd.
CLO subordinated notes, estimated yield 11.02% due January 17, 2024^{(9)(11)(12)(19)}		7,500,000		4,831,741		4,057,494

Zais CLO 6, Ltd.
CLO subordinated notes, estimated yield 20.32% due July 15, 2029^{(9)(11)(12)(19)}		10,500,000		9,425,570		10,185,000

CLO Equity Side Letter Related Investments^(11)(12)(13)				125,000		1,616,116
Total Structured Finance			$	195,495,102	$	173,562,605	45.4	%
Total Collateralized Loan Obligation – Equity Investments			$	195,495,102	$	173,562,605	45.4	%

Common Stock
IT Consulting
Unitek Global Services
common equity^(7)(10)		1,244,188	$	684,960	$	622,094
Total IT Consulting			$	684,960	$	622,094	0.2	%
Total Common Stock			$	684,960	$	622,094	0.2	%

Preferred Equity
IT Consulting
Unitek Global Services, Inc.
Series A Senior Preferred Equity⁽⁷⁾		3,002,455	$	2,762,421	$	3,122,553
Series A Preferred Equity⁽⁷⁾		5,706,866		3,677,000		8,046,681
Total IT Consulting			$	6,439,421	$	11,169,234	2.9	%
Total Preferred Equity			$	6,439,421	$	11,169,234	2.9	%

Warrants
IT Consulting
Unitek Global Services, Inc.
Warrants to purchase common stock⁽⁷⁾		159,795	$	—	$	—
Total IT Consulting			$	—	$	—	0.0	%
Total Warrants			$	—	$	—	0.0	%

Other Investments
Software
Algorithmic Implementations, Inc. (d/b/a “Ai Squared”)
Earnout payments^(7)(20)			$	500,000	$	500
Total Software			$	500,000	$	500	0.0	%
Total Other Investments			$	500,000	$	500	0.0	%

Total Investments in Securities⁽⁸⁾			$	442,615,897	$	421,730,553	110.3	%

	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016			Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
INVESTMENT INCOME
From non-affiliated/non-control investments:
Interest income – debt investments	$	5,306,698		$	8,570,131		$	19,096,102		$	25,405,967
Income from securitization vehicles and investments		8,086,059			8,635,834			26,081,676			22,538,250
Commitment, amendment fee income and other income		1,007,230			805,128			2,517,401			1,654,954
Total investment income from non-affiliated/non-control investments		14,399,987			18,011,093			47,695,179			49,599,171

From affiliated investments:
Interest income – debt investments		97,710			84,699			280,151			244,411
Total investment income from affiliated investments		97,710			84,699			280,151			244,411

From control investments:
Interest income – debt investments		—			—			—			567,219
Total investment income from control investments		—			—			—			567,219
Total investment income		14,497,697			18,095,792			47,975,330			50,410,801

OPERATING EXPENSES
Compensation expense		237,686			189,205			676,059			609,345
Base management fee		2,004,391			2,630,334			6,456,566			8,747,819
Professional fees		720,500			2,157,751			2,062,734			5,365,284
Interest expense		3,701,533			4,407,246			11,135,451			13,200,127
General and administrative		501,464			1,749,408			1,718,627			3,439,292
Total operating expenses before incentive fee		7,165,574			11,133,944			22,049,437			31,361,867
Net investment income incentive fee		564,370			422,828			2,827,991			1,666,594
Total operating expenses		7,729,944			11,556,772			24,877,428			33,028,461
Net investment income		6,767,753			6,539,020			23,097,902			17,382,340

Net change in unrealized appreciation/(depreciation) on investments
Non-Affiliate/non-control investments		1,884,023			39,813,458			12,643,254			60,144,518
Affiliated investments		666,278			2,520,646			588,167			4,623,812
Control investments		—			—			—			5,750,000
Total net change in unrealized appreciation/(depreciation) on investments		2,550,301			42,334,104			13,231,421			70,518,330

Net realized losses
Non-Affiliated/non-control investments		(1,066,399	)		(5,312,519	)		(5,992,111	)		(10,190,122	)
Control investments		—			—			—			(3,000,000	)
Extinguishment of debt		(2,235,636	)		(647,842	)		(3,149,338	)		(647,842	)
Total net realized losses		(3,302,035	)		(5,960,361	)		(9,141,449	)		(13,837,964	)
Net increase in net assets resulting from operations	$	6,016,019		$	42,912,763		$	27,187,874		$	74,062,706

Net increase in net assets resulting from net investment income per common share:
Basic	$	0.13		$	0.13		$	0.45		$	0.33
Diluted	$	0.13		$	0.13		$	0.45		$	0.33

Net increase in net assets resulting from operations per common share:
Basic	$	0.12		$	0.83		$	0.53		$	1.42
Diluted	$	0.12		$	0.72		$	0.53		$	1.28

Weighted average shares of common stock outstanding:
Basic		51,479,409			51,479,409			51,479,409			51,985,537
Diluted		59,727,707			61,512,561			59,727,707			62,018,689
Distributions per share	$	0.20		$	0.29		$	0.60		$	0.87

	Nine Months Ended September 30, 2017			Year Ended December 31, 2016
Increase in net assets from operations:
Net investment income	$	23,097,902		$	26,778,293
Net realized losses		(9,141,449	)		(17,022,170)
Net change in unrealized appreciation/(depreciation) on investments		13,231,421			100,605,640
Net increase in net assets resulting from operations		27,187,874			110,361,763

Distributions to shareholders
Distributions from net investment income		(30,887,645	)		(54,740,084)
Tax return of capital distributions		—			(4,976,030)
Total distributions to shareholders		(30,887,645	)		(59,716,114)

Capital share transactions:
Repurchase of common stock		—			(25,587,862)
Net decrease in net assets from capital share transactions		—			(25,587,862)
Total increase in net assets		(3,699,771	)		25,057,787
Net assets at beginning of period		385,992,498			360,934,711
Net assets at end of period (including over distributed net investment income of $48,653,633 and $40,863,890, respectively)	$	382,292,727		$	385,992,498

Capital share activity:
Shares repurchased		—			(4,917,026)
Net decrease in capital share activity		—			(4,917,026)

($ in thousands)	Carrying Value		Fair Value(2)(3)		Level 1		Level 2		Level 3
2017 Convertible Notes(1)		94,497		94,956		—		—		94,956
6.50% Unsecured Notes(1)		62,258		66,791		—		66,791		—
Total(4)	$	156,756	$	161,747	$	—	$	66,791	$	94,956

($ in thousands)	Carrying Value			Fair Value(3)		Level 1		Level 2		Level 3
TICC CLO 2012-1 LLC Class A-1 Notes, net of discount(1)	$	64,788		$	65,282	$	—	$	—	$	65,282
TICC CLO 2012-1 LLC Class B-1 Notes, net of discount(1)		19,633			20,025		—		—		20,025
TICC CLO 2012-1 LLC Class C-1 Notes, net of discount(1)		22,375			23,058		—		—		23,058
TICC CLO 2012-1 LLC Class D-1 Notes, net of discount(1)		20,290			21,210		—		—		21,210
TICC CLO 2012-1 LLC deferred debt issuance costs(2)		(1,232	)		—		—		—		—
Sub-total TICC CLO 2012-1, LLC Notes(1)(2)		125,854			129,575		—		—		129,575
2017 Convertible Notes(2)(4)		94,117			96,906		—		—		96,906
Total	$	219,971		$	226,481	$	—	$	—	$	226,481

	September 30, 2017		December 31, 2016
Cash	$	—	$	—
Cash Equivalents		119,601,494		8,261,698
Total Cash and Cash Equivalents	$	119,601,494	$	8,261,698
Restricted Cash	$	—	$	3,451,636

	Three Months Ended September 30, 2017								Three Months Ended September 30, 2016
($ in thousands)	Stated Interest Expense		Note Discount		Amortization of Deferred Debt Issuance Costs		Total		Stated Interest Expense		Note Discount		Amortization of Deferred Debt Issuance Costs		Total
TICC CLO 2012-1 LLC Class A-1 Notes	$	42.1	$	1.6	$	—	$	43.7	$	1,019.2	$	46.0	$	—	$	1,065.2
TICC CLO 2012-1 LLC Class B-1 Notes		143.3		8.4		—		151.7		216.1		13.7		—		229.8
TICC CLO 2012-1 LLC Class C-1 Notes		208.7		14.1		—		222.8		322.0		22.9		—		344.9
TICC CLO 2012-1 LLC Class D-1 Notes		222.6		15.9		—		238.5		347.6		25.8		—		373.4
TICC CLO 2012-1 amortization of deferred debt		—		—		16.1		16.1		—		—		81.6		81.6
Convertible Notes		1,772.7		—		128.2		1,900.9		2,156.3		—		156.0		2,312.3
6.50% Unsecured Notes		1,046.0		—		81.8		1,127.8		—		—		—		—
Total	$	3,435.4	$	40.0	$	226.1	$	3,701.5	$	4,061.2	$	108.4	$	237.6	$	4,407.2

	Nine Months Ended September 30, 2017								Nine Months Ended September 30, 2016
($ in thousands)	Stated Interest Expense		Note Discount		Amortization of Deferred Debt Issuance Costs		Total		Stated Interest Expense		Note Discount		Amortization of Deferred Debt Issuance Costs		Total
TICC CLO 2012-1 LLC Class A-1 Notes	$	623.8	$	25.4	$	—	$	649.2	$	3,089.1	$	145.3	$	—	$	3,234.4
TICC CLO 2012-1 LLC Class B-1 Notes		600.0		35.4		—		635.4		629.2		40.7		—		669.9
TICC CLO 2012-1 LLC Class C-1 Notes		878.4		59.4		—		937.8		943.2		68.1		—		1,011.3
TICC CLO 2012-1 LLC Class D-1 Notes		939.7		67.0		—		1,006.7		1,021.5		76.5		—		1,098.0
TICC CLO 2012-1 amortization of deferred debt		—		—		91.7		91.7		—		—		253.0		253.0
Convertible Notes		5,318.0		—		380.5		5,698.5		6,468.9		—		464.6		6,933.5
6.50% Unsecured Notes		1,964.2		—		152.0		2,116.2		—		—		—		—
Total	$	10,324.1	$	187.2	$	624.2	$	11,135.5	$	12,151.9	$	330.6	$	717.6	$	13,200.1

TICC CLO 2012-1 LLC ($ in thousands)	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016			Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Stated interest expense	$	616.7		$	1,904.9		$	3,041.9		$	5,683.0
Amortization of deferred issuance costs		16.1			81.6			91.7			253.0
Note discount expense		40.0			108.4			187.2			330.6
Total interest expense	$	672.8		$	2,094.9		$	3,320.8		$	6,266.6
Effective annualized average interest rate		5.98	%		3.70	%		5.33	%		3.56	%
Cash paid for interest	$	1,031.6		$	1,960.0		$	3,591.2		$	5,652.4

6.50% Unsecured Notes ($ in thousands)	Three Months Ended September 30, 2017			Nine Months Ended September 30, 2017
Stated interest expense	$	1,046.0		$	1,964.2
Amortization of deferred issuance costs		81.8			152.0
Total interest expense	$	1,127.8		$	2,116.2
Effective annualized average interest rate		6.95	%		6.98%
Cash paid for interest	$	1,046.0		$	1,952.6

2017 Convertible Notes ($ in thousands)	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016			Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Stated interest expense	$	1,772.7		$	2,156.3		$	5,318.0		$	6,468.8
Amortization of deferred issuance costs		128.2			156.0			380.5			464.7
Total interest expense	$	1,900.9		$	2,312.3		$	5,698.5		$	6,933.5
Effective annualized average interest rate		7.98	%		7.98	%		8.06	%		8.03	%
Cash paid for interest	$	—		$	—		$	3,545.3		$	4,312.5

Period	Total Number of Shares Purchased	Average Price Paid Per Share	Total Number of Shares Purchased as Part of Publicly Announced Program	Maximum Number (or Approximate Dollar Value) of Shares that May Yet Be Purchased Under the Program
January 1, 2016 – January 31, 2016	2,155,303	5.48	2,155,303	39.5 million
February 1, 2016 – February 29, 2016	2,562,494	4.97	2,562,494	26.8 million
March 1, 2016 – March 31, 2016	199,229	5.17	199,229	25.8 million
April 1, 2016 – April 30, 2016	—		—	25.8 million
May 1, 2016 – May 31, 2016	—		—	25.8 million
June 1, 2016 – June 30, 2016	—		—	—
July 1, 2016 – July 30, 2016	—		—	—
August 1, 2016 – August 31, 2016	—		—	—
September 1, 2016 – September 30, 2016	—		—	—
Total – nine months ended September 30, 2016	4,917,026		4,917,026

($ in millions)	New Investments		Debt Repayments		Reductions to CLO Equity Cost(1)		Sales of Securities
Quarter ended
September 30, 2017	$	31.2	$	50.3	$	3.2	$	12.5
June 30, 2017		89.3		57.1		16.1		60.4
March 31, 2017		47.6		51.6		12.1		81.2
Total⁽²⁾	$	168.1	$	159.0	$	31.3	$	154.1
December 31, 2016	$	27.0	$	1.9	$	3.9	$	51.6
September 31, 2016		58.4		50.5		9.4		74.7
June 30, 2016		73.4		60.0		9.5		36.0
March 31, 2016		12.8		2.7		11.4		14.5
Total⁽²⁾	$	171.6	$	115.1	$	34.2	$	176.8

	Three Months Ended September 30, 2017		Three Months Ended September 30, 2016		Nine Months Ended September 30, 2017		Nine Months Ended September 30, 2016
Interest income
Stated interest income	$	5,091,751	$	8,251,446	$	18,337,423	$	25,231,480
Original issue discount and market discount income		244,751		344,332		827,746		801,621
Payment-in-kind income		59,446		55,898		173,347		163,922
Discount income derived from unscheduled remittances at par		8,460		3,154		37,737		20,574
Total interest income	$	5,404,408	$	8,654,830	$	19,376,253	$	26,217,597
Income from securitization vehicles	$	8,086,059	$	8,635,834	$	26,081,676	$	22,538,250

Commitment, amendment and other fee income
Fee letters	$	314,007	$	339,005	$	1,051,207	$	1,014,785
Loan prepayment and bond call fees		300,000		330,000		570,212		358,381
All other fees		393,223		136,123		895,982		281,788
Total commitment, amendment and other fee income	$	1,007,230	$	805,128	$	2,517,401	$	1,654,954
Total investment income	$	14,497,697	$	18,095,792	$	47,975,330	$	50,410,801

Portfolio Company	Change in Unrealized Appreciation/ (Depreciation)
Birch Communications, Inc.		3.0
Ares XXIX CLO Ltd.	$	2.3
Net all other(1)		(2.7	)
Total	$	2.6

Portfolio Company	Change in Unrealized Appreciation/ (Depreciation)
Source Hov, LLC	$	6.2
Mountain Hawk III CLO, Ltd.		3.6
Shackleton 2013-IV CLO, Ltd.		3.5
Benefit Street 2013 CLO Equity		2.8
Aricent Technologies, Inc.		2.0
Ares XXIX CLO Ltd.		1.5
Marea CLO Equity		1.3
Halcyon Loan Advisors Funding 2012-4 Ltd.		1.3
Ares XXV CLO Ltd.		1.1
Windriver 2012-1 CLO Equity, Ltd.		(1.1	)
York 2014-1A CLO Equity		(1.3	)
KVK CLO 2013-2, Ltd.		(1.6	)
Electric Lightwave Holdings, Inc. (F/K/A “Integra Telecom Holdings, Inc.”)		(2.4	)
Net all other⁽¹⁾		(3.7	)
Total	$	13.2

	Three Months Ended September 30, 2017				Three Months Ended September 30, 2016
	Amount		Per Share Amounts		Amount		Per Share Amounts
Net investment income	$	6,767,753	$	0.131	$	6,539,020	$	0.127
CLO equity additional distributions		47,456		0.001		9,359,695		0.182
Core net investment income	$	6,815,209	$	0.132	$	15,898,715	$	0.309

	Nine Months Ended September 30, 2017				Nine Months Ended September 30, 2016
	Amount		Per Share Amounts		Amount		Per Share Amounts
Net investment income	$	23,097,902	$	0.449	$	17,382,340	$	0.334
CLO equity additional distributions		4,333,407		0.084		30,289,507		0.583
Core net investment income	$	27,431,309	$	0.533	$	47,671,847	$	0.917

				Three Months Ended September 30, 2017				Nine Months Ended September 30, 2017
TICC CLO 2012-1 LLC ($ in thousands)	Stated Interest Rate		LIBOR Spread (basis points)	Cash Paid for Interest		Stated Interest Expense		Cash Paid for Interest		Stated Interest Expense
Class A-1 Notes	2.93867	%	175	$	70.5	$	42.1	$	803.6	$	623.8
Class B-1 Notes	4.68867	%	350		239.6		143.3		691.0		600.0
Class C-1 Notes	5.93867	%	475		349.1		208.7		1,012.7		878.4
Class D-1 Notes	6.93867	%	575		372.4		222.6		1,083.9		939.7
Total(1)				$	1,031.6	$	616.7	$	3,591.2	$	3,041.9

Hypothetical Change in LIBOR	Estimated Percentage change in Investment Income
Up 300 basis points	23.1	%
Up 200 basis points	15.4	%
Up 100 basis points	7.7	%
Down 25 basis points	(0.6	)%