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

FORM ~~10-Q~~10-Q

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

FOR THE QUARTERLY PERIOD ENDED March31, 2021

		~~FOR THE QUARTERLY PERIOD ENDED MARCH31, 2020~~
		£		TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

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

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

(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

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 during the preceding ~~12months~~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. Yes S No £

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding ~~12months~~12 months (or for such shorter period that the registrant was required to submit such files). Yes £ No £

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a 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 of the Exchange Act. (Check one):

		Large accelerated filer£		Accelerated filerS£
		Non-accelerated filer£S		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 of the Exchange Act). Yes £ No S

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 ~~April28, 2020~~April 28, 2021, was ~~49,589,607.~~49,597,964.

OXFORD SQUARE CAPITAL CORP.

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION		1
Item 1.	Financial Statements	1
	Consolidated Statements of Assets and Liabilities as of March 31, ~~2020~~2021 (unaudited) and December 31, ~~2019~~2020	1
	Consolidated Schedule of Investments as of March 31, ~~2020~~2021 (unaudited)	2
	Consolidated Schedule of Investments as of December 31, ~~2019~~2020	109
	Consolidated Statements of Operations for the three months ended March 31, ~~2020~~2021 and ~~2019~~2020 (unaudited)	1816
	Consolidated Statements of Changes in Net Assets for the three months ended March 31, ~~2020~~2021 and ~~2019~~2020 (unaudited)	1917
	Consolidated Statements of Cash Flows for the three months ended March 31, ~~2020~~2021 and ~~2019~~2020 (unaudited)	2018
	Notes to Consolidated Financial Statements (unaudited)	2119
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	46
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	62
Item 4.	Controls and Procedures	63

PART II. OTHER INFORMATION		64
Item 1.	Legal Proceedings	64
Item 1A.	Risk Factors	64
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	6664
Item 3.	Defaults Upon Senior Securities	6664
Item 4.	Mine Safety Disclosures	6664
Item 5.	Other Information	6664
Item 6.	Exhibits	6765
SIGNATURES		6866

PART I — FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

March 31,
2020

December 31,
2019

(unaudited)

ASSETS

Non-affiliated/non-control investments (cost: $450,240,880 and $467,828,907, respectively)

$
261,381,550

$
361,985,203

Affiliated investments (cost: $16,836,822 and $16,836,822, respectively)

384,296

2,816,790

Cash equivalents

7,825,820

14,410,486

Restricted cash

—

2,050,452

Securities sold not settled

1,732,979

—

Interest and distributions receivable

1,566,824

3,480,036

Other assets

490,255

523,626

Total assets

$
273,381,724

$
385,266,593

LIABILITIES

Notes payable – 6.50% Unsecured Notes (net of deferred issuance costs of $1,299,705 and $1,380,658, respectively)

$
63,070,520

$
62,989,567

Notes payable – 6.25% Unsecured Notes (net of deferred issuance costs of $1,418,749 and $1,476,878, respectively)

43,372,001

43,313,872

Notes payable – Credit Facility (net of deferred issuance costs of $10,051)

—

28,080,550

Base management fee and net investment income incentive fee payable to affiliate

1,231,210

1,480,653

Accrued interest payable

481,498

632,235

Accrued expenses

487,944

771,174

Total liabilities

108,643,173

137,268,051

COMMITMENTS AND CONTINGENCIES (Note 13)

NET ASSETS

Common stock, $0.01 par value, 100,000,000 shares authorized; 49,589,607 and 48,448,987 shares issued and outstanding, respectively

495,895

484,489

Capital in excess of par value

457,810,322

451,839,302

Total accumulated losses

(293,567,666
)

(204,325,249
)
Total net assets

164,738,551

247,998,542

Total liabilities and net assets

$
273,381,724

$
385,266,593

Net asset value per common share

$
3.32

$
5.12

	March 31, 2021			December 31, 2020
	(unaudited)
ASSETS
Non-affiliated/non-control investments (cost: $402,424,840 and $407,547,351, respectively)	$	320,597,611		$	294,674,000
Affiliated investments (cost: $16,836,822 and $16,836,822, respectively)		—			—
Cash equivalents		39,749,201			59,137,284
Interest and distributions receivable		1,747,323			2,299,259
Securities sold not settled		—			950,000
Other assets		566,971			597,238
Total assets	$	362,661,106		$	357,657,781
LIABILITIES
Notes payable – 6.50% Unsecured Notes, net of deferred issuance costs of $975,001 and $1,055,065, respectively	$	63,395,224		$	63,315,160
Notes payable – 6.25% Unsecured Notes, net of deferred issuance costs of $1,185,591 and $1,243,082, respectively		43,605,159			43,547,668
Securities purchased not settled		10,945,000			23,156,556
Base Fee and Net Investment Income Incentive Fee payable to affiliate		1,389,250			1,159,703
Accrued interest payable		478,191			478,191
Accrued expenses		802,669			573,977
Total liabilities		120,615,493			132,231,255
COMMITMENTS AND CONTINGENCIES (Note 13)
NET ASSETS
Common stock, $0.01 par value, 100,000,000 shares authorized; 49,597,964 and 49,589,607 shares issued and outstanding, respectively		495,979			495,895
Capital in excess of par value		452,686,971			452,650,210
Total distributable earnings/(accumulated losses)		(211,137,337	)		(227,719,579	)
Total net assets		242,045,613			225,426,526
Total liabilities and net assets	$	362,661,106		$	357,657,781
Net asset value per common share	$	4.88		$	4.55

See Accompanying Notes.

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)
March 31, ~~2020~~2021

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS		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	$	5,457,380	$	5,411,988	$	4,729,147
first lien senior secured notes, 6.00% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(16)										November 20, 2014	$	5,400,380	$	5,368,303	$	5,370,029
Total Aerospace and Defense				$	5,411,988	$	4,729,147	2.9	%				$	5,368,303	$	5,370,029	2.2	%

Business Services
Access CIG, LLC
first lien senior secured notes, 5.53% (LIBOR + 3.75%), (0.00% floor) due February 27, 2025(4)(5)(6)(14)(16)	June 12, 2018	$	490,005	$	490,005	$	396,292
second lien senior secured notes, 9.53% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(14)(16)	February 14, 2018		16,754,000		16,843,717		13,989,590
second lien senior secured notes, 7.87% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(14)(15)										February 14, 2018	$	16,754,000	$	16,832,870	$	16,649,288

Convergint Technologies, LLC
second lien senior secured notes, 7.74% (LIBOR + 6.75%), (0.75% floor) due February 2, 2026(4)(5)(15)	January 29, 2018		1,500,000		1,493,073		1,275,000

Imagine! Print Solutions
second lien senior secured notes, 10.36% (LIBOR + 8.75%), (1.00% floor) due June 21, 2023(4)(5)(15)(17)	June 14, 2017		15,000,000		14,466,334		1,500,000
second lien senior secured notes, 7.50% (LIBOR + 6.75%), (0.75% floor) due March 19, 2029(4)(5)(15)										March 18, 2021		11,000,000		10,945,000		11,000,000

OMNIA Partners, Inc.
second lien senior secured notes, 8.95% (LIBOR + 7.50%), (0.00% floor) due May 22, 2026(4)(5)(14)(16)	May 17, 2018		14,000,000		13,942,528		11,200,000
second lien senior secured notes, 7.70% (LIBOR + 7.50%), (0.00% floor) due May 22, 2026(4)(5)(14)(16)										May 17, 2018		14,000,000		13,951,391		13,370,000

Premiere Global Services, Inc.
first lien senior secured notes,8.24% (LIBOR + 6.50%), (1.00% floor) due June 8, 2023(4)(5)(6)(14)(16)	October 1, 2019		14,299,639		13,700,738		8,007,798
second lien senior secured notes, 0.50% Cash,10.85% PIK (LIBOR + 9.00%) (1.00% floor) due June 6, 2024(3)(4)(5)(14)(16)(17)	October 1, 2019		10,525,601		9,817,795		3,683,960
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		14,273,926		13,847,169		12,405,469
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)(14)(17)										October 1, 2019		11,673,898		9,817,795		3,562,874

Verifone Systems, Inc.
first lien senior secured notes, 5.69% (LIBOR + 4.00%), (0.00% floor) due August 20, 2025(4)(5)(6)(16)	August 9, 2018		6,912,500		6,884,274		4,262,731
first lien senior secured notes, 4.18% (LIBOR + 4.00%), (0.00% floor) due August 20, 2025(4)(5)(6)(14)(16)										August 9, 2018		13,804,390		13,237,559		13,493,791
Total Business Services				$	77,638,464	$	44,315,371	26.9	%				$	78,631,784	$	70,481,422	29.1	%

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)(25)	March 18, 2020	$	7,500,000	$	7,350,507	$	6,375,000
second lien senior secured notes, 9.50% (LIBOR + 8.50%), (1.00% floor) due March 18, 2028(4)(5)(16)										March 18, 2020	$	11,000,000	$	10,804,280	$	11,000,000

AIS Intermediate, LLC
first lien senior secured notes, 5.21% (LIBOR + 5.00%), (1.00% floor) due August 15, 2025(4)(5)(6)(16)										January 7, 2021		11,577,124		11,131,847		11,229,810
Total Diversified Insurance				$	7,350,507	$	6,375,000	3.9	%				$	21,936,127	$	22,229,810	9.2	%

(continued on next page)

See Accompanying Notes.

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March 31, ~~2020~~2021

COMPANY/INVESTMENT(1)(20)

ACQUISITION
DATE

PRINCIPAL
AMOUNT

COST

FAIR
VALUE(2)

% OF
NET
ASSETS
Senior Secured Notes –(continued)

Education

Edmentum, Inc. (f/k/a Plato, Inc.)

first lien senior secured notes, 5.14%
(LIBOR + 4.50%), (1.00% floor) Cash, 4.00% PIK due June 9, 2021(3)(4)(5)(6)(16)

April 25, 2013

$
6,114,981

$
6,093,032

$
5,136,584

Total Education

$
6,093,032

$
5,136,584

3.1
%

Financial Intermediaries

Shift4 Payments, LLC (f/k/a Lighthouse Network, LLC)

second lien senior secured notes, 10.28% (LIBOR + 8.50%), (1.00% floor) due November 30, 2025(4)(5)(14)(16)

November 20, 2017

$
16,490,000

$
16,359,535

$
12,367,500

Total Financial Intermediaries

$
16,359,535

$
12,367,500

7.5
%

Healthcare

Keystone Acquisition Corp.

first lien senior secured notes, 6.70%
(LIBOR + 5.25%), (1.00% floor) due
May 1, 2024(4)(5)(6)(14)(16)

May 10, 2017

$
7,438,796

$
7,413,337

$
5,988,231

second lien senior secured notes, 10.70% (LIBOR + 9.25%), (1.00% floor) due
May 1, 2025(4)(5)(14)(16)

May 10, 2017

13,000,000

12,875,981

9,750,000

Viant Medical Holdings, Inc.

first lien senior secured notes, 5.20%
(LIBOR + 3.75%), (0.00% floor) due
July 2, 2025(4)(5)(6)(14)(16)

June 26, 2018

9,850,000

9,849,014

8,480,850

second lien senior secured notes, 9.20% (LIBOR + 7.75%), (0.00% floor) due
July 2, 2026(4)(5)(14)(16)

June 26, 2018

5,000,000

4,957,083

3,437,500

Healthport Technologies, LLC

first lien senior secured notes, 5.70%
(LIBOR + 4.25%), (1.00% floor) due December 1, 2021(4)(5)(6)(14)(16)

April 12, 2019

16,554,438

15,117,235

12,796,581

HealthChannels, Inc. (f/k/a ScribeAmerica, LLC)

first lien senior secured notes, 5.11%
(LIBOR + 4.50%), (0.00% floor) due
April 3, 2025(4)(5)(6)(14)(15)

October 31, 2018

9,836,810

9,778,867

8,558,025

Total Healthcare

$
59,991,517

$
49,011,187

29.8
%

Logistics

Capstone Logistics Acquisition, Inc.

first lien senior secured notes, 5.57%
(LIBOR + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(14)(25)

October 3, 2014

$
12,917,066

$
12,904,165

$
10,979,506

Total Logistics

$
12,904,165

$
10,979,506

6.7
%

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Senior Secured Notes – (continued)
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	$	7,362,500	$	7,344,464	$	7,070,724
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		12,898,022		12,055,680

New Trojan Parent, Inc. (f/k/a Careismatic Brands)
second lien senior secured notes, 7.75% (LIBOR + 7.25%), (0.00% floor) due January 5, 2029(4)(5)(15)	January 22, 2021		7,000,000		6,934,075		6,930,000

Viant Medical Holdings, Inc.
first lien senior secured notes, 3.86% (LIBOR + 3.75%), (0.00% floor) due July 2, 2025(4)(5)(6)(14)(15)	June 26, 2018		9,750,000		9,749,155		9,439,268
second lien senior secured notes, 7.86% (LIBOR + 7.75%), (0.00% floor) due July 2, 2026(4)(5)(14)(15)	June 26, 2018		5,000,000		4,962,882		4,545,000

HealthChannels, Inc. (f/k/a ScribeAmerica, LLC)
first lien senior secured notes, 4.61% (LIBOR + 4.50%), (0.00% floor) due April 3, 2025(4)(5)(6)(14)(15)	October 31, 2018		13,802,411		13,566,142		13,181,302
Total Healthcare				$	55,454,740	$	53,221,974	22.0	%

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	$	7,422,545	$	6,715,974	$	7,051,418
Total Plastics Manufacturing				$	6,715,974	$	7,051,418	2.9	%

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	$	13,232,220	$	13,320,288
Total Software				$	13,232,220	$	13,320,288	5.5	%

Telecommunications Services
Global Tel Link Corp.
second lien senior secured notes, 8.36% (LIBOR + 8.25%), (0.00% floor) due November 29, 2026(4)(5)(14)(15)	November 20, 2018	$	17,000,000	$	16,763,398	$	14,450,000
Total Telecommunication Services				$	16,763,398	$	14,450,000	6.0	%

(continued on next page)

See Accompanying Notes.

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March 31, ~~2020~~2021

COMPANY/INVESTMENT(1)(20)

ACQUISITION
DATE

PRINCIPAL
AMOUNT

COST

FAIR
VALUE(2)

% OF
NET
ASSETS
Senior Secured Notes –(continued)

Software

ECI Software Solutions, Inc.

first lien senior secured notes, 5.70%
(LIBOR + 4.25%), (1.00% floor) due September 27, 2024(4)(5)(6)(14)(16)

June 28, 2018

$
2,904,613

$
2,908,668

$
2,527,013

second lien senior secured notes, 9.45% (LIBOR + 8.00%), (1.00% floor) due September 29, 2025(4)(5)(14)(16)

September 19, 2017

15,000,000

14,918,149

12,000,000

Quest Software, Inc.

first lien senior secured notes, 6.03%
(LIBOR + 4.25%), (0.00% floor) due
May 16, 2025(4)(5)(6)(14)(16)

May 17, 2018

5,925,000

5,901,062

5,347,313

second lien senior secured notes, 10.03% (LIBOR + 8.25%), (0.00% floor) due
May 18, 2026(4)(5)(14)(16)

May 17, 2018

15,000,000

14,871,046

11,025,000

Total Software

$
38,598,925

$
30,899,326

18.8
%

Telecommunications Services

Global Tel Link Corp.

second lien senior secured notes, 9.70% (LIBOR + 8.25%), (0.00% floor) due November 29, 2026(4)(5)(14)(16)

November 20, 2018

$
17,000,000

$
16,728,636

$
13,600,000

Total Telecommunication Services

$
16,728,636

$
13,600,000

8.3
%

Utilities

CLEAResult Consulting, Inc.

first lien senior secured notes, 4.49%
(LIBOR + 3.50%), (0.00% floor) due August 8, 2025(4)(5)(6)(14)(15)

August 2, 2018

$
4,925,000

$
4,905,244

$
3,964,625

second lien senior secured notes, 8.05% (LIBOR + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(14)(15)

August 3, 2018

7,650,000

7,672,262

6,196,500

Total Utilities

$
12,577,506

$
10,161,125

6.2
%
Total Senior Secured Notes

$
253,654,275

$
187,574,746

113.9
%

Collateralized Loan Obligation – DebtInvestments

Structured Finance

Galaxy XXVIII CLO, Ltd.

CLO secured class F notes, 10.31%
(LIBOR + 8.48%), due July 15,
2031(4)(5)(11)(12)(16)

June 29, 2018

$
1,000,000

$
934,875

$
471,500

Total Structured Finance

$
934,875

$
471,500

0.3
%
Total Collateralized Loan Obligation – Debt Investments

$
934,875

$
471,500

0.3
%

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, 7.36% (LIBOR + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(15)	August 3, 2018	$	7,650,000	$	7,668,666	$	7,267,500
Total Utilities				$	7,668,666	$	7,267,500	3.0	%
Total Senior Secured Notes				$	205,771,212	$	193,392,441	79.9	%

Collateralized Loan Obligation – Equity Investments
Structured Finance
Atlas Senior Loan Fund XI, Ltd.
CLO subordinated notes, estimated yield 5.37% due July 26, 2031(9)(11)(12)(18)(24)	April 5, 2019	$	5,725,000	$	3,983,974	$	2,633,500

Babson CLO Ltd. 2015-I
CLO subordinated notes, estimated yield 0.00% due January 20, 2031(9)(11)(12)(18)	July 26, 2018		2,840,000		1,613,414		937,200

BlueMountain CLO 2014-2 Ltd.
CLO subordinated notes, estimated yield 12.15% due October 20, 2030(9)(11)(12)(18)	April 3, 2019		6,374,000		2,846,201		1,784,720

Carlyle Global Market Strategies CLO 2013-2, Ltd.
CLO subordinated notes, estimated yield 5.22% due January 18, 2029(9)(11)(12)(18)(24)	March 19, 2013		6,250,000		3,207,719		1,814,434

Cedar Funding II CLO, Ltd.
CLO subordinated notes, estimated yield 10.89% due June 09, 2030(9)(11)(12)(18)	October 23, 2013		18,000,000		11,313,764		9,720,000

Cedar Funding VI CLO, Ltd.
CLO subordinated notes, estimated yield 12.63% due October 20, 2028(9)(11)(12)(18)	May 15, 2017		7,700,000		6,875,715		5,621,000

CIFC Funding 2014-3, Ltd.
CLO subordinated notes, estimated yield 8.03% due October 22, 2031(9)(11)(12)(18)(25)	January 24, 2017		10,000,000		5,532,766		3,900,000

Madison Park Funding XVIII, Ltd.
CLO subordinated notes, estimated yield 35.02% due October 21, 2030(9)(11)(12)(18)(24)	May 22, 2020		12,500,000		5,407,455		7,375,000

Madison Park Funding XIX, Ltd.
CLO subordinated notes, estimated yield 14.73% due January 22, 2028(9)(11)(12)(18)(24)	May 11, 2016		5,422,500		4,191,860		3,849,975

Nassau 2019-I Ltd.
CLO subordinated notes, estimated yield 14.40% due April 15, 2031(9)(11)(12)(18)(24)	April 11, 2019		23,500,000		17,260,189		11,045,000

Octagon Investment Partners 37, Ltd.
CLO subordinated notes, estimated yield 48.14% due July 25, 2030(9)(11)(12)(18)(24)	May 12, 2020		3,598,540		1,664,982		2,788,869

(continued on next page)

See Accompanying Notes.

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March 31, ~~2020~~2021

COMPANY/INVESTMENT(1)(20)

ACQUISITION
DATE

PRINCIPAL
AMOUNT

COST

FAIR
VALUE(2)

% OF
NET
ASSETS
Collateralized Loan Obligation – EquityInvestments

Structured Finance

AMMC CLO XI, Ltd.

CLO subordinated notes, estimated yield 14.05% due April 30, 2031(9)(11)(12)(18)(26)

March 12, 2015

$
6,000,000

$
3,786,976

$
1,800,000

AMMC CLO XII, Ltd.

CLO subordinated notes, estimated
yield 11.89% due November 10,
2030(9)(11)(12)(18)(26)

March 13, 2013

12,921,429

7,223,507

3,230,357

Atlas Senior Loan Fund XI, Ltd.

CLO subordinated notes, estimated yield 18.58% due July 26, 2031(9)(11)(12)(18)(26)

April 5, 2019

5,725,000

4,279,553

1,717,500

Babson CLO Ltd. 2015-I

CLO subordinated notes, estimated yield 8.49% due January 20, 2031(9)(11)(12)(18)

July 26, 2018

2,840,000

1,723,276

568,000

BlueMountain CLO 2014-2 Ltd.

CLO subordinated notes, estimated yield 22.46% due October 20, 2030(9)(11)(12)(18)

April 3, 2019

6,374,000

2,625,764

1,274,800

Carlyle Global Market Strategies CLO 2013-2, Ltd.

CLO subordinated notes, estimated yield 13.00% due January 18, 2029(9)(11)(12)(18)(26)

March 19, 2013

6,250,000

3,870,305

2,062,500

Cedar Funding II CLO, Ltd.

CLO subordinated notes, estimated yield 7.76% due June 09, 2030(9)(11)(12)(18)

October 23, 2013

18,000,000

12,622,203

4,680,000

Cedar Funding VI CLO, Ltd.

CLO subordinated notes, estimated yield 10.48% due October 20, 2028(9)(11)(12)(18)

May 15, 2017

7,700,000

7,288,772

2,772,000

CIFC Funding 2014-3, Ltd.

CLO subordinated notes, estimated yield 12.56% due October 22,
2031(9)(11)(12)(18)(26)

January 24, 2017

10,000,000

6,093,432

2,700,000

Galaxy XXVIII CLO, Ltd.

CLO subordinated notes, estimated yield 14.29% due July 15, 2031(9)(11)(12)(18)

July 25, 2017

2,000,000

959,051

362,770

Hull Street CLO Ltd.

CLO subordinated notes, estimated yield 0.00% due October 18, 2026(9)(11)(12)(18)(26)

October 17, 2014

5,000,000

1,049,476

500

Ivy Hill Middle Market Credit Fund VII, Ltd.

CLO subordinated notes, estimated yield 7.78% due October 20, 2029(9)(11)(12)(18)(26)

October 3, 2013

10,800,000

8,648,103

4,140,993

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Octagon Investment Partners 45, Ltd.
CLO subordinated notes, estimated yield 36.65% due October 15, 2032(9)(11)(12)(18)	May 13, 2020	$	3,750,000	$	2,233,960	$	2,907,091

Octagon Investment Partners 49, Ltd.
CLO subordinated notes, estimated yield 18.39% due January 15, 2033(9)(11)(12)(14)(18)	December 11, 2020		28,875,000		23,167,334		22,666,875

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		34,506,544		20,020,000

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		6,521,724		2,016,116

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		855,000

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		3,274,300		631,248

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		360,000

Venture 35 CLO, Limited
CLO subordinated notes, estimated yield 27.98% due October 22, 2031(9)(11)(12)(18)	December 7, 2020		3,000,000		1,458,401		1,410,000

Venture 39 CLO, Limited
CLO subordinated notes, estimated yield 42.34% due April 15, 2033(9)(11)(12)(18)	May 8, 2020		5,150,000		2,992,262		3,708,000

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		10,075,015		5,390,000

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		2,068,419		462,500

Westcott Park CLO, Ltd.
CLO subordinated notes, estimated yield 35.19% due July 20, 2028(9)(11)(12)(18)	September 16, 2020		19,000,000		8,753,012		9,880,000

(continued on next page)

See Accompanying Notes.

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March ~~31, 2020~~

COMPANY/INVESTMENT(1)(20)

ACQUISITION
DATE

PRINCIPAL AMOUNT

COST

FAIR
VALUE(2)

% OF
NET
ASSETS
Collateralized Loan Obligation – EquityInvestments–(continued)

Structured Finance–(continued)

Madison Park Funding XIX, Ltd.

CLO subordinated notes, estimated yield 8.82% due January 22, 2028(9)(11)(12)(18)(26)

May 11, 2016

$
5,422,500

$
4,867,058

$
2,711,250

Nassau 2019-I Ltd.

CLO subordinated notes, estimated yield 24.61% due April 15, 2031(9)(11)(12)(14)(18)(26)

April 11, 2019

23,500,000

19,188,330

12,220,000

Octagon Investment Partners 38, Ltd.

CLO subordinated notes, estimated yield 15.15% due July 20, 2030(9)(11)(12)(18)(26)

July 12, 2018

5,000,000

4,132,859

2,250,000

Regatta XV Funding, Ltd.

CLO subordinated notes, estimated yield 0.00% due October 25, 2026(9)(10)(11)(12)(18)

October 19, 2016

3,000,000

—

66,000

Sound Point CLO XVI, Ltd.

CLO subordinated notes, estimated yield 3.53% due July 25, 2030(9)(11)(12)(14)(18)

August 1, 2018

45,500,000

40,538,840

14,560,000

Telos CLO 2013-3, Ltd.

CLO subordinated notes, estimated yield 0.00% due July 17, 2026(9)(11)(12)(18)(26)

January 25, 2013

14,447,790

6,237,524

144,478

Telos CLO 2013-4, Ltd.

CLO subordinated notes, estimated yield 12.09% due January 17, 2030(9)(11)(12)(18)(26)

May 20, 2015

11,350,000

7,229,894

2,270,000

Telos CLO 2014-5, Ltd.

CLO subordinated notes, estimated yield 13.18% due April 17, 2028(9)(11)(12)(18)

April 11, 2014

28,500,000

18,179,226

3,705,000

Venture XIV, Ltd.

CLO subordinated notes, estimated yield 0.00% due August 28, 2029(9)(11)(12)(18)(26)

January 12, 2017

2,500,000

1,401,576

350,000

Venture XVII, Ltd.

CLO subordinated notes, estimated yield 12.43% due April 15, 2027(9)(11)(12)(18)(26)

January 27, 2017

6,200,000

3,726,182

1,364,000

Venture XX, Ltd.

CLO subordinated notes, estimated yield 0.00% due April 15, 2027(9)(11)(12)(18)(26)

July 27, 2018

3,000,000

1,216,869

660,000

Vibrant CLO V, Ltd.

CLO subordinated notes, estimated yield 5.79% due January 20, 2029(9)(11)(12)(18)

April 27, 2017

13,475,000

11,114,096

2,964,500

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~OXFORD SQUARE CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)~~ ~~— (continued)~~
~~March~~ 31, ~~2020~~2021

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT/ SHARES		COST		FAIR VALUE(2)		% OF NET ASSETS		ACQUISITION DATE	PRINCIPAL AMOUNT/SHARES		COST		FAIR VALUE(2)		% OF NET ASSETS
Collateralized Loan Obligation – EquityInvestments–(continued)
Structured Finance–(continued)
West CLO 2014-1, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 18, 2026(9)(11)(12)(18)(26)	May 12, 2017	$	9,250,000	$	5,278,335	$	1,202,500

Windriver 2012-1 CLO, Ltd.
CLO subordinated notes, estimated yield 4.40% due January 15, 2026(9)(11)(12)(18)	June 11, 2015		7,500,000		3,610,766		300,000
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
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	$	217,500

Zais CLO 6, Ltd.
CLO subordinated notes, estimated yield 7.84% due July 15, 2029(9)(11)(12)(18)	May 3, 2017		10,500,000		7,381,533		2,100,001
CLO subordinated notes, estimated yield 0.00% due July 15, 2029(9)(11)(12)(18)										May 3, 2017		10,500,000		7,381,533		2,520,000

CLO Equity Side Letter Related Investments(11)(12)(13)					1,378,224		1,158,155
CLO Equity Side Letter Related Investments(11)(12)(13)(25)(26)														1,532,354		2,546,664
Total Structured Finance				$	195,651,730	$	73,335,304	44.5	%				$	196,653,628	$	127,205,170	52.6	%
Total Collateralized Loan Obligation – Equity Investments				$	195,651,730	$	73,335,304	44.5	%				$	196,653,628	$	127,205,170	52.6	%

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

Preferred Stock
IT Consulting
Unitek Global Services, Inc.
Series B Preferred Stock(3)(7)(17)(21)(24)(27)	June 26, 2019		11,404,355	$	9,002,159	$	—
Series B Senior Preferred Stock(3)(7)(17)(22)(24)(27)	June 26, 2019		5,002,312		4,535,443		—
Series B Super Senior Preferred Stock(3)(7)(17)(23)(24)(27)	June 26, 2019		2,744,973		2,614,260		384,296
Series B Preferred Stock(3)(17)(21)(27)										June 26, 2019		13,023,654	$	9,002,159	$	—
Series B Senior Preferred Stock(3)(17)(22)(27)										June 26, 2019		6,022,640		4,535,443		—
Series B Super Senior Preferred Stock(3)(17)(23)(27)										June 26, 2019		3,336,532		2,614,260		—
Total IT Consulting				$	16,151,862	$	384,296	0.2	%				$	16,151,862	$	—	0.0	%
Total Preferred Equity				$	16,151,862	$	384,296	0.2	%				$	16,151,862	$	—	0.0	%

Total Investments in Securities(8)				$	467,077,702	$	261,765,846	158.9	%				$	419,261,662	$	320,597,611	132.5	%

Cash Equivalents
First American Government Obligations Fund(19)				$	7,825,820	$	7,825,820						$	39,749,201	$	39,749,201
Total Cash Equivalents				$	7,825,820	$	7,825,820	4.8	%				$	39,749,201	$	39,749,201	16.4	%
Total Investments in Securities and Cash Equivalents				$	474,903,522	$	269,591,666	163.7	%				$	459,010,863	$	360,346,812	148.9	%

~~____________~~

_________

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

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~OXFORD SQUARE CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)~~ ~~— (continued)~~
~~March 31, 2020~~

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

(3) ~~Portfolio~~As of March 31, 2021, the portfolio includes ~~$16,640,582~~$11,673,898 principal amount of ~~principal~~debt investments and ~~19,151,641shares~~22,382,826 shares of preferred stock investments which contain a PIK ~~provision as of March 31, 2020.~~provision.

(4) Notes bear interest at variable rates and are subject to an interest rate floor where disclosed. The rate disclosed is as of March 31, ~~2020.~~2021.

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

(6) Cost value reflects repayment of ~~principal.~~principal

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

(continued on next page)

See Accompanying Notes.

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March31, 2021

(8) Aggregate gross unrealized appreciation for U.S. federal income tax purposes is ~~$66,000;~~$8,075,281; aggregate gross unrealized depreciation for U.S. federal income tax purposes is ~~$223,327,128.~~$122,307,660. Net unrealized depreciation is ~~$223,261,128~~$114,232,379 based upon aan estimated tax cost basis of ~~$485,026,974.~~$434,829,990 as of March 31, 2021.

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

(10) ~~This~~The principal balance outstanding for this debt investment, ~~represents our percent ownership~~ in ~~certain equity securities transferred~~whole or in part, is indexed to ~~OXSQ upon the redemption of this investment on October 25, 2018.~~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 March 31, ~~2020,~~2021, the Company held qualifying assets that represented ~~73.0%~~63.8% 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.

(17) As of March 31, ~~2020,~~2021, this debt or preferred equity investment was on non-accrual status. The aggregate fair value of these investments was approximately ~~$5.6~~$3.6 million.

(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 March 31, ~~2020.~~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 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) Effective June 26, 2019, the Company entered into an Exchange Agreement with UniTek Global Services, Inc. (the “Exchange Agreement”), to receive 2,371,211 shares of Series B Super Senior Preferred Stock, 4,352,199 shares of Series B Senior Preferred Stock and 10,323,434 shares of Series B Preferred Stock (collectively, “Preferred Stock”) in exchange for all Series A shares of each respective Preferred Stock tranche that was held by OXSQ.

~~(25) The principal balance outstanding for this debt investment, in whole or in part, is indexed to 180-day~~ ~~LIBOR.~~

~~(26)~~ 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 December 2020. No additional acquisitions during quarter ended March 31, 2021.

(26) Cost value reflects amortization.

(continued on next page)

See Accompanying ~~Notes.~~Notes

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March31, ~~2020~~2021

(27) These investments are deemed to be an “affiliate,” 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 ~~than 25%~~ of its voting securities and would be an “affiliate” of a portfolio company if we owned between 5% and 25% of its voting securities. We do not “control” any of our portfolio companies. Fair value as of ~~March~~December 31, 2020 and ~~December~~March 31, ~~2019~~2021 along with transactions during the ~~three months~~quarter ended March 31, ~~2020~~2021 in 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
March 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

—

—

(1,811,682
)

384,296
Total Affiliated Investment

—

2,816,790

—

—

(2,432,494
)

384,296
Total Control Investment

—

—

—

—

—

—
TOTAL CONTROL AND AFFILIATED INVESTMENTS

$
—

$
2,816,790

$
—

$
—

$
(2,432,494
)

$
384,296

Name of Issuer

Title of Issue

Amount of
Interest or
Dividends
Credited to
Income(a)

Fair Value
as of
December 31,
2020

Gross
Additions(b)

Gross
Reductions(c)

Net
Change in
Unrealized
Depreciation

Fair Value
as of
March 31,
2021

AFFILIATED INVESTMENT:

Unitek Global Systems, Inc.

Common Stock

—

Series B Preferred Stock

—

Series B Senior Preferred Stock

—

Series B Super Senior Preferred Stock

—

Total Affiliated Investment

—

Total Control Investment

—

TOTAL CONTROL AND AFFILIATED INVESTMENTs

—

____________

(a) Represents the total amount of interest or distributions credited to income for the portion of the year an investment was an affiliate investment.

(b) Gross additions include increases in investments resulting from new portfolio investments, paid-in-kind interest or dividends, the amortization of discounts and fees. For the ~~three months~~quarter ended March 31, ~~2020,~~2021, a total of approximately ~~$0.7~~$0.9 million of paid-in-kind dividends were entitled to be received yet deemed uncollectible.

(c) Gross reductions include decreases in investments resulting from principal collections related to investment repayments or sales, the amortization of premiums and acquisition costs.

See Accompanying ~~Notes.~~Notes

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, ~~2019~~2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS		ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes
Aerospace and Defense
Novetta, LLC
first lien senior secured notes, 6.80% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(15)(21)	November 20, 2014	$	5,471,630	$	5,425,506	$	5,366,301
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				$	5,425,506	$	5,366,301	2.2	%				$	5,374,499	$	5,378,514	2.4	%

Business Services
Access CIG, LLC
first lien senior secured notes, 5.44% (LIBOR + 3.75%), (0.00% floor) due February 27, 2025(4)(5)(6)(14)(15)(21)	June 12, 2018	$	491,254	$	491,254	$	490,232
second lien senior secured notes, 9.44% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(14)(15)(21)	February 14, 2018		16,754,000		16,845,453		16,628,345
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, 8.55% (LIBOR + 6.75%), (0.75% floor) due February 2, 2026(4)(5)(15)(21)	January 29, 2018		1,500,000		1,493,025		1,440,000
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
second lien senior secured notes, 10.55% (LIBOR + 8.75%), (1.00% floor) due June 21, 2023(4)(5)(15)(17)(21)	June 14, 2017		15,000,000		14,861,877		2,250,000
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
first lien senior secured notes, 5.69% (LIBOR + 3.75%), (0.00% floor) due May 23, 2025(4)(5)(6)(14)(16)(21)	May 17, 2018		5,910,081		5,910,627		5,910,081
second lien senior secured notes, 9.44% (LIBOR + 7.50%), (0.00% floor) due May 22, 2026(4)(5)(14)(16)(21)	May 17, 2018		14,000,000		13,940,539		13,720,000
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, 8.40% (LIBOR + 6.50%), (1.00% floor) due June 8, 2023(4)(5)(6)(16)	October 1, 2019		14,306,068		13,664,567		8,490,651
second lien senior secured notes, 0.50% Cash, 10.98% PIK (LIBOR + 9.00%) (1.00% floor) due June 6, 2024(3)(4)(5)(16)(17)	October 1, 2019		10,232,132		9,817,795		3,581,246
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, 5.90% (LIBOR + 4.00%), (0.00% floor) due August 20, 2025(4)(5)(6)(16)(21)	August 9, 2018		6,930,000		6,900,223		6,826,050
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				$	83,925,360	$	59,336,605	23.9	%				$	82,749,959	$	60,440,844	26.8	%

Diversified Insurance
AmeriLife Group LLC
second lien senior secured notes, 10.80% (LIBOR + 9.00%), (0.00% floor) due June 11, 2027(4)(5)(6)(15)	March 18, 2020	$	10,000,000	$	9,900,692	$	9,925,000
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				$	9,900,692	$	9,925,000	4.0	%				$	10,797,257	$	10,807,500	4.8	%

(continued on next page)

See Accompanying Notes.

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.

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
December31, ~~2019~~2020

COMPANY/INVESTMENT(1)(20)

ACQUISITION
DATE

PRINCIPAL
AMOUNT

COST

FAIR
VALUE(2)

% OF
NET
ASSETS
Senior Secured Notes – (continued)

Education

Edmentum, Inc. (f/k/a Plato, Inc.)

first lien senior secured notes, 6.43% (LIBOR + 4.50%), (1.00% floor) Cash, 4.00% PIK due June 9, 2021(3)(4)(5)(6)(16)

April 25, 2013

$
6,080,350

$
6,054,371

$
5,593,922

Total Education

$
6,054,371

$
5,593,922

2.3
%

Financial Intermediaries

First American Payment Systems

second lien senior secured notes, 12.56% (LIBOR + 10.50%), (1.00% floor) due July 5, 2024(4)(5)(16)(21)

January 3, 2017

$
1,500,000

$
1,468,914

$
1,470,000

Shift4 Payments, LLC (f/k/a Lighthouse Network, LLC)

first lien senior secured notes, 6.43% (LIBOR + 4.50%), (1.00% floor) due November 30, 2024(4)(5)(6)(14)(16)(21)

November 20, 2017

3,430,000

3,417,872

3,438,575

second lien senior secured notes, 10.43% (LIBOR + 8.50%), (1.00% floor) due November 30, 2025(4)(5)(14)(16)(21)

November 20, 2017

16,490,000

16,353,183

16,242,650

Total Financial Intermediaries

$
21,239,969

$
21,151,225

8.5
%

Healthcare

Keystone Acquisition Corp.

first lien senior secured notes, 7.19% (LIBOR + 5.25%), (1.00% floor) due May 1, 2024(4)(5)(6)(14)(16)(21)

May 10, 2017

$
7,457,869

$
7,430,191

$
7,271,422

second lien senior secured notes, 11.19% (LIBOR + 9.25%), (1.00% floor) due May 1, 2025(4)(5)(14)(16)(21)

May 10, 2017

13,000,000

12,868,879

12,610,000

Viant Medical Holdings, Inc.

first lien senior secured notes, 5.69% (LIBOR + 3.75%), (0.00% floor) due July 2, 2025(4)(5)(6)(14)(16)(21)

June 26, 2018

9,875,000

9,873,395

9,677,500

second lien senior secured notes, 9.69% (LIBOR + 7.75%), (0.00% floor) due July 2, 2026(4)(5)(14)(16)(21)

June 26, 2018

5,000,000

4,955,602

4,725,000

Healthport Technologies, LLC

first lien senior secured notes, 6.05% (LIBOR + 4.25%), (1.00% floor) due December 1, 2021(4)(5)(6)(14)(15)

April 12, 2019

16,597,888

14,964,163

15,618,613

HealthChannels, Inc.
(f/k/a ScribeAmerica, LLC)

first lien senior secured notes, 6.24% (LIBOR + 4.50%), (0.00% floor) due April 3, 2025(4)(5)(6)(15)

October 31, 2018

9,861,904

9,800,587

9,664,666

Total Healthcare

$
59,892,817

$
59,567,201

24.0
%

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.

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
December31, ~~2019~~2020

COMPANY/INVESTMENT(1)(20)

ACQUISITION
DATE

PRINCIPAL
AMOUNT

COST

FAIR
VALUE(2)

% OF
NET
ASSETS
Senior Secured Notes – (continued)

Logistics

Capstone Logistics Acquisition, Inc.

first lien senior secured notes, 6.30% (LIBOR + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(14)(15)(21)

October 3, 2014

$
12,917,066

$
12,902,501

$
12,650,716

Total Logistics

$
12,902,501

$
12,650,716

5.1
%

Software

ECI Software Solutions, Inc.

first lien senior secured notes, 6.19% (LIBOR + 4.25%), (1.00% floor) due September 27, 2024(4)(5)(6)(14)(16)(21)

June 28, 2018

$
4,912,060

$
4,923,674

$
4,903,464

second lien senior secured notes, 9.94% (LIBOR + 8.00%), (1.00% floor) due September 29, 2025(4)(5)(14)(16)(21)

September 19, 2017

15,000,000

14,916,392

14,762,550

Quest Software, Inc.

first lien senior secured notes, 6.18% (LIBOR + 4.25%), (0.00% floor) due May 16, 2025(4)(5)(6)(14)(16)(21)

May 17, 2018

5,940,000

5,914,552

5,917,725

second lien senior secured notes, 10.18% (LIBOR + 8.25%), (0.00% floor) due May 18, 2026(4)(5)(14)(16)(21)

May 17, 2018

15,000,000

14,865,400

14,647,500

Total Software

$
40,620,018

$
40,231,239

16.2
%

Telecommunications Services

Global Tel Link Corp.

second lien senior secured notes, 10.05% (LIBOR + 8.25%), (0.00% floor) due November 29, 2026(4)(5)(14)(15)

November 20, 2018

$
17,000,000

$
16,722,360

$
14,486,380

Total Telecommunication Services

$
16,722,360

$
14,486,380

5.8
%

Utilities

CLEAResult Consulting, Inc.

first lien senior secured notes, 5.19% (LIBOR + 3.50%), (0.00% floor) due August 8, 2025(4)(5)(6)(15)(21)

August 2, 2018

$
4,937,500

$
4,916,396

$
4,875,781

second lien senior secured notes, 8.99% (LIBOR + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(15)(21)

August 3, 2018

7,650,000

7,673,313

7,363,125

Total Utilities

$
12,589,709

$
12,238,906

4.9
%
Total Senior Secured Notes

$
269,273,303

$
240,547,495

97.0
%

Collateralized Loan Obligation – Debt Investments

Structured Finance

Galaxy XXVIII CLO, Ltd.

CLO secured class F notes, 10.48% (LIBOR + 8.48%), due July 15,
2031(4)(5)(11)(12)(16)

June 29, 2018

$
1,000,000

$
933,437

$
840,600

Total Structured Finance

$
933,437

$
840,600

0.3
%
Total Collateralized Loan Obligation – Debt Investments

$
933,437

$
840,600

0.3
%

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.

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
December31, ~~2019~~2020

COMPANY/INVESTMENT(1)(20)

ACQUISITION
DATE

PRINCIPAL
AMOUNT

COST

FAIR
VALUE(2)

% OF
NET
ASSETS
Collateralized Loan Obligation – Equity Investments

Structured Finance

AMMC CLO XI, Ltd.

CLO subordinated notes, estimated yield 12.29% due April 30, 2031(9)(11)(12)(18)(26)

March 12, 2015

$
6,000,000

$
3,796,477

$
2,760,000

AMMC CLO XII, Ltd.

CLO subordinated notes, estimated yield
9.24% due November 10, 2030(9)(11)(12)(18)(26)

March 13, 2013

12,921,429

7,175,569

4,393,286

Atlas Senior Loan Fund XI, Ltd.

CLO subordinated notes, estimated yield 17.73% due July 26, 2031(9)(11)(12)(18)(26)

April 5, 2019

5,725,000

4,319,023

3,449,313

Babson CLO Ltd. 2015-I

CLO subordinated notes, estimated yield 4.93% due January 20, 2031(9)(11)(12)(18)

July 26, 2018

2,840,000

1,766,500

1,050,800

BlueMountain CLO 2014-2 Ltd.

CLO subordinated notes, estimated yield 23.58% due October 20, 2030(9)(11)(12)(18)

April 3, 2019

6,374,000

2,612,626

2,294,640

Carlyle Global Market Strategies CLO 2013-2, Ltd.

CLO subordinated notes, estimated yield 13.61% due January 18, 2029(9)(11)(12)(18)(26)

March 19, 2013

6,250,000

3,748,818

2,728,621

Cedar Funding II CLO, Ltd.

CLO subordinated notes, estimated yield 11.39% due June 9, 2030(9)(11)(12)(18)

October 23, 2013

18,000,000

12,940,261

9,360,000

Cedar Funding VI CLO, Ltd.

CLO subordinated notes, estimated yield 14.47% due October 20, 2028(9)(11)(12)(18)

May 15, 2017

7,700,000

7,363,155

5,698,000

CIFC Funding 2014-3, Ltd.

CLO subordinated notes, estimated yield 14.53% due October 22, 2031(9)(11)(12)(18)(26)

January 24, 2017

10,000,000

6,182,026

4,400,000

Galaxy XXVIII CLO, Ltd.

CLO subordinated notes, estimated yield 11.28% due July 15, 2031(9)(11)(12)(18)

July 25, 2017

2,000,000

962,017

648,665

Hull Street CLO Ltd.

CLO subordinated notes, estimated yield -21.46% due October 18, 2026(9)(11)(12)(18)(26)

October 17, 2014

5,000,000

1,049,476

100,000

Ivy Hill Middle Market Credit Fund VII, Ltd.

CLO subordinated notes, estimated yield 7.34% due October 20, 2029(9)(11)(12)(18)(26)

October 3, 2013

10,800,000

8,659,115

5,936,641

Madison Park Funding XIX, Ltd.

CLO subordinated notes, estimated yield 9.67% due January 22, 2028(9)(11)(12)(18)(26)

May 11, 2016

5,422,500

4,999,739

3,904,200

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~OXFORD SQUARE CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)~~
~~December 31, 2019~~

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 24.71% due April 15, 2031(9)(11)(12)(14)(18)(26)

April 11, 2019

$
23,500,000

$
19,265,413

$
16,450,000

Octagon Investment Partners 38, Ltd.

CLO subordinated notes, estimated yield 14.27% due July 20, 2030(9)(11)(12)(18)(26)

July 12, 2018

5,000,000

4,174,948

3,500,000

Regatta XV Funding, Ltd.

CLO subordinated notes, estimated yield 0.00% due October 25, 2026(9)(10)(11)(12)(18)

October 19, 2016

3,000,000

—

75,000

Sound Point CLO XVI, Ltd.

CLO subordinated notes, estimated yield 8.86% due July 25, 2030(9)(11)(12)(14)(18)

August 1, 2018

45,500,000

41,750,653

23,660,000

Telos CLO 2013-3, Ltd.

CLO subordinated notes, estimated yield -4.23% due July 17, 2026(9)(11)(12)(18)(26)

January 25, 2013

14,447,790

6,575,881

2,022,691

Telos CLO 2013-4, Ltd.

CLO subordinated notes, estimated yield 17.00% due January 17, 2030(9)(11)(12)(18)(26)

May 20, 2015

11,350,000

7,018,355

3,110,420

Telos CLO 2014-5, Ltd.

CLO subordinated notes, estimated yield 17.92% due April 17, 2028(9)(11)(12)(18)

April 11, 2014

28,500,000

17,600,832

6,575,476

Venture XIV, Ltd.

CLO subordinated notes, estimated yield 4.94% due August 28, 2029(9)(11)(12)(18)(26)

January 12, 2017

2,500,000

1,452,738

450,000

Venture XVII, Ltd.

CLO subordinated notes, estimated yield 11.53% due April 15, 2027(9)(11)(12)(18)(26)

January 27, 2017

6,200,000

3,614,197

1,514,369

Venture XX, Ltd.

CLO subordinated notes, estimated yield -53.93% due April 15, 2027(9)(11)(12)(18)(26)

July 27, 2018

3,000,000

1,347,763

930,000

Vibrant CLO V, Ltd.

CLO subordinated notes, estimated yield 3.90% due January 20, 2029(9)(11)(12)(18)

April 27, 2017

13,475,000

11,197,902

6,198,500

West CLO 2014-1, Ltd.

CLO subordinated notes, estimated yield -0.01% due July 18, 2026(9)(11)(12)(18)(26)

May 12, 2017

9,250,000

5,435,293

3,330,000

Windriver 2012-1 CLO, Ltd.

CLO subordinated notes, estimated yield 6.73% due January 15, 2026(9)(11)(12)(18)

June 11, 2015

7,500,000

3,571,607

959,980

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~OXFORD SQUARE CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)~~
~~December 31, 2019~~

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT/ SHARES		COST		FAIR VALUE(2)		% OF NET ASSETS		ACQUISITION DATE	PRINCIPAL AMOUNT/ SHARES		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Equity Investments– (continued)
Structured Finance– (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 13.15% due July 15, 2029(9)(11)(12)(18)	May 3, 2017	$	10,500,000	$	7,663,559	$	3,780,001
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)					1,378,224		1,316,505
CLO Equity Side Letter Related Investments(11)(12)(13)(25)(26)														1,600,801		1,373,959
Total Structured Finance				$	197,622,167	$	120,597,108	48.6	%				$	205,065,546	$	122,514,111	54.3	%
Total Collateralized Loan Obligation – Equity Investments				$	197,622,167	$	120,597,108	48.6	%				$	205,065,546	$	122,514,111	54.3	%

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

Preferred Stock
IT Consulting
Unitek Global Services, Inc.
Series B Preferred Stock(3)(22)(25)	June 26, 2019		11,032,025	$	9,002,159	$	—
Series B Senior Preferred Stock(3)(23)(25)	June 26, 2019		4,775,477		4,535,443		620,812
Series B Super Senior Preferred Stock(3)(24)(25)	June 26, 2019		2,614,260		2,614,260		2,195,978
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	$	2,816,790	1.1	%				$	16,151,862	$	—	0.0	%
Total Preferred Equity				$	16,151,862	$	2,816,790	1.1	%				$	16,151,862	$	—	0.0	%

Total Investments in Securities(8)				$	484,665,729	$	364,801,993	147.0	%				$	424,384,173	$	294,674,000	130.7	%

Cash Equivalents
First American Government Obligations Fund(19)				$	14,410,486	$	14,410,486
First American Government Obligations Fund(19)													$	59,137,284	$	59,137,284
Total Cash Equivalents				$	14,410,486	$	14,410,486	5.8	%				$	59,137,284	$	59,137,284	26.2	%
Total Investments in Securities and Cash Equivalents				$	499,076,215	$	379,212,479	152.8	%				$	483,521,457	$	353,811,284	156.9	%

____________

(continued on next page)

See Accompanying Notes.

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 ~~$16,312,482~~$11,383,000 principal amount of ~~principal~~debt investments and ~~18,421,762shares~~21,525,642 shares of preferred stock investments which contain a PIK ~~provision as of December 31, 2019.~~provision.

(4) Notes bear interest at variable rates and are subject to an interest rate floor where disclosed. The rate disclosed is as of December 31, ~~2019.~~2020.

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

~~(continued on next page)~~

~~See Accompanying Notes.~~

~~OXFORD SQUARE CAPITAL CORP.~~

~~CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)~~
~~December 31, 2019~~

(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 ~~$754,844;~~$7,604,740; aggregate gross unrealized depreciation for U.S. federal income tax purposes is ~~$135,892,337.~~$146,059,439. Net unrealized depreciation is ~~$135,137,493~~$138,454,699 based upon aan estimated tax cost basis of ~~$499,939,486.~~$433,128,699 as of December 31, 2020.

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

(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, ~~, 2019,~~2020, the Company held qualifying assets that represented ~~68.4%~~63.3% 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.

(17) As of December 31, ~~2019,~~2020, this debt or preferred equity investment was on non-accrual status. The aggregate fair value of these investments was approximately ~~$5.8~~$4.2 million.

(19) Represents cash equivalents held in money market accounts as of December 31, ~~2019.~~2020.

(20) The fair value of the investment was determined using significant unobservable inputs. See “Note 4.3. Fair Value.”

(21) ~~All or a portion of this investment represents collateral under the Credit Facility.~~

~~(22)~~ 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.

~~(23)~~(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.

~~(24)~~(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.

(25) Effective June 26, 2019, the Company entered into an Exchange Agreement with UniTek Global Services, Inc. (the “Exchange Agreement”), to receive 2,371,211 shares of Series B Super Senior Preferred Stock, 4,352,199 shares of Series B Senior Preferred Stock and 10,323,434 shares of Series B Preferred Stock (collectively, “Preferred Stock”) in exchange for all Series A shares of each respective Preferred Stock tranche that was held by OXSQ.

~~(26)~~(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.

1614

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS — (continued)
December31, ~~2019~~2020

(27) These investments are deemed to be an “affiliate,” 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 ~~than 25%~~ of its voting securities and would be an “affiliate” of a portfolio company if we owned between 5% and 25% of its voting securities. We do not “control” any of our portfolio companies. Fair value as of December 31, 2019 and December 31, ~~2018~~2020 along with transactions during the year ended December 31, ~~2019~~2020 in 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, 2018		Gross Additions(b)		Gross Reductions(c)		Net change in Unrealized Depreciation			Fair Value as of December 31, 2019		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	$	—	$	149,303	$	—	$	—	$	(149,303	)	$	—
Unitek Global Systems, Inc.															Common Stock	$	—	$	—	$	—	$	—	$	—		$	—
	Series B Preferred Stock		5,325,159		8,217,887		5,325,159		—		(13,543,046	)		—	Series B Preferred Stock		—		—		—		—		—			—
	Series B Senior Preferred Stock		1,773,022		3,963,240		1,773,022		—		(5,115,450	)		620,812	Series B Senior Preferred Stock		—		620,812		—		—		(620,812	)		—
	Series B Super Senior Preferred Stock		612,624		2,161,767		612,624		—		(578,413	)		2,195,978	Series B Super Senior Preferred Stock		—		2,195,978		—		—		(2,195,978	)		—
Total Affiliated Investment			7,710,805		14,492,197		7,710,805		—		(19,386,212	)		2,816,790			—		2,816,790		—		—		(2,816,790	)		—
Total Control Investment			—		—		—		—		—			—			—		—		—		—		—			—
TOTAL CONTROL AND AFFILIATED INVESTMENTS		$	7,710,805	$	14,492,197	$	7,710,805	$	—	$	(19,386,212	)	$	2,816,790		$	—	$	2,816,790	$	—	$	—	$	(2,816,790	)	$	—

____________

(a) Represents the total amount of interest or distributions credited to income for the portion of the year an investment was an affiliate investment. During the year ended December 31, 2020, these securities were on non-accrual status, due to declining performance.

(b) Gross additions include increases in investments resulting from new portfolio investments, paid-in-kind interest or dividends, the amortization of discounts and fees. For the year ended December 31, 2020, a total of approximately $3.1 million of paid-in-kind dividends were entitled to be received yet deemed uncollectible.

(c) Gross reductions include decreases in investments resulting from principal collections related to investment repayments or sales, the amortization of premiums and acquisition costs.

See Accompanying Notes.

1715

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)

	Three Months Ended March 31, 2020			Three Months Ended March 31, 2019			Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
INVESTMENT INCOME
From non-affiliated investments:
From non-affiliated/non-control investments:
Interest income – debt investments	$	5,654,255		$	7,148,481		$	4,222,037		$	5,654,255
Income from securitization vehicles and investments		4,759,070			6,846,925			4,681,300			4,759,070
Other income		411,363			229,708			456,353			411,363
Total investment income from non-affiliated investments		10,824,688			14,225,114
Total investment income from non-affiliated/non-control investments								9,359,690			10,824,688
Total investment income		10,824,688			14,225,114			9,359,690			10,824,688
EXPENSES
Interest expense		2,173,468			2,149,841			1,883,425			2,173,468
Base management fees		1,231,210			1,626,538
Base Fee								1,389,250			1,231,210
Professional fees		473,989			367,251			684,954			473,989
Compensation expense		200,348			232,928			172,722			200,348
General and administrative		373,182			328,517			415,175			373,182
Total expenses before incentive fees		4,452,197			4,705,075			4,545,526			4,452,197
Net investment income incentive fees		—			1,156,051
Net Investment Income Incentive Fees								—			—
Total expenses		4,452,197			5,861,126			4,545,526			4,452,197
Net investment income		6,372,491			8,363,988			4,814,164			6,372,491
Net change in unrealized (depreciation)/appreciation on investments:
Non-Affiliated investments		(83,015,626	)		4,228,650
Net change in unrealized appreciation/(depreciation) on investments:
Non-Affiliate/non-control investments								31,046,122			(83,015,626	)
Affiliated investments		(2,432,494	)		1,450,286			—			(2,432,494	)
Total net change in unrealized (depreciation)/appreciation on investments		(85,448,120	)		5,678,936
Total net change in unrealized appreciation/(depreciation) on investments								31,046,122			(85,448,120	)
Net realized losses:
Non-Affiliated investments		(277,173	)		(1,278,866	)
Non-affiliated/non-control investments								(14,071,131	)		(277,173	)
Extinguishment of debt		(5,211	)		(14,106	)		—			(5,211	)
Total net realized losses		(282,384	)		(1,292,972	)		(14,071,131	)		(282,384	)
Net (decrease)/increase in net assets resulting from operations	$	(79,358,013	)	$	12,749,952
Net increase in net assets resulting from net investment income per common share (Basic and Diluted)	$	0.13		$	0.18
Net (decrease)/increase in net assets resulting from operations per common share (Basic and Diluted)	$	(1.62	)	$	0.27
Weighted average shares of common stock outstanding (Basic and Diluted)		49,137,570			47,650,959
Net increase/(decrease) in net assets resulting from operations							$	21,789,155		$	(79,358,013	)
Net increase in net assets resulting from net investment income per common share (Basic and Diluted):							$	0.10		$	0.13
Net increase/(decrease) in net assets resulting from operations per common share (Basic and Diluted):							$	0.44		$	(1.62	)
Weighted average shares of common stock outstanding (Basic and Diluted):								49,589,700			49,137,570
Distributions per share	$	0.20		$	0.20		$	0.105		$	0.201

See Accompanying Notes.

1816

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)

	Three Months Ended March 31, 2020			Three Months Ended March 31, 2019			Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
(Decrease)/increase in net assets from operations:
Increase/(decrease) in net assets from operations:
Net investment income	$	6,372,491		$	8,363,988		$	4,814,164		$	6,372,491
Net change in unrealized (depreciation)/appreciation on investments		(85,448,120	)		5,678,936
Net change in unrealized appreciation/(depreciation) on investments								31,046,122			(85,448,120	)
Net realized losses		(282,384	)		(1,292,972	)		(14,071,131	)		(282,384	)
Net (decrease)/increase in net assets resulting from operations		(79,358,013	)		12,749,952
Distributions to stockholders:
Net increase/(decrease) in net assets resulting from operations								21,789,155			(79,358,013	)
Distributions to stockholders
Distributions from net investment income		(8,204,055	)		(8,100,663	)		(4,321,734	)		(8,204,055	)
Tax return of capital distributions		(1,680,349	)		(1,429,529	)		(885,174	)		(1,680,349	)
Total distributions to stockholders		(9,884,404	)		(9,530,192	)		(5,206,908	)		(9,884,404	)
Capital share transactions:
Issuance of common stock (net of underwriting fees and offering costs of $51,779)		5,821,240			—
Issuance of common stock (net of underwriting fees and offering costs of $0 and $51,779, respectively)								—			5,821,240
Reinvestment of distributions		161,186			—			36,840			161,186
Net increase in net assets from capital share transactions		5,982,426			—			36,840			5,982,426
Total (decrease)/increase in net assets		(83,259,991	)		3,219,760
Total increase/(decrease) in net assets								16,619,087			(83,259,991	)
Net assets at beginning of period		247,998,542			314,724,247			225,426,526			247,998,542
Net assets at end of period	$	164,738,551		$	317,944,007		$	242,045,613		$	164,738,551
Capital share activity:
Shares issued		1,098,277			—			—			1,098,277
Shares issued from reinvestment of distributions		42,343			—			8,357			42,343
Net increase in capital share activity		1,140,620			—			8,357			1,140,620

See Accompanying Notes.

1917

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF CASH FLOWS
(unaudited)

	Three Months Ended March 31, 2020			Three Months Ended March 31, 2019			Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
CASH FLOWS FROM OPERATING ACTIVITIES
Net (decrease)/increase in net assets resulting from operations	$	(79,358,013	)	$	12,749,952
Adjustments to reconcile net (decrease)/increase in net assets resulting from operations to net cash provided by operating activities:
Net increase/(decrease) in net assets resulting from operations							$	21,789,155		$	(79,358,013	)
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		(285,707	)		(134,992	)		(210,582	)		(285,707	)
Amortization of deferred debt issuance costs		149,131			118,890
Accretion of discount on notes payable and deferred debt issuance costs								137,555			149,131
Increase in investments due to PIK interest income		(62,155	)		(89,290	)		—			(62,155	)
Purchases of investments		(7,350,000	)		—			(45,152,408	)		(7,350,000	)
Repayments of principal		11,983,682			436,790			16,431,481			11,983,682
Proceeds from the sale of investments		9,321,620			3,613,882			2,775,000			9,321,620
Net realized losses on investments		277,173			1,278,866			14,071,131			277,173
Reductions to CLO equity cost value		1,970,437			1,393,203			5,946,333			1,970,437
Net change in unrealized depreciation/(appreciation) on investments		85,448,120			(5,678,936	)
Net change in unrealized (appreciation)/depreciation on investments								(31,046,122	)		85,448,120
Decrease in interest and distributions receivable		1,913,212			113,385			551,936			1,913,212
Decrease/(increase) in other assets		33,371			(69,300	)
Decrease in other assets								30,267			33,371
Decrease in accrued interest payable		(150,737	)		(149,201	)		—			(150,737	)
Decrease in base management fee and net investment income incentive fee payable		(249,443	)		(444,867	)
(Decrease)/increase in accrued expenses		(283,230	)		54,671
Net cash provided by operating activities		23,357,461			13,193,053
Increase/(decrease) in Base Fee and Net Investment Income Incentive Fee payable								229,547			(249,443	)
Increase/(decrease) in accrued expenses								228,692			(283,230	)
Net cash (used in)/provided by operating activities								(14,218,015	)		23,357,461
CASH FLOWS FROM FINANCING ACTIVITIES
Distributions paid (net of stock issued under distribution reinvestment plan of $161,186 and $0, respectively)		(9,723,218	)		(9,530,192	)
Proceeds from the issuance of common stock		5,873,019			—
Distributions paid (net of stock issued under distribution reinvestment plan of $36,840 and $161,186, respectively)								(5,170,068	)		(9,723,218	)
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	)		—			—			(51,779	)
Repayment of notes payable – Credit Facility		(28,090,601	)		(8,259,851	)
Net cash used in financing activities		(31,992,579	)		(17,790,043	)		(5,170,068	)		(31,992,579	)
Net decrease in cash, cash equivalents and restricted cash		(8,635,118	)		(4,596,990	)
Net decrease in cash equivalents and restricted cash								(19,388,083	)		(8,635,118	)
Cash equivalents and restricted cash, beginning of period		16,460,938			17,080,864			59,137,284			16,460,938
Cash equivalents and restricted cash, end of period	$	7,825,820		$	12,483,874		$	39,749,201		$	7,825,820

NON-CASH FINANCING ACTIVITIES
Value of shares issued in connection with distribution reinvestment plan	$	161,186		$	—		$	36,840		$	161,186

SUPPLEMENTAL DISCLOSURES
Cash paid for interest	$	2,180,287		$	2,194,258		$	1,745,872		$	2,180,287

NON-CASH OPERATING ACTIVITIES
Securities sold not settled	$	1,732,979		$	—		$	—		$	1,732,979
Securities purchased not settled	$	—		$	4,433,875		$	10,945,000		$	—

See Accompanying Notes.

2018

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, ~~2020~~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 ~~Articles6,~~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 ~~financial statements~~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 ~~December31, 2019,~~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 ~~July21,~~July 21, 2003 and is a non-diversified, closed-end investment company. ~~The 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, ~~the Company~~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 ~~obligations~~obligation (“CLO”)~~, which are~~ structured finance investments that own corporate debt securities.

~~The Company’s~~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.~~amended (the “Advisers Act”). Oxford Square Management is owned by Oxford Funds, LLC (“Oxford Funds”), its managing member, and ~~a related party,~~ Charles M. Royce, a member of ~~the Company’s~~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”), ~~the Company~~OXSQ has agreed to pay 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 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

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.

2119

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, ~~2020~~2021
(unaudited)

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

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 related to such representations and indemnifications to be remote.

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, and these differences could be material.

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 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, CASH EQUIVALENTS AND RESTRICTED CASH

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.

Restricted cash represents the cash held by the trustee of OXSQ Funding. The amount is 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. As of March31, 2020, there was no restricted cash due to the full repayment of the Credit Facility during the period. As of December31, 2019, there was approximately $2.1million of restricted cash.

INVESTMENT VALUATION

The Company measures its investment portfolio at fair value in accordance with the provisions of ASC 820,Fair Value Measurement~~.Estimates~~. 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: ~~Level1,~~Level 1, defined as observable inputs such as quoted prices in active markets; ~~Level2,~~Level 2, which includes inputs such as quoted prices

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

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

for similar securities in active markets and quoted prices for identical securities in markets that are not active; and ~~Level3,~~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 March 31, ~~2020.~~2021.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 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 ~~OXSQ~~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 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 ~~collateralized loan obligation (“CLO”)~~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.

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2~~020
~~(unaudited)~~

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

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. In addition, the Company considers the operating metrics of the specific

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

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

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: ~~Grade1,~~Grade 1, at least annually; ~~Grade2,~~Grade 2, at least semi-annually; ~~Grades3,4, and5,~~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 ~~March31,~~March 31, 2021, the Company had one debt investment that was on non-accrual status. As of December 31, 2020, ~~and as of December31, 2019,~~ the Company had two debt investments that were on non-accrual status.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

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

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

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

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

Payment-In-Kind

The Company has debt and preferred ~~equity~~stock investments in its 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 ~~equity~~stock dividends are computed at ~~the~~their contractual ~~rate~~rates and are accrued into income and recorded as interest and dividend income, respectively. The PIK amounts are added to the principal ~~balance~~balances on the capitalization ~~date.~~dates. Upon capitalization, the PIK ~~component is subject to~~portions of the investments are valued at their respective fair ~~value estimates associated with their related investments. At the point~~values. If the Company believes that a PIK is not fully expected to be realized, the PIK investment ~~will~~would be placed on non-accrual status. When a PIK investment is placed on non-accrual status, the accrued, uncapitalized interest or dividends ~~are~~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 ~~realized.~~ultimately collectible in cash. For the quarter ended ~~March31, 2020,~~March 31, 2021, no PIK ~~preferred equity~~ dividends were recognized as dividend ~~income as they were not expected to be fully realized.~~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, ~~their expected~~amounts and timing, ~~and expected redemption,~~ including those CLO equity investments that have not made their inaugural distribution for the relevant period end. ~~The Company monitors~~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 record cumulative preferred dividends as investment income when they are declared by the portfolio company’s board of directors or upon any voluntary or involuntary liquidation, dissolution or winding up of the portfolio company. There were no cumulative preferred dividends earned and recorded as dividend income during the quarters ended March 31, 2021 and 2020.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 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.

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

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

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.

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 are first applied to the remaining cost basis until it is reduced to zero, after which distributions are recorded as realized gains. 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.

~~SECURITIES SOLD UNDER AGREEMENT TO REPURCHASE~~

~~The Company has entered into an agreement whereby it may sell securities to be repurchased at an agreed-upon~~ price and date. Under this agreement, the Company will account for these transactions as collateralized financing transactions which are recorded at the contracted repurchase amount plus interest. The Company’s securities sold under the agreement to repurchase are carried at cost. As of March31, 2020, there was no outstanding principal, or securities sold under the repurchase facility. Refer to “Note 6. Borrowings” for further details.

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, ~~the Company~~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.

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 ~~consolidated~~ 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.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

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

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 ~~March31, 2020,~~March 31, 2021, 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 ~~2020~~2021 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 ~~12months.~~ 12 months.

For tax purposes, the cost basis of the portfolio investments as of ~~March31,~~March 31, 2021 and December 31, 2020, ~~and December31, 2019,~~ was approximately ~~$485,026,974~~$434,829,990 and ~~$499,939,486,~~$433,128,699, respectively.

RECENT ACCOUNTING PRONOUNCEMENTS

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 March 31, 2021 were as follows:

	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
Senior Secured Notes	$	—	$	—	$	193.4	$	193.4
CLO Equity		—		—		127.2		127.2
Equity and Other Investments		—		—		—		—
Total Investments at fair value		—		—		320.6		320.6
Cash equivalents		39.7		—		—		39.7
Total assets at fair value	$	39.7	$	—	$	320.6	$	360.3

2625

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, ~~2020~~2021
(unaudited)

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

~~RECENT ACCOUNTING PRONOUNCEMENTS~~

~~In June 2016, the FASB issued ASU 2016-13, Financial Instruments-Credit~~ Losses (Topic 326): Measurement of Credit Losses on Financial Instruments (“ASU 2016- 13”), which amends the financial instruments impairment guidance so that an entity is required to measure expected credit losses for financial assets based on historical experience, current conditions and reasonable and supportable forecasts. As such, an entity will use forward~~-looking~~ ~~information to estimate credit losses. ASU 2016-13~~ ~~also amends the guidance in FASB ASC Subtopic No. 325-40, Investments-Other~~, Beneficial Interests in Securitized Financial Assets, related to the subsequent measurement of accretable yield recognized as interest income over the life of a beneficial interest in securitized financial assets under the effective yield method. ASU 2016~~-13~~ ~~is effective for financial statements issued for fiscal years beginning after December15, 2019, including interim periods within those fiscal years. Management has adopted the amendments in ASU 2016-13~~ ~~as of January1, 2020 and upon adoption the total investment income increased approximately $0.4million for the quarter ended March31, 2020.~~

NOTE 4. FAIR VALUE(cont.)

The Company’s assets measured at fair value by investment type on a recurring basis as of ~~March31,~~December 31, 2020 were as follows:

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
Senior Secured Notes

$
—

$
—

$
187.6

$
187.6
CLO Debt

—

—

0.5

0.5
CLO Equity

—

—

73.3

73.3
Equity and Other Investments

—

—

0.4

0.4
Total Investments at fair value

—

—

261.8

261.8
Cash equivalents

7.8

—

—

7.8
Total assets at fair value

$
7.8

$
—

$
261.8

$
269.6

~~The Company’s assets measured at fair value on a recurring basis at December31, 2019 were as follows:~~

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
Senior Secured Notes

$
—

$
—

$
240.5

$
240.5
CLO Debt

—

—

0.8

0.8
CLO Equity

—

—

120.6

120.6
Equity and Other Investments

—

—

2.8

2.8
Total Investments at fair value(1)

—

—

364.8

364.8
Cash equivalents

14.4

—

—

14.4
Total assets at fair value

$
14.4

$
—

$
364.8

$
379.2

~~____________~~

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

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

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

	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
Senior Secured Notes	$	—	$	—	$	172.2	$	172.2
CLO Equity		—		—		122.5		122.5
Equity and Other Investments		—		—		—		—
Total Investments at fair value		—		—		294.7		294.7
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 ~~March31,~~March 31, 2021 and December 31, 2020, ~~and December31, 2019,~~ 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 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, are not 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
March 31,
2020

Valuation Techniques/
Methodologies

Unobservable Input

Range/Weighted
Average(1)

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

$
152.3

Market quotes

NBIB(3)

10.0% – 87.0%/71.1%

NA

28.9

Recent transactions

Actual trade/payoff(4)

73.5% – 90.3%/79.7%

NA

6.4

Yield Analysis

Discount Margin

12.0%/ncm(6)

Decrease
CLO Debt

0.5

Market quotes

NBIB(3)

47.2%/ncm(6)

NA
CLO Equity

72.0

Market quotes

NBIB(3)

0.0% – 52.0%/25.8%

NA

1.2

Discounted cash flow(7)

Discount rate(8)

9.5% – 17.3%/12.3%

Decrease

0.1

Liquidation net asset value(5)

NBIB(3)

2.2%/ncm(6)

NA
Equity and Other Investments

0.4

Enterprise value(9)

EBITDA/
Market multiples(10)

$21.4 million/ncm(6)
5.5x –6.5x/ncm(6)

Increase Increase
Total Fair Value for Level 3 Investments

$
261.8

	Quantitative Information about Level 3 Fair Value Measurements				Range/Weighted Average(1)	Impact to Fair Value from an Increase in Input(2)
Assets ($ in millions)	Fair Value as of March 31, 2021		Valuation Techniques/ Methodologies	Unobservable Input	Range/Weighted Average(1)	Impact to Fair Value from an Increase in Input(2)
Senior Secured Notes	$	130.4	Market quotes	NBIB(3)	90.9% – 100.0%/97.5%	NA
		27.9	Recent transactions	Actual trade/payoff(4)	85.0% – 97.8%/90.7%	NA
		19.1	Yield Analysis	Discount Margin	92.7% – 96.0%/93.9%	Decrease
		12.4	Discounted cash flow(6)	Discount rate(7)	14.9% – 16.2%/ncm(5)	Decrease
		3.6	Enterprise value(8)	EBITDA(9)	$92.0 million/ncm(5)	Increase
				Market multiples(9)	6.3x – 7.3x/ncm(5)	Increase
CLO equity		124.0	Market quotes	NBIB(3)	1.0% – 78.5%/42.1%	NA
		2.5	Discounted cash flow(6)	Discount rate(7)	7.7% – 13.7%/11.9%	Decrease
		0.7	Liquidation Net Asset Value(8)	NBIB(3)	2.9% – 5.0%/4.1%	NA
Equity/Other Investments		—	Enterprise value(8)	EBITDA(9)	$21.7 million/ncm(5)	Increase
				Market multiples(9)	5.3x – 6.3x/ncm(5)	Increase
Total Fair Value for Level 3 Investments	$	320.6

____________

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

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 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.

(3) The Company generally uses prices provided by an independent pricing service, or broker or agent bank 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, and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by 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.

(4) 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.

(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) For senior secured notes and equity investments, 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 valuation firm, a valuation is prepared by Oxford Square Management, which may include liquidation analysis or which may utilize a subsequent transaction to provide an indication of fair value.

(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.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 4. FAIR VALUE (cont.)

	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.

(5) The fair value of those CLO equity positions which have been optionally redeemed are generally valued using a liquidation net asset value basis which represents the estimated expected residual value of the CLO as of the end of the period.

~~(6) 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”).

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

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

~~(7)~~(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.

~~(8)~~(7) Discount rate represents the rate at which future cash flows are discounted to calculate a present value, reflecting market assumptions for risk.

~~(9)~~28

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 4. FAIR VALUE (cont.)

~~(10)~~(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.

Quantitative Information about Level 3 Fair Value Measurements

Assets ($ in millions)

Fair Value
as of
December 31,2019

Valuation Techniques/
Methodologies

Unobservable Input

Range/Weighted
Average(1)

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

$
201.9

Market quotes

NBIB(3)

15.0% – 100.3%/86.5%

NA

38.7

Recent transactions

Actual trade/payoff(4)

92.0% – 100.0%/97.3%

NA
CLO debt

0.8

Market quotes

NBIB(3)

84.1%/ncm(6)

NA
CLO equity

104.5

Market quotes

NBIB(3)

2.0% – 74.0%/43.7%

NA

11.3

Yield Analysis

Yield

17.3% – 23.9%/19.7%

Decrease

3.4

Recent transactions

Actual trade/payoff(4)

60.3%/ncm(6)

NA

1.3

Discounted cash flow(7)

Discount rate(8)

10.1% – 14.7%/11.9%

Decrease

0.1

Liquidation net asset value(5)

NBIB(3)

2.5%/ncm(6)

NA
Equity and Other Investments

2.8

Enterprise value(9)

EBITDA/
Market multiple(10)

$25.1 million/ncm(6)
5.7x – 6.6x/ncm(6)

Increase
Increase
Total Fair Value for Level 3 Investments(11)

$
364.8

~~____________~~

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

~~(3) The Company generally uses prices provided by an independent pricing service, or broker or agent bank 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~~, and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by 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.

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

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

~~(6) 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”).~~

(7) 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.

~~(8) Discount rate represents the rate at which future cash flows are discounted to calculate a present value, reflecting market assumptions for risk.~~

~~(9) For equity investments, 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~~ ~~valuation firm, a valuation is prepared by Oxford Square Management, which may include liquidation analysis or which may utilize a subsequent transaction to provide an indication of fair value.~~

(10) 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.

~~(11) Total may not sum due to rounding.~~

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 ~~March31,~~March 31, 2021, and the level of each financial liability within the fair value hierarchy:

($ in millions)	Carrying Value(1)		Fair Value		Level 1		Level 2		Level 3
6.50% Unsecured Notes(2)	$	63.4	$	65.4	$	—	$	65.4	$	—
6.25% Unsecured Notes(2)		43.6		45.3		—		45.3		—
Total	$	107.0	$	110.7	$	—	$	110.7	$	—

____________

(1) Carrying value is net of unamortized deferred debt issuance costs. Unamortized deferred debt issuance costs associated with the 6.50% Unsecured Notes totaled approximately $1.0 million as of March 31, 2021. Unamortized deferred debt issuance costs associated with the 6.25% Unsecured Notes totaled approximately $1.2 million as of March 31, 2021.

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

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, 2020 and the level of each financial liability within the fair value hierarchy:

($ in millions)	Carrying Value(1)		Fair Value		Level 1		Level 2		Level 3		Carrying Value(1)		Fair Value		Level 1		Level 2		Level 3
6.50% Unsecured Notes(2)	$	63.1	$	48.3	$	—	$	48.3	$	—	$	63.3	$	64.3	$	—	$	64.3	$	—
6.25% Unsecured Notes(3)		43.4		33.6		—		33.6		—		43.5		45.1		—		45.1		—
Total~~(4)~~	$	106.4	$	81.9	$	—	$	81.9	$	—	$	106.8	$	109.4	$	—	$	109.4	$	—

____________

(1) Carrying value is net of deferred debt issuance costs. ~~As of March 31, 2020, the total unamortized deferred~~Deferred debt issuance costs ~~for~~associated with the ~~6.50%~~6.5% Unsecured Notes ~~and~~totaled approximately $1.1 million as of December 31, 2020. Deferred debt issuance costs associated with the 6.25% Unsecured Notes ~~was~~totaled approximately ~~$1.3~~$1.2 million ~~and $1.4 million, respectively.~~as of December 31, 2020.

(2) For the 6.50% Unsecured Notes, fair value is based upon the closing price on the last day of the period. The 6.50% Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol “OXSQL”).

(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”).

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

3029

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, ~~2020~~2021
(unaudited)

NOTE 4. FAIR VALUE(cont.)

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 December31, 2019 and the level of each financial liability within the fair value hierarchy:

($ in millions)

Carrying
Value(1)

Fair Value

Level 1

Level 2

Level 3
6.50% Unsecured Notes(3)

$
63.0

$
65.6

$
—

$
65.6

$
—
6.25% Unsecured Notes(4)

43.3

45.6

—

45.6

—
Credit Facility(2)

28.1

28.1

—

—

28.1
Total(5)

$
134.4

$
139.3

$
—

$
111.2

$
28.1

~~____________~~

(1) Carrying value is net of deferred debt issuance costs. Deferred debt issuance costs associated with the Credit Facility totaled approximately $10,000 as of December 31, 2019. Deferred debt issuance costs associated with the 6.50% Unsecured Notes totaled approximately $1.4 million as of December 31, 2019. Deferred debt issuance costs associated with the 6.25% Unsecured Notes totaled approximately $1.5 million as of December 31, 2019.

~~(2) Fair value represents the par amount of the Credit Facility.~~

(3) For the 6.50% Unsecured Notes, fair value is based upon the closing price on the last day of the period. The 6.50% Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol “OXSQL”).

(4) 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”).

~~(5) Totals may not sum due to rounding.~~

A reconciliation of the fair value of investments for the three months ended ~~March31, 2020,~~March 31, 2021, utilizing significant unobservable inputs, is as follows:

($ in millions)	Senior Secured Notes			CLO Debt			CLO Equity			Equityand Other Investments			Total(2)			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
Balance at December 31, 2020																$	172.2		$	—	$	122.5		$	—	$	294.7
Net realized losses included in earnings		(0.3)			—			—			—			(0.3	)		(13.4	)		—		(0.6	)		—		(14.0	)
Net unrealized depreciation included in earnings		(37.4	)		(0.4	)		(45.3	)		(2.4	)		(85.4	)
Net unrealized appreciation included in earnings																	17.9			—		13.1			—		31.0
Accretion of discount		0.3			—			—			—			0.3			0.2			—		—			—		0.2
Purchases		7.4			—			—			—			7.4			32.9			—		—			—		32.9
Repayments and Sales		(23.0	)		—			—			—			(23.0	)		(16.4	)		—		(1.8	)		—		(18.3	)
Reductions to CLO Equity cost value(1)		—			—			(2.0	)		—			(2.0	)		—			—		(6.0	)		—		(6.0	)
Non-cash interest and dividend income due to PIK		0.1			—			—			—			0.1			—			—		—			—		—
Transfers in and/or (out) of Level 3		—			—			—			—			—
Balance at March 31, 2020(2)	$	187.6		$	0.5		$	73.3		$	0.4		$	261.8
Net change in unrealized depreciation on Level 3 investments still held as of March 31, 2020	$	(37.3	)	$	(0.4	)	$	(45.3	)	$	(2.4	)	$	(85.4)
Transfers in and/or (out) of level 3																	—			—		—			—		—
Balance at March 31, 2021(2)																$	193.4		$	—	$	127.2		$	—	$	320.6
Net change in unrealized appreciation on Level 3 investments still held as of March 31, 2021																$	4.6		$	—	$	12.5		$	—	$	17.1

____________

(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 ~~$6.7million~~$10.6 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 ~~$4.8million.~~$4.6 million.

(2) Totals may not sum due to rounding.

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

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

A reconciliation of the fair value of investments for the year ended ~~December31, 2019,~~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)			Senior Secured Notes			CLO Debt			CLO Equity			Equity and Other Investments			Total
Balance at December 31, 2018	$	282.7		$	0.9		$	146.8		$	14.5		$	445.0
Balance at December 31, 2019(2)																$	240.5		$	0.8		$	120.6		$	2.8		$	364.8
Realized losses included in earnings		—			—			(1.2	)		(0.5	)		(1.7	)		(2.2	)		2.3			(8.3	)		—			(8.2	)
Unrealized depreciation included in earnings(2)		(18.1	)		(0.1	)		(32.4	)		(18.9	)		(69.5	)		(1.6	)		0.1			(5.5	)		(2.8	)		(9.8	)
Accretion of discount		0.8			—			—			—			0.8			1.2			0.2			—			—			1.4
Purchases(2)		28.9			—			25.8			—			54.8			39.2			8.2			46.5			—			93.8
Repayments and Sales		(54.2	)		—			(5.6	)		—			(59.8	)		(105.2	)		(11.5	)		(17.9	)		—			(134.6	)
Reductions to CLO equity cost value(1)		—			—			(12.8	)		—			(12.8	)		—			—			(13.0	)		—			(13.0	)
Non-cash interest and dividend income due to PIK		0.4			—			—			7.7			8.0			0.3			—			—			—			0.3
Transfers in and/or (out) of level 3		—			—			—			—			—			—			—			—			—			—
Balance at December 31, 2019(2)	$	240.5		$	0.8		$	120.6		$	2.8		$	364.8
Net change in unrealized depreciation on Level 3 investments still held as of December 31, 2019(2)	$	(19.1	)	$	(0.1	)	$	(34.0	)	$	(19.3	)	$	(72.5	)
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 ~~$38.0million~~$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 ~~$25.2million.~~

~~(2) Totals may not sum due to rounding.~~

~~A reconciliation of the fair value of investments for the three months ended March31, 2019, utilizing significant unobservable inputs, is as follows:~~

($ in millions)

Senior
Secured
Notes

CLO
Debt

CLO
Equity

Equity and
Other
Investments

Total
Balance at December 31, 2018

$
282.7

$
0.9

$
146.8

$
14.5

$
445.0

Realized losses included in earnings

—

—

(1.3
)

—

(1.3
)
Unrealized (depreciation) appreciation included in earnings

(4.0
)

—

8.2

1.5

5.7

Accretion of discount

0.1

—

—

—

0.1

Purchases

4.4

—

—

—

4.4

Repayments and Sales

(3.4
)

—

(0.6
)

(4.0
)
Reductions to CLO equity cost value(1)

—

—

(1.4
)

—

(1.4
)
Non-cash interest and dividend income due to PIK

0.1

—

—

—

0.1

Transfers in and/or (out) of Level 3

—

—

—

—

—

Balance at March 31, 2019(2)

$
280.0

$
0.9

$
151.7

$
15.9

$
448.6

Net change in unrealized (depreciation) appreciation onLevel 3 investments still held as ofMarch 31, 2019

$
(4.0
)

$
—

$
6.7

$
1.4

$
4.1

~~____________~~

(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 $8.2million and the effective yield interest income of approximately $6.8million.$15.4 million.

(2) Totals may not sum due to rounding.

3230

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, ~~2020~~2021
(unaudited)

NOTE 4. FAIR VALUE(cont.)

The following table shows the fair value of the Company’s portfolio of investments by asset class as of ~~March31, 2020~~March 31, 2021 and ~~December31, 2019:~~December 31, 2020:

March 31, 2020

December 31, 2019
($ in millions)

Investments at
Fair Value

Percentage of
Total Portfolio

Investments at
Fair Value

Percentage of
Total Portfolio
Senior Secured Notes

$
187.6

71.7%

$
240.5

65.9%

CLO Debt

0.5

0.2%

0.8

0.2%

CLO Equity

73.3

28.0%

120.6

33.1%

Equity and Other Investments

0.4

0.1
%

2.8

0.8%

Total(1)

$
261.8

100.0
%

$
364.8

100.0
%

~~____________~~

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

	March 31, 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	$	193.4	60.3	%	$	172.2	58.4	%
CLO Debt		—	0.0	%		—	0.0	%
CLO Equity		127.2	39.7	%		122.5	41.6	%
Equity and Other Investments		—	0.0	%		—	0.0	%
Total	$	320.6	100.0	%	$	294.7	100.0	%

NOTE 5. CASH, CASH EQUIVALENTS AND RESTRICTED CASH

As of ~~March31,~~March 31, 2021 and December 31, 2020, ~~and December31, 2019,~~ respectively, cash and cash equivalents ~~and restricted cash~~ were as follows:

March 31,
2020

December 31,
2019
Cash

$
—

$
—
Cash Equivalents

7,825,820

14,410,486
Total Cash and Cash Equivalents

$
7,825,820

$
14,410,486
Restricted Cash

$
—

$
2,050,452
Total Cash, Cash Equivalents and Restricted Cash

$
7,825,820

$
16,460,938

		March 31, 2021			December 31, 2020
Cash and Cash Equivalents		$	39,749,201		$	59,137,284

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

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

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 150%, immediately after such borrowing. As of ~~March31,~~March 31, 2021 and December 31, 2020, ~~and December31, 2019,~~ the Company’s asset coverage for borrowed amounts was ~~248.4%~~320% and ~~278.6%~~304%, respectively.

The following are the Company’s outstanding principal amounts, carrying values and fair values of the Company’s borrowings as of ~~March31, 2020~~March 31, 2021 and ~~December31, 2019.~~December 31, 2020. The fair value of the 6.50% Unsecured Notes (as defined below) and 6.25% Unsecured Notes (as defined below) are based upon the closing price on the last day of the period and are listed on the NASDAQ Global Select Market (trading symbol OXSQL and OXSQZ, respectively). ~~The Credit Facility was fully repaid on March24, 2020. As of December31, 2019, the Credit Facility’s fair value represents the par amount of the debt obligation.~~

	As of												As of
	March 31, 2020						December 31, 2019						March 31, 2021						December 31, 2020
($ in millions)	Principal Amount		Carrying Value(1)		Fair Value		Principal Amount		Carrying Value(1)		Fair Value		Principal Amount		Carrying Value(1)		Fair Value		Principal Amount		Carrying Value(1)		Fair Value
6.50% Unsecured Notes	$	64.4	$	63.1	$	48.3	$	64.4	$	63.0	$	65.6	$	64.4	$	63.4	$	65.4	$	64.4	$	63.3	$	64.3
Credit Facility		—		—		—		28.1		28.1		28.1
6.25% Unsecured Notes		44.8		43.4		33.6		44.8		43.3		45.6		44.8		43.6		45.3		44.8		43.5		45.1
Total(2)	$	109.2	$	106.4	$	81.9	$	137.3	$	134.4	$	139.3
Total													$	109.2	$	107.0	$	110.7	$	109.2	$	106.8	$	109.4

____________

(1) ~~Represents~~The Carrying Value represents the aggregate principal amount outstanding less the unamortized deferred issuance costs. As of March 31, 2021, the total unamortized deferred issuance costs for the 6.50% Unsecured Notes and 6.25% Unsecured Notes was approximately $1.0 million and $1.2 million, respectively. As of December 31, 2020, the total unamortized deferred issuance costs for the ~~6.25%~~6.50% Unsecured Notes, and ~~6.50%~~6.25% Unsecured Notes was approximately ~~$1.4~~$1.1 million, and ~~$1.3~~$1.2 million, respectively. As of December 31, 2019, the total unamortized deferred issuance costs for the Credit Facility, 6.25% Unsecured Noted, and 6.50% Unsecured Notes was approximately $10,000, $1.5 million, and $1.4 million, respectively.

~~(2) Totals may not sum due to rounding.~~

The weighted average stated interest rate and weighted average maturity on the Company’s debt outstanding as of March31, 2020 were 6.40% and 4.9 years, respectively, and as of December31, 2019 were 5.94% and 4.2 years, respectively.

~~The table below summarizes the components of interest expense for the three months ended March31, 2020 and March31, 2019:~~

Three Months Ended March 31, 2020
($ in thousands)

Stated
Interest
Expense

Amortization of
Deferred Debt
Issuance Costs

Total
6.50% Unsecured Notes

$
1,046.0

$
81.0

$
1,127.0
6.25% Unsecured Notes

699.9

58.1

758.0
Credit Facility(1)

262.2

4.8

267.0
Repo Facility

21.5

—

21.5
Total

$
2,029.6

$
143.9

$
2,173.5

~~____________~~

~~(1) The Credit Facility was fully repaid on March 24, 2020.~~

3431

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, ~~2020~~2021
(unaudited)

NOTE 6. BORROWINGS(cont.)

Three Months Ended March 31, 2019
($ in thousands)

Stated
Interest
Expense

Amortization of
Deferred Debt
Issuance Costs

Total
6.50% Unsecured Notes

$
1,046.0

$
80.1

$
1,126.1
Credit Facility

999.0

24.7

1,023.7
Total

$
2,045.0

$
104.8

$
2,149.8

The weighted average stated interest rate and weighted average maturity on the Company’s borrowings as of March 31, 2021 were 6.40% and 3.9 years, respectively, and as of December 31, 2020 were 6.40% and 4.1 years, respectively.

The tables below summarize the components of interest expense for the three months ended March 31, 2021 and March 31, 2020, respectively:

	Three Months Ended March 31, 2021
($ in thousands)	Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total
6.50% Unsecured Notes	$	1,046.0	$	80.1	$	1,126.1
6.25% Unsecured Notes		699.9		57.5		757.4
Total(1)	$	1,745.9	$	137.6	$	1,883.4

____________

(1) Totals may not sum due to rounding.

	Three Months Ended March 31, 2020
($ in thousands)	Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total
6.50% Unsecured Notes	$	1,046.0	$	81.0	$	1,127.0
6.25% Unsecured Notes		699.9		58.1		758.0
Credit Facility		262.2		4.8		267.0
Repo Facility		21.5		—		21.5
Total	$	2,029.6	$	143.9	$	2,173.5

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

On ~~April12,~~April 12, 2017, the Company completed an underwritten public offering of approximately ~~$64.4million~~$64.4 million in aggregate principal amount of the 6.50% Unsecured Notes. The 6.50% Unsecured Notes ~~will~~ mature on ~~March30,~~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 ~~March30,~~March 30, 2020. The 6.50% Unsecured Notes bear interest at a rate of 6.50% per year, payable quarterly on ~~March30, June30, September30,~~March 30, June 30, September 30, and December 30 of each year.

The aggregate accrued interest payable on the 6.50% Unsecured Notes as of ~~March31, 2020~~March 31, 2021 was approximately $12,000. As of ~~March31, 2020,~~March 31, 2021, the Company had unamortized deferred debt issuance costs ~~of approximately $1.3million~~ relating to the 6.50% Unsecured ~~Notes.~~Notes of approximately $1.0 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 ~~March31, 2020~~March 31, 2021 were approximately ~~$1.0million~~$1.0 million and ~~7.02%~~7.09%, respectively. The cash paid and the effective annualized interest rate for the three months ended ~~March31, 2019~~March 31, 2020 were approximately ~~$1.0million~~$1.0 million and ~~7.09%~~7.02%, respectively.

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

On ~~April3,~~April 3, 2019, the Company completed an underwritten public offering of approximately ~~$44.8million~~$44.8 million in aggregate principal amount of 6.25% Unsecured Notes. The 6.25% Unsecured Notes will mature on ~~April30,~~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 ~~April30,~~April 30, 2022. The 6.25% Unsecured Notes bear interest at a rate of 6.25% per year payable quarterly on ~~January31, April30, July31,~~January 31, April 30, July 31, and ~~October31,~~October 31, of each year.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 6. BORROWINGS (cont.)

The aggregate accrued interest payable on the 6.25% Unsecured Notes as of ~~March31, 2020~~March 31, 2021 was approximately ~~$0.5million.~~$0.5 million. As of ~~March31, 2020,~~March 31, 2021, the Company had unamortized deferred debt issuance costs of approximately ~~$1.4million~~$1.2 million relating to the 6.25% Unsecured Notes. The deferred debt issuance costs are being amortized over the term of the 6.25% 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 ~~March31,~~March 31, 2021 were approximately $0.7 million and 6.86%, respectively. The cash paid and the effective annualized interest rate for the three months ended March 31, 2020 were approximately ~~$0.7million~~$0.7 million and 6.79%, respectively.

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.

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 Company prepaid the remaining outstanding principal of 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 year ended December 31, 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.

The cash paid and effective annualized interest rate for the three months ended March 31, 2020 was approximately $0.4 million and 4.09%, respectively. As the Credit Facility was repaid and terminated as of March 24, 2020, there was no cash paid for interest for the three months ended March 31, 2021.

Repurchase Transaction Facility

On ~~October18,~~October 18, 2019, the Company entered into a ~~$10million~~$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 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 $10million facility amount. The Repo Facility expires on October18, 2020, subject to optional termination or extension that is mutually agreed. The Company accounts for these Reverse Repo transactions as secured financings for financial reporting purposes in accordance with GAAP.

3533

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, ~~2020~~2021
(unaudited)

NOTE 6. BORROWINGS(cont.)

Asand is subject to a facility fee of ~~March31, 2020, there was no outstanding principal, or securities sold under~~0.85% per annum on the full $10 million facility amount. The Repo ~~Facility.~~Facility expired without extension by the Company on October 18, 2020. The Company ~~accrued approximately $21,000~~accounts for these Reverse Repo transactions as secured financings for the financial reporting purposes in ~~undrawn fees as of March31, 2020, which is classified as interest expense on the consolidated statement of operations.~~accordance with GAAP. The cash paid ~~for undrawn~~in facility fees for the ~~three months~~quarter ended March 31, 2020 was approximately $21,000.

~~Notes Payable — Credit Facility~~

~~On June21, 2018, OXSQ Funding entered into~~ There was no cash paid in facility fees for 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 March21, June21, September 21 and December 21. Pursuant to the terms of the credit agreement governing the Credit Facility, OXSQ Funding borrowed approximately $95.2million. The Credit Facility had a mandatory amortization schedule such that 15.0% of the principal amount outstanding as of June21, 2018 was due and 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 June21, 2020, all remaining principal and accrued and unpaid interest would have been due and payable.

The Credit Facility was collateralized by a pool of loans initially consisting of loans sold by OXSQ to OXSQ Funding. OXSQ could sell and contribute additional loans to OXSQ Funding from time to time. OXSQ actedquarter ended March 31, 2021, as the ~~collateral manager of the loans owned~~Repo Facility expired without extension by ~~OXSQ Funding, and retained a residual interest through its ownership of OXSQ Funding.~~

On October12, 2018, OXSQ Funding amended the Credit Facility with Citibank, N.A. Under the amended Credit Facility, an additional borrowing amount of approximately $37.3million was made under the same terms as the existing credit agreement. The Company posted additional collateral with a principal amount of approximately $76.4million. All other existing terms of the Credit Facility remained unchanged.

The Company made partial principal repayments under the Credit Facility for the year ended December 31, 2019 and December 31, 2018 of approximately $57.6million and $46.8million, respectively. For the year ended December31, 2019 and December31, 2018, the Company ~~recognized a net extinguishment loss of approximately $ 73,000 and $61,000, respectively, 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.~~October 18, 2020.

The Company made a partial principal repayment under the Credit Facility on March23, 2020 of approximately $11.0million and repaid the remaining outstanding principal on March24, 2020 of approximately $17.1million. For the three months ended March31, 2020, the Company recognized a net extinguishment loss of approximately $5,000, 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. The cash paid and effective annualized interest rate for the three months ended March31, 2020 was approximately $0.4million and 4.09%, respectively. The cash paid and the effective annualized interest rate for the three months ended March31, 2019 were approximately $1.1million and 5.07%, respectively.

NOTE 7. RELATED PARTY TRANSACTIONS

The Company pays 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 based on its performance.~~fees. The cost of both the Base Fee and any incentive fees earned by Oxford Square Management are ultimately borne by the Company’s common stockholders.

As described in greater detail under ~~OXFORD SQUARE CAPITAL CORP.~~Item 1. Business — Investment Advisory Agreement — Advisory Fee

in its Annual Report on Form 10~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March~~-K for the year ended December 31, 2020,
~~(unaudited)~~

~~NOTE 7. RELATED PARTY TRANSACTIONS(cont.)~~

~~Base Management Fee~~

~~Through March31, 2016,~~ the Company first calculates the Base Fee ~~was calculated at an annual rate~~and any incentive fee under the terms of ~~2.00%. Effective April1, 2016,~~the Investment Advisory Agreement, then calculates the Base Fee ~~is calculated at an annual rate~~and any incentive fee under the terms of ~~1.50%.~~ 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

The Base Fee is payable quarterly in arrears, ~~and is~~ calculated based on a percentage of the average value of 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.

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 the Company’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.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 months ended ~~March31,~~March 31, 2021 and 2020, ~~and March31, 2019,~~ respectively:

Three Months
Ended
March 31,
2020

Three Months
Ended
March 31,
2019
Base Fee

$
1,231,210

$
1,626,538

($ in millions)		Three months ended March 31, 2021			Three months ended March 31, 2020
Base Fee		$	1.4		$	1.2

The Base Fee payable to Oxford Square Management as of ~~March31,~~March 31, 2021 and December 31, 2020 was $1,389,250 and ~~December31, 2019 was approximately $1.2million and $1.5million,~~$1,159,703, respectively.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

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,” 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). ~~The~~Given that this incentive fee is payable 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 net asset value that quarter.

Under the terms of the Investment Advisory Agreement, the Net Investment Income Incentive Fee is calculated ~~and payable quarterly in arrears~~ based on the ~~amount by which (x) the~~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~~“Pre-Incentive Fee Net Investment ~~Income~~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 the Company’s operating expenses ~~accrued during~~for the ~~calendar~~ quarter (including the Base Fee, expenses payable under ~~a separate~~the administration agreement, ~~with Oxford Funds (the “Administration Agreement”),~~ and any interest expense and dividends paid on any issued and outstanding preferred stock, but excluding the incentive fee).

Pre-Incentive Fee Net Investment Income includes, 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. Oxford Square Management is not under any obligation to reimburse the Company 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-Incentive Fee Net Investment Income does not include any realized capital gains, realized capital losses or unrealized capital appreciation or depreciation. Given that this portion of the incentive fee is payable without regard to any gain, loss or unrealized depreciation that may occur during the quarter, this portion of Oxford Square Management’s incentive fee may also be payable notwithstanding a decline in net asset value that quarter.

Effective April1, 2016, 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. The Net Investment Income Incentive Fee is then calculated as follows: (a) no Net Investment Income Incentive Fee is payable to Oxford Square Management in any calendar quarter in which the • Pre-Incentive Fee Net Investment Income, ~~does not exceed the~~

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

~~NOTE 7. RELATED PARTY TRANSACTIONS(cont.)~~

~~Preferred Return Amount; (b) 100% of the 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~~ ~~Amount” determined on a quarterly basis by multiplying 2.1875% by the Company’s net asset value at the end of such calendar quarter; and (c) for any quarter in which the Pre-Incentive~~ ~~Fee Net Investment Income exceeds the Catch-Up~~ ~~Amount, the Net Investment Income Incentive Fee will be 20% of the amount of the Pre-Incentive~~ Fee Net Investment Income for such quarter. 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 Oxford Square Management if the 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 Oxford Square Management if the 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 April1, 2016, the calculation of the Company’s Net Investment Income Incentive Fee is subject to a “Total Return Requirement”, which provides that a net investment income incentive fee will not be payable to 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~~ Fee Net Investment Income, realized gains and losses and unrealized appreciation and depreciation on investments) 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 April1, 2016) exceeds the cumulative net investment income incentive fees accrued and/or paid for such eleven (11) preceding quarters (or if shorter, the number of quarters since April1, 2016). Under the revised fee structure, under no circumstances will the aggregate fees earned from April1, 2016 by Oxford Square Management in any quarterly period be higher than the aggregate fees that would have been earned prior to the adoption of these changes.

~~From January1, 2005 through March31, 2016, the Pre-Incentive~~ ~~Fee Net Investment Income, which was~~ expressed as a rate of return on the value of ~~our~~the Company’s net assets at the end of the immediately preceding calendar quarter, ~~was~~is compared to one-fourth of an annual “hurdle rate.” The annual hurdle rate ~~that was~~is determined as of the immediately preceding December 31st by adding ~~5.00%~~5.0% to 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%~~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 to Oxford Square Management in any calendar quarter in which the Pre-Incentive Fee Net Investment Income does not exceed one fourth of 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 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).

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

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 Income Incentive Fee (as a portion of 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.

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 is then calculated as follows:

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

(b) 100% of the “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 Amount” determined on a quarterly basis by multiplying 2.1875% by OXSQ’s net asset value at the end of such calendar quarter; and

(c) for any quarter in which the “Pre-Incentive Fee Net Investment Income” exceeds the “Catch-Up Amount,” the Net Investment Income Incentive Fee will be 20% of the amount of the “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 Oxford Square Management if the “Pre-Incentive Fee Net Investment Income” for subsequent quarters ~~ended March31, 2020~~is below the quarterly “Preferred Return Amount,” and ~~March31, 2019 were 6.69%~~there is no delay of payment of incentive fees to Oxford Square Management if the “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.

d. The calculation of the Company’s Net Investment Income Incentive Fee is subject to a total return requirement that provides that a Net Investment Income Incentive Fee will not be payable to 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 Fee Net Investment Income,” realized gains and ~~7.51%, respectively.~~losses and unrealized appreciation and depreciation) during the calendar quarter for which such fees are being calculated and the eleven (11) preceding quarters exceeds the cumulative Net Investment Income Incentive Fees accrued and/or paid for such eleven (11) preceding quarters.

In the event that the advisory fee calculations under the 2016 Fee Waiver produce a higher combined Base Fee and 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 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 2016 Fee Waiver.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

The following table represents the portion of the total advisory fee ascribed to Net Investment Income Incentive Fees (pursuant to the 2016 Fee Waiver calculation) for ~~each of~~ the three months ended ~~March31,~~March 31, 2021 and 2020, ~~and 2019, respectively:~~respectively.

Three Months
Ended
March 31,
2020

Three Months
Ended
March 31,
2019
Net Investment Income Incentive Fee

$
—

$
1,156,051

($ in millions)		Three months ended March 31, 2021			Three months ended March 31, 2020
Net Investment Income Incentive Fee		$	—		$	—

There was no Net Investment Income Incentive Fee payable to Oxford Square Management as of March 31, ~~2020~~2021 and ~~December31, 2019.~~December 31, 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 ~~on investments~~ for each calendar year, computed net of all realized capital losses ~~on investments~~ and unrealized capital depreciation ~~on investments~~ for that calendar year. ~~However, for~~For accounting purposes only, in order to reflect the theoretical 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/losses on investments~~gains 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

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

~~NOTE 7. RELATED PARTY TRANSACTIONS(cont.)~~

accrued ~~for accounting purposes~~ 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 on investments)~~losses) would only become payable to 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 months ended ~~March31, 2020 and 2019. There were no accrued Capital Gains Incentive Fees payable to Oxford Square Management as of~~ March 31, ~~2020~~2021 and ~~December31, 2019.~~2020.

Administration Agreement

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

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

Oxford Square Management is controlled by Oxford Funds, its managing member. Charles M. Royce ~~a member of the Board,~~ holds a minority, non-controlling interest in Oxford Square Management. Oxford Funds manages the business and internal affairs of Oxford Square Management. Jonathan H. Cohen, the Company’s Chief Executive Officer, as well as a Director, is the managing member of Oxford Funds. Saul B. Rosenthal, the Company’s President and Chief Operating Officer, is also the President and Chief Operating Officer of Oxford Square Management and a member of Oxford Funds. Messrs. Cohen and Rosenthal together control the equity interests in Oxford Funds.

For the three months ended ~~March31,~~March 31, 2021 and 2020, ~~and 2019,~~ the Company incurred approximately ~~$0.2million~~$0.2 million and ~~$0.2million~~$0.2 million, respectively, in compensation expenses for the services of employees allocated to the administrative activities of the Company, pursuant to the Administration Agreement with Oxford Funds. ~~Further,~~In addition, the Company incurred approximately ~~$14,000~~$13,000 and ~~$16,000~~$14,000 for facility costs allocated under the Administration Agreement for the three months ended ~~March31,~~March 31, 2021 and 2020, ~~and 2019,~~ respectively. As of ~~March31,~~March 31, 2021 and 2020, there was approximately $30,000 and $26,000, ~~payable under the Administration Agreement. As of December31, 2019, there were no amounts~~respectively, payable under the Administration Agreement.

Co-Investment Exemptive Relief

On ~~June14,~~June 14, 2017, the SEC issued an order permitting the Company and certain of its affiliates to complete negotiated co-investment transactions in portfolio companies, subject to certain conditions (the “Order”). Subject to satisfaction of certain conditions to the Order, the Company and certain of its affiliates are ~~now~~ permitted, together with any future BDCs, registered closed-end funds and certain private funds, each of whose investment adviser is the Company’s investment adviser or an investment adviser controlling, controlled by, or under common control with the Company’s investment adviser, to co-invest in negotiated investment opportunities where doing so would otherwise be prohibited under the 1940 Act, providing the Company’s stockholders with access to a broader array of investment opportunities.

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

~~NOTE 7. RELATED PARTY TRANSACTIONS(cont.)~~

Pursuant to the Order, the Company is permitted to 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 transaction, including, but not limited to, that (1) the terms of the potential co-investment transaction, including the consideration to be paid, are reasonable and fair to the Company and its stockholders and do not involve overreaching in respect of the Company or its stockholders on the part of any person concerned, and (2) the potential co-investment transaction is consistent with the interests of the Company’s stockholders and is consistent with the Company’s 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, 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.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 8. EARNINGS PER SHARE

The following table sets forth the computation of basic and diluted net ~~increase~~increase/(decrease) in net assets resulting from net investment income ~~per share for the three months ended March31, 2020~~ and ~~2019, respectively:~~

Three Months
Ended
March 31,
2020

Three Months
Ended
March 31,
2019
Net investment income

$
6,372,491

$
8,363,988
Weighted average common shares outstanding

49,137,570

47,650,959
Net increase in net assets resulting from net investment income per
common share

$
0.13

$
0.18

~~The following table sets forth the computation of basic and diluted net (decrease)/increase in net assets resulting from~~ operations per share for the three months ended ~~March31,~~March 31, 2021 and 2020, ~~and 2019:~~respectively:

Three Months
Ended
March 31,
2020

Three Months
Ended
March 31,
2019
Net (decrease)/increase in net assets resulting from operations

$
(79,358,013
)

$
12,749,952
Weighted average common shares outstanding

49,137,570

47,650,959
Net (decrease)/increase in net assets resulting from operations per
common share

$
(1.62
)

$
0.27

	Three Months Ended March 31, 2021		Three Months Ended March 31, 2020
Net investment income	$	4,814,164	$	6,372,491
Weighted average common shares outstanding		49,589,700		49,137,570
Net increase in net assets resulting from net investment income per common share	$	0.10	$	0.13
Net increase/(decrease) in net assets resulting from operations	$	21,789,155	$	(79,358,013	)
Net increase/(decrease) in net assets resulting from operations per common share	$	0.44	$	(1.62	)

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 as a distribution each quarter is determined by the Board 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.

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

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

The Company has adopted an “opt out” distribution reinvestment plan for its common stockholders. As a result, if the Company makes a cash distribution, then stockholders’ cash distributions will be automatically reinvested in additional shares of the Company’s common stock, unless they specifically “opt out” of the distribution reinvestment plan so as to receive cash distributions. During the three months ended ~~March31,~~March 31, 2021 and 2020, the Company issued ~~42,343shares~~8,357 and 42,343 shares, respectively, of common stock for ~~$0.2million,~~approximately $37,000 and $161,000, respectively, to stockholders in connection with the distribution reinvestment plan. During the three months ended ~~March31, 2019, the Company did not issue any shares of common stock to stockholders in connection with the distribution reinvestment plan. Also during the three months ended March31,~~March 31, 2021 and 2020, ~~and 2019,~~ as part of the Company’s dividend reinvestment plan for its common stockholders, the Company’s dividend reinvestment administrator purchased ~~20,446shares~~23,202 shares and ~~18,790shares,~~20,446 shares, respectively, of common stock for ~~$0.1million~~approximately $91,000 and ~~$0.1million,~~$109,000, respectively, in the open market to satisfy the reinvestment portion of the Company’s dividends. On ~~January31, 2020, February28, 2020~~each of January 29, February 26 and ~~March31, 2020,~~March 31, 2021, the Company paid monthly distributions of approximately ~~$3.3million, $3.3million, and $3.3million, respectively~~$1.7 million, or ~~$0.067~~$0.035 per share.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 9. DISTRIBUTIONS (cont.)

On ~~December22,~~December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted which changed various technical rules governing the 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 capital losses incurred in taxable years beginning after the date of enactment 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 forward will retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law.

The tax character of distributions for the three months ended ~~March31, 2020~~March 31, 2021, represented, on an estimated basis, ~~$0.17~~$0.087 per share from ordinary income and ~~$0.03~~$0.018 per share as a tax return of capital. For the three months ended ~~March31, 2020,~~March 31, 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 the historical information the Company used in providing the estimates herein. The final determination of the source of all distributions in ~~2019 and 2020~~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 as of ~~March31,~~March 31, 2021, and December 31, 2020, was $4.88 and ~~December31, 2019 was $3.32 and $5.12~~$4.55, respectively. In determining the Company’s net asset value per share, the Board determined in good faith the fair value of the Company’s portfolio investments for which reliable market quotations are not readily available.

NOTE 11. ~~SHAREISSUANCEPROGRAM~~SHARE ISSUANCE PROGRAM

On ~~August1,~~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 ~~$150.0million~~$150.0 million of the Company’s common stock through an At-the-Market (“ATM”) offering. ~~The~~For the three months ended March 31, 2021, the Company ~~sold a total of 1,098,277shares~~did not sell any shares of common stock pursuant to the ATM ~~offering~~offering. The Company sold a total of 1,098,277 shares of common stock pursuant to the ATM during the three months ended ~~March31,~~March 31, 2020. The total amount of capital raised net of underwriting fees and offering costs was approximately ~~$5.8million~~$5.8 million during the three months ended ~~March31,~~March 31, 2020.

4140

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, ~~2020~~2021
(unaudited)

NOTE 12. INVESTMENT INCOME

The following table sets forth the components of investment income for the three months ended March 31, 2021 and 2020, ~~and 2019,~~ respectively:

	Three Months Ended March 31, 2020		Three Months Ended March 31, 2019		Three Months Ended March 31, 2021		Three Months Ended March 31, 2020
Interest income
Interest Income
Stated interest income	$	5,174,745	$	6,910,526	$	3,536,196	$	5,174,745
Original issue discount and market discount income		285,707		134,992		210,581		285,707
Payment-in-kind interest income		62,155		89,288		—		62,155
Discount income derived from unscheduled remittances at par		131,648		13,675		475,260		131,648
Total interest income	$	5,654,255	$	7,148,481	$	4,222,037	$	5,654,255
Income from securitization vehicles	$	4,759,070	$	6,846,925	$	4,681,300	$	4,759,070
Other income
Fee letters	$	163,851	$	101,800		107,961		163,851
Loan prepayment and bond call fees		200,000		—		300,000		200,000
All other fees		47,512		127,908		48,392		47,512
Total other income	$	411,363	$	229,708	$	456,353	$	411,363
Total investment income	$	10,824,688	$	14,225,114	$	9,359,690	$	10,824,688

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 months ended ~~March31,~~March 31, 2021 and 2020, ~~and 2019,~~ respectively, the Company received no fee income for managerial assistance.

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 ~~March31, 2020,~~March 31, 2021, the Company did not have any commitments to purchase additional debt investments.

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.

4241

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, ~~2020~~2021
(unaudited)

NOTE 14. FINANCIAL HIGHLIGHTS

Financial highlights for the three months ended ~~March31,~~March 31, 2021 and 2020, ~~and 2019,~~ respectively, are as follows:

							Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
Per Share Data	Three Months Ended March 31, 2020			Three Months Ended March 31, 2019
Net asset value as of beginning of period	$	5.12		$	6.60
Net asset value at beginning of period							$	4.55		$	5.12
Net investment income(1)		0.13			0.18			0.10			0.13
Net realized and unrealized (losses)/gains(2)		(1.73)			0.09
Net (decrease)/increase in net asset value from operations		(1.60)			0.27
Net realized and unrealized gains/(losses)(2)								0.34			(1.73	)
Net increase/(decrease) in net asset value from operations								0.44			(1.60	)
Distributions per share from net investment income		(0.17	)		(0.17	)		(0.09	)		(0.17	)
Tax return of capital distributions(3)		(0.03	)		(0.03	)		(0.02	)		(0.03	)
Total distributions		(0.20	)		(0.20	)		(0.11	)		(0.20	)
Effect of shares issued/repurchased, gross		—			—			—			—
Net asset value at end of period	$	3.32		$	6.67		$	4.88		$	3.32
Per share market value at beginning of period	$	5.44		$	6.47		$	3.05		$	5.44
Per share market value at end of period	$	2.55		$	6.50		$	4.64		$	2.55
Total return based on Market Value(4)		(50.73	)%		3.55	%		56.22	%		(50.73	)%
Total return based on Net Asset Value(5)		(31.25	)%		4.09	%		9.56	%		(31.25	)%
Shares outstanding at end of period		49,589,607			47,650,959			49,597,964			49,589,607

Ratios/Supplemental Data(8)
Net assets at end of period (000’s)	$	164,739		$	317,944		$	242,046		$	164,739
Average net assets (000’s)		207,092			316,334			233,736			207,092
Ratio of operating expenses to average net assets(6)		8.60	%		7.41	%
Ratio of expenses to average net assets(6)								7.78	%		8.60	%
Ratio of net investment income to average net assets(6)		12.31	%		10.58	%		8.24	%		12.31	%
Portfolio turnover rate(7)		2.17	%		0.91	%		6.38	%		2.17	%

____________

(1) Represents per share net investment income for the period, based upon weighted average shares outstanding.

(2) Net realized and unrealized gains/(losses)~~/gains~~ include rounding adjustments to reconcile change in net asset value per share.

(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, divided by the beginning market value.~~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.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 14. FINANCIAL HIGHLIGHTS (cont.)

(7) Portfolio turnover rate is calculated using the lesser of the year-to-date cash investment sales and debt repayments or year-to-date cash investment purchases over the average of the total investments at fair value.

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

~~NOTE 14. FINANCIAL HIGHLIGHTS(cont.)~~

(8) The following table provides supplemental performance ratios (annualized) measured for the three months ended March 31, ~~2020~~2021 and ~~2019:~~2020:

	Three Months Ended March 31, 2020		Three Months Ended March 31, 2019			Three Months Ended March 31, 2021		Three Months Ended March 31, 2020
Ratio of operating expenses to average net assets:
Operating expenses before incentive fees	8.60	%	5.95	%
Net investment income incentive fees	—	%	1.46	%
Ratio of expenses, excluding interest expense	4.40	%	4.69	%
					Ratio of expenses to average net assets:
					Operating expenses before incentive fees	7.78	%	8.60	%
					Net investment income incentive fees	—	%	—	%
					Ratio of expenses, excluding interest expense to average net assets	4.56	%	4.40	%

NOTE 15. RISKS AND UNCERTAINTIES

~~The U.S. capital markets are experiencing~~Periods of market volatility have occurred and could continue to occur in response to pandemics or other events outside of our control. These types of events have adversely affected and could continue to adversely affect operating results for the Company and for its portfolio companies. For example, the COVID-19 pandemic has delivered a shock to the global economy. This outbreak has led and for an unknown period of ~~extreme~~time will continue to lead to disruptions in local, regional, national and global markets and economies affected thereby, including a recession and a steep increase in unemployment in the United States.

With respect to the U.S. credit markets (in particular for middle market loans), this outbreak has resulted in, and until fully resolved is likely to continue to result in, the following among other things: (i) government imposition of various forms of shelter-in-place orders and the closing of “non-essential” businesses, resulting in significant disruption to the businesses of many middle-market loan borrowers including supply chains, demand and practical aspects of their operations, as well as in lay-offs of employees, and, while these effects are hoped to be temporary, some effects could be persistent or even permanent; (ii) increased draws by borrowers on revolving lines of credit; (iii) increased requests by borrowers for amendments and waivers of their credit agreements to avoid default, increased defaults by such borrowers and/or increased difficulty in obtaining refinancing at the maturity dates of their loans; (iv) volatility and ~~disruption. In December 2019, a novel strain~~disruption of ~~coronavirus (also known~~these markets including greater volatility in pricing and spreads and difficulty in valuing loans during periods of increased volatility, and liquidity issues; and (v) rapidly evolving proposals and/or actions by state and federal governments to address problems being experienced by the markets and by businesses and the economy in general which will not necessarily adequately address the problems facing the loan market and middle market businesses.

While several countries, as ~~“COVID-19”) surfaced~~well as certain states, counties and cities in ~~China and has since been detected in numerous countries, including~~ the United ~~States.~~States, have relaxed initial public health restrictions with the view to partially or fully reopening their economies, many cities have since experienced a surge in the reported number of cases, hospitalizations and deaths related to the COVID-19 ~~spread quickly~~pandemic. These surges have led to the re-introduction of such restrictions and ~~has been identified~~business shutdowns in certain states in the United States and globally and could continue to lead to the re-introduction of such restrictions elsewhere. Health advisors warn that recurring COVID-19 outbreaks will continue if reopening is pursued too soon or in the wrong manner, which may lead to the re-introduction or continuation of certain public health restrictions (such as ~~a global pandemic by the World Health Organization. In response, governmental authorities have imposed restrictions~~instituting quarantines, prohibitions on travel and the ~~temporary~~ closure of ~~many corporate~~ offices, businesses, schools, retail stores ~~restaurants~~ and ~~manufacturing facilities~~other public venues). Additionally, as of late December 2020, travelers from the United States are not allowed to visit Canada, Australia or the majority of countries in Europe, Asia, Africa and ~~factories~~South America. These continued travel restrictions may prolong the global economic downturn. In addition, although the Federal Food and Drug Administration authorized vaccines for emergency use starting in December 2020, and such vaccines have been distributed and administered nationally through April 2021, it remains unclear how quickly the vaccines will continue to be distributed nationwide, and globally, or when “herd immunity” will be achieved and the restrictions that were imposed to slow the spread of the virus will be lifted entirely. Any delay in

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 15. RISKS AND UNCERTAINTIES (cont.)

distributing the vaccines could lead people to continue to self-isolate and not participate in the economy at pre-pandemic levels for a prolonged period of time. Even after the COVID-19 pandemic subsides, the U.S. economy and most other major global economies may continue to experience a recession, and we anticipate our business and operations could be materially adversely affected ~~jurisdictions, including, beginning in March 2020,~~by a prolonged recession in the United ~~States.~~ States and other major markets.

This outbreak is having, and any future outbreaks could have, an adverse impact on the markets and the economy in general, which could have a material adverse impact on, among other things, the ability of lenders to originate loans, the volume and type of loans originated, and the volume and type of amendments and waivers granted to borrowers and remedial actions taken in the event of a borrower default, each of which could negatively impact the amount and quality of loans available for investment by the Company and returns to the Company, among other things. As of the date of this quarterly report on Form 10-Q, it is impossible to determine the scope of this outbreak, or any future outbreaks, how long any such outbreak, market disruption or uncertainties may last, the effect any governmental actions will have or the full potential impact on the Company and our portfolio companies. Any potential impact to our results of operations will depend to a large extent on future developments and new information that could emerge regarding the duration and severity of COVID-19 and the actions taken by authorities and other entities to contain COVID-19 or treat its impact, all of which are beyond our control. These potential impacts, while uncertain, could adversely affect our and our portfolio companies’ operating results.

If the economy is unable to substantially reopen, and high levels of unemployment continue for an extended period of time, loan delinquencies, loan non-accruals, problem assets, and bankruptcies may increase. In addition, collateral for our loans may decline in value, which could cause loan losses to increase and the net worth and liquidity of loan guarantors could decline, impairing their ability to honor commitments to us. An increase in loan delinquencies and non-accruals or a decrease in loan collateral and guarantor net worth could result in increased costs and reduced income which would have a material adverse effect on our business, financial condition or results of operations. Additionally, oil prices collapsed to an 18-year low on supply glut concerns, as shutdowns across the global economy sharply reduced oil demand while Saudi Arabia and Russia engaged in a price war. Central banks and governments have responded with liquidity injections to ease the strain on financial systems and stimulus measures to buffer the shock to businesses and consumers. These measures have helped stabilize certain portions of the financial markets over the short term, but volatility will likely remain elevated until the health crisis itself is under control (via fewer new cases, lower infection rates and/or verified treatments). There are still many unknowns and new information is incoming daily, compounding the difficulty of modeling outcomes for epidemiologists and economists alike.

We cannot be certain as to the duration or magnitude of the economic impact of the COVID-19 pandemic in the markets in which we and our portfolio companies operate, including with respect to travel restrictions, business closures, mitigation efforts (whether voluntary, suggested, or mandated by law) and corresponding declines in economic activity that may negatively impact the U.S. economy and the markets for the various types of goods and services provided by U.S. middle market companies. Depending on the duration, magnitude and severity of these conditions and their related economic and market impacts, certain portfolio companies may suffer declines in earnings and could experience financial distress, which could cause them to default on their financial obligations to the Company and their other lenders.

We will also be negatively affected if our operations and effectiveness or the operations and effectiveness of a portfolio company (or any of the key personnel or service providers of the foregoing) is compromised or if necessary or beneficial systems and processes are disrupted.

Any public health emergency, including the COVID-19 pandemic or any outbreak of other existing or new epidemic diseases, or the threat thereof, and the resulting financial and economic market uncertainty could have a significant adverse impact on the Company and the fair value of its investments. Our valuations, and particularly valuations of private investments and private companies, are inherently uncertain, may fluctuate over short periods of time and are often based on estimates, comparisons and qualitative evaluations of private information that may not show the complete impact of the COVID-19 pandemic and the resulting measures taken in response thereto. These potential impacts, while uncertain, could adversely affect our and our portfolio companies’ operating results.

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2021
(unaudited)

NOTE 15. RISKS AND UNCERTAINTIES (cont.)

The COVID-19 pandemic and the resulting economic dislocations have had adverse consequences for the business operations of some of the Company’s portfolio companies and CLO investments and have adversely affected, and ~~threaten to~~will likely continue to adversely affect, the Company’s operations. The operational and financial performance of the portfolio companies in which the Company makes investments depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the valuation of its investments.

Although it is difficult to predict the extent of the impact of the COVID-19 outbreak on the underlying CLO vehicles the Company invests in, the failure by a CLO vehicle to satisfy certain financial covenants, including with respect to adequate collateralization and/or interest coverage tests, could lead to a reduction in its payments to us. In the event that a CLO vehicle fails certain tests, holders of debt senior to us may be entitled to additional payments that would, in turn, reduce the payments we would otherwise be entitled to receive. Separately, the Company may incur expenses to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting CLO vehicle or any other investment we may make. If any of these occur, it could materially and adversely affect the Company’s operating results and cash flows.

As a BDC, the Company is required to carry its investments at fair value as determined in good faith by or under the direction of its Board. Decreases in 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.

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 addition to the general risks associated with investing in debt securities, CLO vehicles carry additional risks, including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the fact that the Company’s investments in CLO tranches will likely be subordinate to other senior classes of note tranches thereof; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the CLO vehicle or unexpected investment results. The 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 Company paid for those investments.

~~OXFORD SQUARE CAPITAL CORP.~~

~~NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~
~~March 31, 2020~~
~~(unaudited)~~

~~NOTE 15. RISKS AND UNCERTAINTIES(cont.)~~

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, 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 16. SUBSEQUENT EVENTS

The following distributions payable to stockholders are shown below:

Date Declared	Record Date	Payable Date	Per Share Distribution Amount Declared
~~Record Dates~~February 23, 2021	~~Payable Dates~~
~~$0.067~~April 16, 2021	~~April15, 2020~~April 30, 2021	~~April30, 2020~~$0.035
~~$0.067~~February 23, 2021	~~May14, 2020~~May 14, 2021	~~May29, 2020~~
~~$0.067~~May 28, 2021	~~June15, 2020~~$0.035
February 23, 2021	~~June30, 2020~~June 16, 2021	June 30, 2021	$0.035
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

The Company’s management evaluated subsequent events through the date of issuance of these consolidated financial statements and noted no other events that necessitate adjustments to or disclosure in the financial statements.

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 contains forward-looking statements that involve substantial risks and uncertainties. These forward-looking statements are not historical facts, but rather are based on current expectations, estimates and projections about 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 statements. The forward-looking statements contained in this Quarterly Report on Form 10-Q involve risks and uncertainties, including statements as to:

• our future operating 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 and the impact of the COVID-19 pandemic thereon;

• the ~~impact of any protracted decline in the liquidity of credit markets on our business and the impact of the COVID-19~~ ~~pandemic thereon;~~

• ~~our future operating results and impacts of the COVID-19~~ ~~pandemic thereon;~~

• ~~the~~ ability of our portfolio companies and CLO investments to achieve their objectives, including as a result of the ~~current~~ 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;

• the timing of cash flows, if any, from the operations of our portfolio companies and CLO investments and the impact of the COVID-19 pandemic thereon; and

• the ability of our investment adviser to locate suitable investments for us and to monitor and administer our investments and the ~~impacts~~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 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 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

• the risks, uncertainties and other factors we identify inItem 1A. — Risk Factors contained in our Annual Report on Form 10-K for the year ended ~~December31, 2019,~~December 31, 2020, elsewhere in this Quarterly Report on Form 10-Q and in our other filings with the SEC.

Although we believe that the assumptions on which these forward-looking statements are based are reasonable, any of those assumptions could prove to be inaccurate, and as a result, the 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 statement in this Quarterly Report on FoForm 10~~rm 10-Q~~-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 ~~December31, 2019,~~December 31, 2020, and elsewhere in this Quarterly Report on Form 10-Q. You should not place undue reliance on these forward-looking statements, which apply only as of the date of this Quarterly Report on Form 10-Q.

Except where the context requires otherwise, the terms “OXSQ,” “Company,” “we,” “us” and “our” refer to Oxford Square Capital Corp. together with its subsidiary Oxford Square Funding 2018, LLC (“OXSQ Funding”); “Oxford Square Management” refers to Oxford Square Management, LLC; and “Oxford Funds” refers to 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.

OVERVIEW

Our investment objective is to maximize our portfolio’s total return. Our primary focus is to seek an attractive 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 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 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 Oxford Square Management, LLC (“Oxford Square Management”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. Oxford Square Management is owned by Oxford Funds, LLC (“Oxford Funds”), its managing member and a related party, Charles M. Royce, a member of Oxford Square Capital Corp.’s Board of Directors (the “Board”) who holds a minority, non-controlling interest in Oxford Square Management. Jonathan H. Cohen, our Chief Executive Officer, and Saul B. Rosenthal, our President, are the controlling members of Oxford Funds. Under an investment advisory agreement (the “Investment Advisory Agreement”), we have agreed to pay 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 Oxford Funds, as administrator, for certain expenses incurred in operating the Company. Our executive officers and directors, and the executive officers of Oxford Square Management and 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 ~~$5million~~$5 million and ~~$50million~~$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. 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 ~~March31, 2020,~~March 31, 2021, our debt investments had

stated interest rates of between ~~4.49%~~3.86% and ~~10.85%~~10.25% and maturity dates of between 1419 and ~~136months.~~96 months. In addition, our ~~total~~ portfolio had a weighted average annualized yield on debt investments of approximately ~~8.77%~~7.67% as of ~~March31, 2020.~~March 31, 2021.

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 ~~March31, 2020,~~March 31, 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 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, however in some instances they may have a recurring component. We have received no fee income for managerial assistance to date.

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.

During the quarter ended ~~March31, 2020,~~March 31, 2021, the U.S. loan market ~~exhibited a heightened level of volatility. While~~strengthened versus the quarter ended December 31, 2020. U.S. loan prices, ~~remained relatively stable throughout February 2020,~~as defined by the ~~increasingly negative sentiment associated with the economic ramifications of the rapid spread of COVID-19~~ ~~led to a precipitous decline in U.S. loan prices during March 2020, with the~~ S~~&P/~~&P / LSTA Leveraged Loan Index, ~~declining to a low of 76.23%~~increased from 96.19% of par ~~value~~as of December 31, 2020 to 97.55% on ~~March23, 2020 and ending March31, 2020~~March 31, 2021, after peaking at ~~82.85% of par value.~~97.81% on February 25, 2021. As of ~~March31, 2020,~~March 31, 2021, the Company’s Board of Directors approved the fair value of the Company’s investment portfolio of approximately ~~$261.8million~~$320.6 million in good faith in accordance with the Company’s valuation procedures. The Company’s Board of Directors approved the fair value of the Company’s investment portfolio as of March31, 2020 with input from Oxford Square Management based on information available at the time of approval, including trailing data and forward looking data. We believe that the COVID~~-19~~ pandemic represents an extraordinary circumstance that materially impacts the fair value of the Company’s investments. As a result, the fair value of the Company’s portfolio investments may be further negatively impacted after March31, 2020 by circumstances and events that are not yet known.

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 ~~measure~~fair value our investment portfolio ~~at fair value~~ in accordance with the provisions of ASC 820,Fair Value Measurement and Disclosure. 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.

Level 3, defined as unobservable inputs for which little or no market data exists, therefore requiring an entity to 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 ~~March31, 2020.~~March 31, 2021.

Our Board determines the value of our 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. ~~We may engage~~Since March 2004, we have engaged third-party valuation firms to provide assistance in valuing certain of its syndicated loans and bilateral investments, including related equity investments, although our Board 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.

Syndicated Loans (Including Senior Secured Notes)

In accordance with ASC 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. During such periods of illiquidity, when we believe that the 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 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 EBITDA multiples. In addition, 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 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

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, 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. 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. ~~In periods of illiquidity and volatility,~~

we 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 our 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 our Board upon the recommendation of the Valuation Committee, a 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 ~~current~~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: ~~Grade1,~~Grade 1, at least annually; ~~Grade2,~~Grade 2, at least semi-annually; ~~Grades3,4, and5,~~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~~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. Our Board retains ultimate authority as to the third-party review cycle as well as the appropriate valuation of each investment.

Refer to “Note 4. Fair Value” in the notes to our ~~Board~~consolidated financial statements for ~~its determination~~more information on investment valuation and our portfolio of ~~fair value of these~~ 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 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 loans to accrual status when past due principal and interest is paid and, in our judgment, is likely to remain current. As of ~~March31, 2020 and December31, 2019,~~March 31, 2021, we had ~~two~~one debt ~~investments~~investment that was on non-accrual status.

Interest income also includes a payment-in-kind (“PIK”) ~~provision~~component on certain investments in our portfolio. Refer to the section below, “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 ~~equity~~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 ~~equity~~stock dividends are computed at ~~the~~their contractual ~~rate is~~rates and are accrued into income and ~~recorded as interest and dividend income, respectively. The PIK amounts are~~ added to the principal ~~balance~~balances on the capitalization ~~date.~~dates. Upon capitalization, the PIK ~~component is subject to~~portions of the investments are valued at their respective fair ~~value estimates associated with their related investments. At the point~~values. If we believe ~~the~~that a PIK is not fully expected to be realized, the PIK investment ~~will~~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 ~~realized.~~ultimately collectible in cash. For the ~~quarter~~three months ended ~~March31, 2020,~~March 31, 2021, no PIK preferred ~~equity~~stock dividends were recognized as dividend ~~income as they were not expected to be fully realized.~~income.

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, based upon estimated cash flows, ~~their expected~~amounts and timing ~~and expected redemption,~~ 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~~GAAP statement of operations differs from both the tax-basis investment income and from the cash distributions actually received by us during the period.

Other Income

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 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 ~~$261.8million~~$320.6 million and ~~$364.8million~~$294.7 million as of ~~March31,~~March 31, 2021, and December 31, 2020, ~~and December31, 2019,~~ respectively. The ~~decrease~~increase in the value of investments during the three month period ended ~~March31, 2020~~March 31, 2021, was due primarily to net unrealized ~~depreciation~~appreciation on our investment portfolio of approximately ~~$85.4million~~$31.0 million (which incorporates reductions to CLO equity cost value of ~~$2.0million)~~$6.0 million) and ~~debt repayments and sales~~$32.9 million of ~~securities totaling approximately $23.0million~~investments acquired, which was partially offset by ~~purchases~~$16.4 million of debt repayments, $1.8 million of sales of investments and realized losses of ~~approximately $7.4million.~~ $14.1 million.

A reconciliation of the investment portfolio for the three months ended ~~March31, 2020~~March 31, 2021 and the year ended ~~December31, 2019~~December 31, 2020 follows:

($ in millions)	March 31, 2020			December 31, 2019			March 31, 2021			December 31, 2020
Beginning investment portfolio	$	364.8		$	445.0		$	294.7		$	364.8
Portfolio investments acquired		7.4			54.8			32.9			93.8
Debt repayments		(12.0	)		(43.9	)		(16.4	)		(80.4	)
Sales of securities		(11.1	)		(15.9	)		(1.8	)		(54.2	)
Reductions to CLO equity cost value(1)		(2.0	)		(12.8	)		(6.0	)		(13.0	)
Non-cash interest income due to PIK		0.1			8.0			—			0.3
Accretion of discounts on investments~~(2)~~		0.3			0.8			0.2			1.4
Net change in unrealized appreciation/depreciation on investments		(85.4	)		(69.5	)		31.0			(9.8	)
Net realized losses on investments		(0.3	)		(1.7	)		(14.1	)		(8.2	)
Ending investment portfolio(2)	$	261.8		$	364.8		$	320.6		$	294.7

____________

(1) For the three months ended March 31, ~~2020,~~2021, the reduction to cost value on our CLO equity investments ~~represents~~of approximately $6.0 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 three months ended March 31, ~~2020,~~2021, of approximately ~~$6.7~~$10.6 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 ~~$4.8~~$4.6 million. For the year ended December 31, ~~2019,~~2020, the reduction to

____________

cost value on our CLO equity investments ~~represents~~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, ~~2019,~~2020, of approximately ~~$38.0~~$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 ~~$25.2~~$15.4 million.

(2) ~~Includes rounding adjustment~~Totals may not sum due to ~~reconcile ending investment portfolio as of March 31, 2020 and December 31, 2019.~~rounding.

During the three months ended ~~March31,~~March 31, 2021 we purchased approximately $32.9 million in portfolio investments, which includes additional investments of approximately $14.8 million in existing portfolio companies and approximately $18.1 million in new portfolio companies. During the year ended December 31, 2020, we purchased approximately ~~$7.4million in portfolio investments, which represented an additional investment in an existing portfolio company. During the year ended December31, 2019, we purchased approximately $54.8million~~$93.8 million in portfolio investments, including additional investments of approximately ~~$14.3million~~$22.1 million in existing portfolio companies and approximately ~~$40.4million~~$71.8 million in new portfolio companies.

In certain instances, we receive 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 three months ended ~~March31, 2020~~March 31, 2021 and the year ended ~~December31, 2019,~~December 31, 2020, we recognized proceeds from the sales of securities of approximately ~~$11.1million~~$1.8 million and ~~$15.9million,~~$54.2 million, respectively. Also, during the three months ended ~~March31, 2020~~March 31, 2021 and the year ended ~~December31, 2019,~~December 31, 2020, we had debt repayments of approximately ~~$12.0million~~$16.4 million and ~~$43.9million,~~$80.4 million, respectively.

As of ~~March31,~~March 31, 2021, we had investments in debt securities of, or loans to, 16 portfolio companies, with a fair value of approximately $193.4 million, and CLO equity investments of approximately $127.2 million.

As of December 31, 2020, we had investments in debt securities of, or loans to, 2016 portfolio companies, with a fair value of approximately ~~$188.0million,~~$172.2 million, and CLO equity investments of approximately ~~$73.7million. For the three months ended March31, 2020,~~$122.5 million. Interest income on our debt ~~and preferred stock~~ investments included approximately ~~$0.1million~~$0.3 million in PIK ~~interest/dividends, which, as described in “— Overview” above, is added to the carrying value of our investments, reduced by repayments of principal.~~

As of December31, 2019, we had investments in debt securities of, or loans to, 21 portfolio companies, with a fair value of approximately $241.4million, and equity investments of approximately $123.4million. For the year ended December31, 2019, our debt and preferred stock investments included approximately $8.0million in PIK interest/dividends,interest, which, as described in “— Overview” above, is added to the carrying value of our investments, reduced by repayments of principal.

The following table indicates the quarterly portfolio investment activity for the past five quarters:

Three Months Ended ($ in millions)

Purchases of
Investments

Debt
Repayments

Reductions
to CLO
Equity Cost(1)

Sales of
Investments
March 31, 2020

$
7.4

$
12.0

$
2.0

$
11.1
Total 2020

$
7.4

$
12.0

$
2.0

$
11.1
December 31, 2019

$
3.9

$
19.7

$
5.5

$
—
September 30, 2019

—

0.2

3.2

4.9
June 30, 2019

46.4

23.5

2.6

7.4
March 31, 2019

4.4

0.4

1.4

3.6
Total 2019(2)

$
54.8

$
43.9

$
12.8

$
15.9

Three Months Ended ($ in millions)	Purchases of Investments		Debt Repayments		Reductions to CLO Equity Cost(1)		Sales of Investments
March 31, 2021	$	32.9	$	16.4	$	6.0	$	1.8
Total 2021 to date	$	32.9	$	16.4	$	6.0	$	1.8
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.

The following table shows the fair value of our portfolio of investments by asset class as of ~~March31, 2020~~March 31, 2021 and ~~December31, 2019:~~December 31, 2020:

March 31, 2020

December 31, 2019
($ in millions)

Investments at
Fair Value

Percentage of
Total Portfolio

Investments at
Fair Value

Percentage of
Total Portfolio
Senior Secured Notes

$
187.6

71.7
%

$
240.5

65.9
%
CLO Debt

0.5

0.2
%

0.8

0.2
%
CLO Equity

73.3

28.0
%

120.6

33.1
%
Equity and Other Investments

0.4

0.1
%

2.8

0.8
%
Total(1)

$
261.8

100.0
%

$
364.8

100.0
%

~~____________~~

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

	March 31, 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	$	193.4	60.3	%	$	172.2	58.4	%
CLO Debt		—	0.0	%		—	0.0	%
CLO Equity		127.2	39.7	%		122.5	41.6	%
Equity and Other Investments		—	0.0	%		—	0.0	%
Total	$	320.6	100.0	%	$	294.7	100.0	%

Qualifying assets must represent at least 70.0% of the Company’s total assets at the time of acquisition of any additional non-qualifying assets. As of ~~March31, 2020,~~March 31, 2021, we held qualifying assets that represented ~~73.0%~~63.8% of our total assets. 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 ~~March31, 2020~~March 31, 2021 and ~~December31, 2019:~~December 31, 2020:

	March 31, 2020				December 31, 2019				March 31, 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)	$	73.8	28.3	%	$	121.4	33.3	%	$	127.2	39.7	%	$	122.5	41.6	%
Business services										70.5	22.0	%		60.4	20.5	%
Healthcare		49.0	18.7	%		59.6	16.3	%		53.2	16.6	%		41.7	14.1	%
Business services		44.3	16.9	%		59.3	16.3	%
Diversified insurance										22.2	6.9	%		10.8	3.7	%
Telecommunication services										14.5	4.5	%		11.8	4.0	%
Software		30.9	11.8	%		40.2	11.0	%		13.3	4.1	%		13.3	4.5	%
Telecommunication services		13.6	5.2	%		14.5	4.0	%
Financial intermediaries		12.4	4.7	%		21.2	5.8	%
Logistics		11.0	4.2	%		12.7	3.5	%
Utilities		10.2	3.9	%		12.2	3.3	%		7.3	2.3	%		7.2	2.4	%
Diversified insurance		6.4	2.4	%		9.9	2.7	%
Plastics Manufacturing										7.1	2.2	%		7.0	2.4	%
Aerospace and defense										5.4	1.7	%		5.4	1.8	%
Education		5.1	2.0	%		5.6	1.5	%		—	0.0	%		14.6	5.0	%
Aerospace and defense		4.7	1.8	%		5.4	1.5	%
IT consulting		0.4	0.1	%		2.8	0.8	%
Total(2)	$	261.8	100.0	%	$	364.8	100.0	%	$	320.6	100.0	%	$	294.7	100.0	%

____________

(1) Reflects our debt and equity investments in CLOs as of March 31, ~~2020~~2021, and December 31, ~~2019,~~2020, respectively.

(2) Totals may not sum due to rounding.

PORTFOLIO GRADING

We have adopted a credit grading system to monitor the quality of our debt investment portfolio. As of ~~March31,~~March 31, 2021 and December 31, 2020, ~~and December31, 2019,~~ 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.

~~At March31,~~As of March 31, 2021 and December 31, 2020, ~~and December31, 2019,~~ our debt investment portfolio was graded as follows:

March 31, 2020
Grade

Summary Description

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 OXSQ’s cost basis and interest is expected for the specific tranche.

191.1

73.8
%

152.2

80.9
%
3

Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.

42.4

16.4
%

30.7

16.3
%
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.

—

—
%

—

—
%
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.

25.5

9.8
%

5.1

2.8
%

Total

$
259.0

100.0
%

$
188.0

100.0
%

($ in millions)

December 31, 2019
Grade

Summary Description

PrincipalValue

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.

$
—

—
%

$
—

—
%
2

Full repayment of the outstanding amount
of OXSQ’s cost basis and interest is expected for the specific tranche.

206.6

75.3
%

200.5

83.1
%
3

Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.

42.5

15.5
%

35.1

14.5
%
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.

10.2

3.7
%

3.6

1.5
%
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.

15.0

5.5
%

2.3

0.9
%

Total(1)

$
274.2

100.0
%

$
241.4

100.0
%

($ in millions)		March 31, 2021
Grade	Summary Description	Principal Value		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.		184.9	87.7	%		177.4	91.8	%
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	%		12.4	6.4	%
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.		11.7	5.5	%		3.6	1.8	%
	Total	$	210.9	100	%	$	193.4	100	%

($ 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.	$	—	—	%	$	—	—	%
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.

We expect that a portion of our investments will be in the ~~grades3,~~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 ~~grades3,~~grades 3, 4 or 5 may fluctuate from period to period.

RESULTS OF OPERATIONS

Set forth below is a comparison of our results of operations for the three months ended ~~March31, 2020~~March 31, 2021 to the three months ended ~~March31, 2019.~~March 31, 2020.

Investment Income

Investment income for the three months ended ~~March31,~~March 31, 2021 and March 31, 2020 ~~and March31, 2019~~ was approximately ~~$10.8million~~$9.4 million and ~~$14.2million, respectively, reflecting a decrease of approximately $3.4million.~~$10.8 million, respectively. The following tables set forth the components of investment income for the three months ended ~~March31, 2020~~March 31, 2021 and ~~Mar~~chMarch 31, ~~2019~~:2020:

	Three Months Ended March 31, 2020		Three Months Ended March 31, 2019		Three Months Ended March 31, 2021		Three Months Ended March 31, 2020
Interest income
Interest Income
Stated interest income	$	5,174,745	$	6,910,526	$	3,536,196	$	5,174,745
Original issue discount and market discount income		285,707		134,992		210,581		285,707
Payment-in-kind interest income		62,155		89,288		—		62,155
Discount income derived from unscheduled remittances at par		131,648		13,675		475,260		131,648
Total interest income	$	5,654,255	$	7,148,481		4,222,037		5,654,255
Income from securitization vehicles	$	4,759,070	$	6,846,925
Income from securitization vehicles and investments						4,681,300		4,759,070
Other income
Fee letters	$	163,851	$	101,800		107,961		163,851
Loan prepayment and bond call fees		200,000		—		300,000		200,000
All other fees		47,512		127,908		48,392		47,512
Total other income	$	411,363	$	229,708		456,353		411,363
Total investment income	$	10,824,688	$	14,225,114	$	9,359,690	$	10,824,688

The decrease in total investment income for the three months ended March 31, 2021 was primarily due to a decrease in ~~income from securitization vehicles of approximately $2.1million and stated~~ interest income ~~of approximately $1.7million.~~ for the three months ended March 31, 2021.

The total principal value of income producing debt investments as of ~~March31,~~March 31, 2021 and March 31, 2020 ~~and March31, 2019~~ was approximately ~~$233.5million~~$199.2 million and ~~$298.1million,~~$233.5 million, respectively.

As of ~~March31, 2020,~~March 31, 2021, our debt investments had a range of stated interest rates of ~~between 4.49%~~3.86% and ~~10.85%~~10.25% and maturity dates of between 1419 and ~~136months~~96 months compared to a range of stated interest rates of ~~6.02%~~4.49% to ~~13.14%~~10.85% and maturity dates between 2614 and ~~148months~~136 months as of ~~March31, 2019.~~March 31, 2020. In addition, our total debt portfolio had a weighted average yield on debt investments of approximately 7.67% as of March 31, 2021, compared to approximately 8.77% as of ~~March31, 2020, compared to approximately 9.80% as of March31, 2019.~~March 31, 2020. As of ~~March31, 2020, two~~March 31, 2021, one debt ~~investments were~~investment was on non-accrual status with a ~~combined~~ fair value of approximately ~~$5.2million~~$3.6 million and total principal value of approximately ~~$25.5million.~~$11.7 million.

Income from securitization vehicles for the three months ended ~~March31,~~March 31, 2021 and March 31, 2020, ~~and March31, 2019~~ was approximately ~~$4.8million~~$4.7 million and ~~$6.8million,~~$4.8 million, respectively. The total principal outstanding on our investments in CLOs as of ~~March31,~~March 31, 2021 and March 31, 2020, ~~and March31, 2019~~ was approximately ~~$282.8million~~$311.4 million and ~~$254.4million,~~$282.8 million, respectively. The weighted average yield on CLO equity investments as of ~~March31,~~March 31, 2021 and March 31, 2020, ~~and March31, 2019~~ was approximately ~~9.7%~~9.4% and ~~14.6%~~9.7%, respectively.

Operating Expenses

Total expenses for the three months ended ~~March31,~~March 31, 2021 and 2020, ~~and 2019~~ were approximately ~~$4.5million~~$4.5 million and ~~$5.9million,~~$4.5 million, respectively. These amounts consisted of base management fees, interest expense, professional fees, compensation expense, general and administrative expenses, and incentive fees.

Expenses before incentive fees for the three months ended ~~March31, 2020~~March 31, 2021 were approximately ~~$4.5million,~~$4.5 million, which ~~decreased by~~were approximately ~~$0.3million from~~the same as the quarter ended ~~March31, 2019, largely attributable to lower base management fees.~~ March 31, 2020.

The ~~base management fee~~Base Fee for the three months ended ~~March31, 2020~~March 31, 2021 was approximately ~~$1.2million~~$1.4 million compared with ~~$1.6million~~$1.2 million for the three months ended ~~March31, 2019.~~March 31, 2020. The ~~decrease~~increase for the three months ended March 31, 2021 was due largely to ~~a decline~~an increase in the weighted average gross assets.

Interest expense for the three months ended ~~March31, 2020~~March 31, 2021, was approximately ~~$2.2million,~~$1.9 million, which primarily relates to our 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 of approximately $2.2 million for the three months ended March 31, 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”)~~, compared to interest expense of approximately $2.1million~~. The decrease for the three months ended ~~March31, 2019. The increase in interest expense is primarily due to the issuance~~March 31, 2021 was a result of the ~~6.25% Unsecured Notes on April3, 2019, partially offset by lower interest expense on~~full repayment of the Credit Facility ~~over~~in March 2020 and the ~~respective periods. The Credit~~expiration of the Repo Facility ~~was fully repaid on March24,~~in October 2020.

Professional fees, consisting of legal, consulting, valuation, audit and tax fees, were approximately $0.5million for the quarter ended March31, 2020, compared to approximately $0.4million for the quarter ended March31, 2019. This increase is primarily due to higher audit and legal expenses during the quarter.

~~Compensation expenses were approximately $0.2million~~$0.7 million for the three months ended ~~March31, 2020,~~March 31, 2021, compared to approximately ~~$0.2million~~$0.5 million for the three months ended ~~March31, 2019, reflecting~~March 31, 2020. The increase for the three months ended March 31, 2021 was primarily due to higher legal fees.

Compensation expense was approximately $0.2 million for the three months ended March 31, 2021, which was approximately the same as the three months ended March 31, 2020. Compensation expense reflects the allocation of compensation expenses for the services of our Chief Financial Officer, accounting personnel, and other administrative support staff.

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~~was approximately ~~$0.4million~~$0.4 million for the three months ended ~~March31, 2020, compared to~~March 31, 2021, which was approximately ~~$0.3million for~~the same as the three months ended ~~March31, 2019.~~March 31, 2020. Office supplies, facilities costs and other expenses are allocated to us under the terms of the Administration Agreement.

Incentive Fees

There was no net investment income incentive fee (“Net Investment Income Incentive Fee”) recorded for the three months ended ~~March31,~~March 31, 2021 and 2020 ~~compared to $1.2million for the three months ended March31, 2019. The net investment income incentive fee for the three months ended March31, 2020 was fully reduced to zero~~ due to the ~~Total Return Requirement as described in “Note 7. Related Party Transactions” in the notes to our consolidated financial statements.~~

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 Fee Net Investment Income” for the immediately preceding calendar quarter exceeds (y) the “Preferred Return Amount” for the calendar ~~quarter (see “Note 7. Related Party Transactions” in the notes to our consolidated financial statements).~~quarter. For this purpose, “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 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 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 months ended ~~March31, 2020 and March31, 2019,~~March 31, 2021, no accrual was required as a result of the impact of accumulated net unrealized depreciation and net realized losses on our portfolio.

The 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 months ended ~~March31,~~March 31, 2021 and 2020, ~~and March31, 2019,~~ 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 ~~March31,~~March 31, 2021, we recognized net realized losses on investments of approximately $14.1 million, which primarily reflects the extinguishment of a debt investment which was previously on non-accrual status.

For the three months ended March 31, 2021, our net change in unrealized appreciation was approximately $31.0 million, composed of $19.2 million in gross unrealized appreciation, $2.2 million in gross unrealized depreciation and approximately $14.0 million relating to the reversal of prior period net unrealized depreciation as investment gains and losses were realized. This includes net unrealized appreciation of approximately $6.0 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 $10.6 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 $4.6 million. The most significant components of the net change in unrealized appreciation during the three months ended March 31, 2021, were as follows (in millions):

Portfolio Company	Net Change in unrealized appreciation
Imagine Print Solutions, LLC	$	13.4
Cedar Funding II CLO, Ltd.		4.0
Sound Point CLO XVI, Ltd.		3.3
Global Tel Link Corp.		2.6
West CLO 2014-1, Ltd.		1.3
Net all other		6.4
Total	$	31.0

For the three months ended March 31, 2020, we recognized net realized losses on investments of approximately ~~$0.3million,~~$0.3 million, which primarily reflects the loss from the sale of several senior secured loan investments.

For the three months ended ~~March31,~~March 31, 2020, our net change in unrealized depreciation was approximately ~~$85.4million,~~$85.4 million, composed of ~~$0.1million~~$0.1 million in gross unrealized appreciation, ~~$85.5million~~$85.5 million in gross unrealized depreciation. This includes net unrealized appreciation of approximately ~~$2.0million~~$2.0 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 increase in net unrealized depreciation for the three months ended ~~March31,~~March 31, 2020 was due primarily to the negative economic impact and the increased uncertainty caused by COVID-19.

The most significant components of the net change in unrealized depreciation during the three months ended ~~March31,~~March 31, 2020 were as follows (in millions):

Portfolio Company

NetChange in
Unrealized
Depreciation
Sound Point CLO XVI, Ltd.

$
7.9
Cedar Funding II CLO, Ltd.

4.4
Quest Software, Inc.

4.2
Nassau 2019-I Ltd.

4.2
Shift4 Payments, LLC (f/k/a Lighthouse Network, LLC)

3.9
Net all other

60.8
Total

$
85.4

For the three months ended March31, 2019, we recognized net realized losses on investments of approximately $1.3million, which primarily reflects the loss from the sale of several CLO equity investments.

For the three months ended March31, 2019, our net change in unrealized appreciation/depreciation was approximately $5.7million primarily due to improvements in the corporate loan market, composed of $12.0million in gross unrealized appreciation, $7.9million in gross unrealized depreciation and approximately $1.6million relating to the reversal of prior period net unrealized depreciation as investment gains and losses were realized. This includes net unrealized appreciation of approximately $1.4million 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 three months ended March31, 2019 were as follows (in millions):~~

Portfolio Company

NetChange in
Unrealized
Appreciation
(Depreciation)
KVK CLO 2013-2, Ltd..

$
1.5

Unitek Global Services, Inc..

1.5

Cedar Funding II CLO, Ltd..

1.4

AMMC CLO XII, Ltd..

1.2

Premiere Global Services, Inc..

(5.5
)
Net all other

5.6

Total

$
5.7

Portfolio Company	Net Change in Unrealized Depreciation
Sound Point CLO XVI, Ltd.	$	7.9
Cedar Funding II CLO, Ltd.		4.4
Quest Software, Inc.		4.2
Nassau 2019-I Ltd.		4.2
Shift4 Payments, LLC (f/k/a Lighthouse Network, LLC)		3.9
Net all other		60.8
Total	$	85.4

Net Increase in Net Assets Resulting from Net Investment Income

Net investment income for the three months ended ~~March31,~~March 31, 2021 and March 31, 2020 ~~and March31, 2019~~ was approximately ~~$6.4million~~$4.8 million and ~~$8.4million,~~$6.4 million, respectively. ~~The~~This decrease in net investment income was ~~partially offset by~~primarily due to a decrease in ~~total expenses over the period.~~interest income.

For the three months ended ~~March31, 2020,~~March 31, 2021, the net increase in net assets resulting from net investment income per common share was ~~$0.13~~$0.10 (basic and diluted), compared to the net increase in net assets resulting from net investment income per share of ~~$0.18~~$0.13 (basic and diluted) for the three months ended March31, 20~~19.~~2020. The per share decrease is due to lower interest income for the three months ended March 31, 2021.

Net Increase/~~Decrease~~(Decrease) in Net Assets Resulting from Operations

Net ~~decrease~~increase in net assets resulting from operations for the three months ended ~~March31, 2020~~March 31, 2021 was approximately ~~$79.4million~~$21.8 million compared with a net ~~increase~~decrease in net assets resulting from operations of approximately ~~$12.7million~~$79.4 million for the three months ended ~~March31, 2019. This decrease was largely due to unrealized depreciation on investments of $85.4million for the three months ended March31,~~March 31, 2020.

For the three months ended ~~March31, 2020,~~March 31, 2021, the net ~~decrease~~increase in net assets resulting from operations per common share was ~~$1.62~~$0.44 (basic and diluted), compared to a net ~~increase~~decrease in net assets resulting from operations per share of ~~approximately $0.27~~$1.62 (basic and diluted) for the three months ended ~~March31, 2019.~~March 31, 2020.

LIQUIDITY AND CAPITAL RESOURCES

As of ~~March31, 2020,~~March 31, 2021, cash and cash equivalents were approximately ~~$7.8million~~$39.7 million as compared to approximately ~~$14.4million~~$59.1 million as of ~~December31, 2019.~~December 31, 2020. For the three months ended ~~March31, 2020,~~March 31, 2021, net cash ~~provided by~~used in operating activities for the period, consisting primarily of the items described in “— Results of Operations,” was approximately ~~$23.4million,~~$14.2 million, largely reflecting purchases of investments of approximately $45.2 million and net change in unrealized appreciation of approximately $31.0 million, partially offset by proceeds from principal repayments and sales of investments of approximately ~~$21.3million~~$19.2 million and net ~~change in unrealized depreciation of $85.4million offset by purchases of~~realized losses on investments of ~~$7.4million.~~approximately $14.1 million. For the three ~~months~~ ended ~~March31, 2020,~~March 31, 2021, net cash used in financing activities was approximately ~~$32.0million,~~$5.2 million, reflecting the ~~distribution~~payment of ~~dividends and repayment of the Credit Facility partially offset by proceeds from the issuance of common stock.~~

From time to time, we may seek to retire, repurchase, or exchange our debt and equity securities in open market purchases or by other means dependent on market conditions, liquidity, contractual obligations, and other matters.distributions.

Contractual Obligations

A summary of our significant contractual payment obligations as of ~~March31, 2020~~March 31, 2021, is as follows:

			Payments Due by Period
Contractual obligations ($ in millions)	Principal Amount		Less than 1 year		1 – 3 years		3 – 5 years		More than 5 years
Contractual obligations (in millions)											Principal Amount		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	$	—	$	64.4	$	—	$	64.4	$	—	$	—
6.25% Unsecured Notes		44.8		—		—		—		44.8		44.8		—		—		—		44.8
	$	109.2	$		$		$	64.4	$	44.8	$	109.2	$	—	$	64.4	$	—	$	44.8

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 ~~March31, 2020,~~March 31, 2021, we did not have any commitments to purchase additional investments.

Share Issuance Program

On ~~October18,~~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 months ended March 31, 2021, we did not sell any shares of common stock pursuant to the ATM offering.

Borrowings

In accordance with the 1940 Act, with certain limited exceptions, as of March 31, 2021, we were only allowed to borrow amounts such that our asset coverage, as defined in the 1940 Act, was at least 150%, immediately after such borrowing. As of March 31, 2021 and December 31, 2020, our asset coverage for borrowed amounts was approximately 320% 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 amended by the Small Business Credit Availability 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 the Company’s debt outstanding as of March 31, 2021, were 6.40% and 3.9 years, respectively, and as of December 31, 2020, were 6.40% and 4.1 years, respectively.

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. 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 6.50% Unsecured Notes 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. The 6.50% Unsecured Notes are listed on the NASDAQ Global Select Market under the trading symbol “OXSQL.”

On June 21, 2018, OXSQ Funding, a special purpose vehicle and wholly-owned subsidiary of OXSQ, 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 was due and 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 did not extend the maturity of the Credit Facility.

On April 3, 2019, we completed an underwritten public offering of approximately $44.8 million in aggregate principal amount of the 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 our 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 6.25% Unsecured Notes are listed on the NASDAQ Global Select Market under the trading symbol “OXSQZ.”

On October 18, 2019, the Company entered into a ~~$10million~~$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 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 ~~$10million~~$10 million facility amount. The Repo Facility ~~expires on October18, 2020, subject to optional termination or~~expired without extension that is mutually agreed. The Company accounts for these Reverse Repo transactions as secured financings for financial reporting purposes in accordance with GAAP. As of March31, 2020, there was no outstanding principal, or securities sold under the Repo Facility. The Company accrued approximately $21,000 in undrawn fees as of March31, 2020, which is classified as interest expense on the consolidated statement of operations.

~~Share Issuance Program~~

On August1, 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 $150.0million of the Company’s common stock through an At~~-the-Market~~ (“ATM”) offering. We sold a total of 1,098,277shares of common stock pursuant to the ATM offering during the three months ended March31, 2020. The total amount of capital raised net of underwriting fees and offering costs was approximately $5.8million during the three months ended March31, 2020. We sold a total of 1,873,080shares of common stock and received total net proceeds of approximately $10.2million under the ATM program since August1, 2019.

~~Borrowings~~

In accordance with the 1940 Act, with certain limited exceptions, as of March31, 2020, we were only allowed to borrow amounts such that our asset coverage, as defined in the 1940 Act, was at least 150%, immediately after such borrowing. As of March31, 2020, our asset coverage for borrowed amounts was 248.4%.

On April6, 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 Sect~~ion 61(a)(2) of the 1940 Act, as amended~~ by the ~~Small Business Credit Availability Act. As a result, the Company’s asset coverage requirements for senior securities was changed from 200% to 150%, effective as of April6, 2019.~~

~~The weighted average stated interest rate and weighted average maturity~~Company on ~~our debt outstanding as of March31, 2020 were 6.40% and 4.9 years, respectively, and as of December31, 2019 were 5.94% and 4.2 years, respectively.~~

On April12, 2017, we completed an underwritten public offering of approximately $64.4million in aggregate principal amount of the 6.50% Unsecured Notes. The 6.50% Unsecured Notes will mature on March30, 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 March30,October 18, 2020. The 6.50% Unsecured Notes bear interest at a rate of 6.50% per year payable quarterly on March30, June30, September30, and December 30 of each year. The 6.50% Unsecured Notes are listed on the NASDAQ Global Select Market under the trading symbol “OXSQL.”

~~On June21, 2018, OXSQ Funding, a special purpose vehicle and wholly-owned~~ subsidiary of OXSQ, 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 March21, June21, September 21 and December 21. Pursuant to the terms of the credit agreement governing the Credit Facility, OXSQ Funding borrowed approximately $95.2million. The Credit Facility had a mandatory amortization schedule such that 15.0% of the principal amount outstanding as of June21, 2018 was due and payable on June21, 2019. On each payment date occurring thereafter, an additional 6.25% of the remaining principal amount outstanding was due and payable. On October12, 2018, OXSQ Funding amended the Credit Facility with Citibank, N.A., and an additional borrowing amount of approximately $37.3million was made under the same terms as the existing credit agreement. We made partial principal repayments under the Credit Facility for the year ended December31, 2019 and December31, 2018 of approximately $57.6million and $46.8million, respectively. We also made a partial principal repayment under the Credit Facility on March23, 2020 of approximately $11.0million and repaid the remaining outstanding principal on March24, 2020 of approximately $17.1million.

On April3, 2019, we completed an underwritten public offering of approximately $44.8million in aggregate principal amount of our 6.25% unsecured notes due 2026, or the “6.25% Unsecured Notes.” The 6.25% Unsecured Notes will mature on April30, 2026, and may be redeemed in whole or in part at any time or from time to time at our option on or after April30, 2022. The 6.25% Unsecured Notes bear interest at a rate of 6.25% per year payable quarterly on January31, April30, July31, and October 31 of each year. The 6.25% Unsecured Notes are listed on the NASDAQ Global Select Market under the trading symbol “OXSQZ.”

Refer to “Note 6. Borrowings” in the notes to our consolidated financial 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 capital gains to our stockholders on an annual basis.

For the quarter ended March31, 2020, management estimated that a tax return of capital occurred of approximately $0.03 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 ability to make distributions due to the asset coverage requirements applicable to us as a BDC under the 1940 Act. If we do not distribute a certain percentage of our income annually, we will suffer adverse tax consequences, including possible loss of favorable regulated investment company tax treatment. We cannot assure stockholders that they will receive any distributions.

To the extent our taxable earnings fall below the total amount of our distributions for that fiscal year, a portion of those distributions may be deemed a return of capital to our stockholders. Thus, the source of a distribution to our stockholders may be the 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 any distribution is taxable ordinary income or capital gains. The final determination of the nature of our distributions can only be made upon the filing of our tax return. We have until ~~October15, 2020~~October 15, 2022, to file our federal income tax return for the year ended ~~December31, 2019.~~December 31, 2021.

For the quarter ended March 31, 2021, management estimated that a tax return of 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 ability to make distributions due to the asset coverage requirements applicable to us as a BDC under the 1940 Act. If we do not distribute a certain percentage of our income annually, we will suffer adverse tax consequences, including possible loss of favorable regulated investment company tax treatment. We cannot assure stockholders that they will receive any distributions.

The following table reflects the cash distributions, including distributions reinvested, if any, per share that our Board has declared on our common stock since the beginning of ~~2019:~~2020:

Date Declared(2)

Record Date

Payment Date

Total Distributions

GAAP Net Investment Income

Distributions in excess of/
(less than)
GAAP net
investment
income
Fiscal 2020

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

—(4)

—

October 25,2019

March17, 2020

March31, 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

Fiscal 2019(1)

July 25, 2019

December 18, 2019

December 31, 2019

$
0.067

$
N/A

$
—

July 25, 2019

November 15, 2019

November 29, 2019

0.067

N/A

—

July 25, 2019

October 21, 2019

October 31, 2019

0.067

N/A

—

Total (Fourth Quarter 2019)

0.201

0.18

0.02

April 23, 2019

September 23, 2019

September 30, 2019

0.067

N/A

—

April 23, 2019

August 23, 2019

August 30, 2019

0.067

N/A

—

April 23, 2019

July 24, 2019

July 31, 2019

0.067

N/A

—

Total (Third Quarter 2019)

0.201

0.19

0.01

February 22, 2019

June 21, 2019

June 28, 2019

0.067

N/A

—

February 22, 2019

May 24, 2019

May 31, 2019

0.067

N/A

—

February 22, 2019

April 23, 2019

April 30, 2019

0.067

N/A

—

Total (Second Quarter 2019)

0.201

0.27

(0.07
)

February 22, 2019

March 15, 2019

March 29, 2019

0.200

0.18

0.02

Total (First Quarter 2019)

0.200

0.18

0.02

Total (2019)

$
0.803
(1)

$
0.81
(3)

$
(0.01
)(3)

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)
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		—	(3)		—

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) The tax characterization of cash distributions for the year ending December 31, 2021 and year ended December 31, ~~2019~~2020 will not be known until the tax return for such ~~year is~~years are finalized. For the year ending December 31, 2021 and year ended December 31, ~~2019,~~2020, the amounts and sources of 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 ~~2019~~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 reporting purposes will depend upon the Company’s investment performance and may be subject to change based on tax regulations.

(2) ~~For the months ended April 30, 2019 through June 30, 2020, the Board declared monthly distributions in lieu of quarterly distributions.~~

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

~~(4)~~(3) We have not yet reported investment income for this 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 Oxford Square Management. Oxford Square Management is controlled by Oxford Funds, its managing member. 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 athe non-managing member. Oxford Funds, as the managing member of Oxford Square Management, manages the business and internal affairs of Oxford Square Management. In addition, Oxford Funds provides us with office facilities and administrative services pursuant to the Administration Agreement.

• 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 and Oxford Bridge II, LLC (together, the “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 ~~private funds that invest principally in~~(collectively, the ~~equity of CLOs.~~”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 ~~each 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 management investment company that invests primarily in equity and junior debt tranches of CLO vehicles, and its investment adviser, Oxford Lane Management, LLC. 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~~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. Coh~~enMessrs. Cohen and Rosenthal on the one hand, and the obligations of Messrs. Cohen and Rosenthal to manage Oxford Lane Capital Corp., the Oxford Bridge ~~LLC~~Funds and the Oxford ~~Bridge II, LLC,~~Gate Funds, respectively, on the other hand.

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 the Company, Oxford Lane Capital Corp., the Oxford Bridge ~~LLC~~Funds and the Oxford ~~Bridge II, LLC.~~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, an investment amount will be determined by the adviser to each entity. If the investment opportunity is sufficient for each entity to receive its investment amount, then each entity receives the investment amount; otherwise, the investment amount is reduced pro rata.

On ~~June14,~~June 14, 2017, the Securities and Exchange Commission issued an order permitting the Company and certain of its affiliates to complete negotiated co-investment transactions in portfolio companies, subject to certain conditions (the “Order”). Subject to satisfaction of certain conditions to the Order, the Company and certain of its affiliates are ~~now~~ permitted, together with any future BDCs, registered closed-end funds and certain private funds, each of whose investment adviser is the Company’s investment adviser or an investment adviser controlling, controlled by, or under common control with the Company’s investment adviser, to co-invest in negotiated investment opportunities where doing so would otherwise be prohibited under the 1940 Act, providing the Company’s stockholders with access to a broader array of investment opportunities. Pursuant to the Order, we are permitted to 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 transaction, including, but not limited to, that (1) the terms of the potential 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 transaction is consistent with the interests of our stockholders and is consistent with our 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 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 is also required to review and approve any transactions with related parties (as such term is defined in Item 404 of Regulation 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.

RECENT DEVELOPMENTS

The following distributions payable to stockholders are shown below:

~~Per Share Distribution~~ ~~Amount~~Date Declared	Record ~~Dates~~Date	Payable Dates	Per Share Distribution Amount Declared
~~$0.067~~February 23, 2021	April ~~15, 2020~~16, 2021	April 30, ~~2020~~2021	$0.035
~~$0.067~~February 23, 2021	May 14, ~~2020~~2021	May ~~29, 2020~~28, 2021	$0.035
~~$0.067~~February 23, 2021	June ~~15, 2020~~16, 2021	June 30, ~~2020~~2021	$0.035
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

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

We are subject to financial market risks, including changes in interest rates. As of ~~March31, 2020,~~March 31, 2021, all ~~of our~~ debt investments in our portfolio were at variable ~~rates.~~interest rates, representing approximately $210.8 million in principal debt. As of ~~March31, 2020, we had two debt~~March 31, 2021, all except one of our variable rate investments ~~on non-accrual~~ ~~status.~~were income producing. The variable rates are based upon the 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 investments generally reset quarterly. We expect that future debt investments will generally be made at variable rates. Many of the variable rate investments contain ~~floors. Our net investment income is affected by fluctuations in various interest rates, including LIBOR and prime rates. In addition, in a prolonged low~~ interest rate environment, including a reduction of LIBOR to zero, the difference between the total interest income earned on interest earning assets and the total interest expense incurred on interest bearing liabilities may be compressed, reducing our net interest income and potentially adversely affecting our operating results.

Based on our consolidated statements of assets and liabilities as of March31, 2020, the following table shows the annualized impact on investment income of hypothetical base rate changes in interest rates for our settled investments (considering interest rate floors 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 March31, 2020. These hypothetical calculations are based on a model of the investments in our portfolio, held as of March31, 2020, and are only adjusted for assumed changes in the underlying base interest 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,floors.

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.

~~Hypothetical Change in Interest Rates~~	~~Estimated~~ ~~Percentage~~ ~~change in~~ ~~Investment~~ ~~Income~~
~~Up 100 basis points~~	~~5.4~~	%
~~Up 200 basis points~~	~~10.8~~	%
~~Up 300 basis points~~	~~16.2~~	%
~~Down 25 basis points~~	~~(1.3~~	)%

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.

On March 5, 2021, the United Kingdom’s Financial Conduct Authority (the “FCA”), which 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 March 31, 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 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 March 31, 2021. These hypothetical calculations are based on a model of the investments in our portfolio, held as of March 31, 2021, and are only adjusted for assumed changes in the underlying base interest 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.

Hypothetical Change in LIBOR	Estimated Percentage change in Investment Income
Up 300 basis points	16.0	%
Up 200 basis points	10.6	%
Up 100 basis points	5.3	%
Down 25 basis points	(0.5	)%

ITEM 4. CONTROLS AND PROCEDURES.

(a) Evaluation of Disclosure Controls and Procedures

As of ~~March31, 2020~~March 31, 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) 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 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 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 R~~ule 13~~aRule 13a-15(f) under the Securities Exchange Act of 1934, as amended) that occurred during the quarter ended ~~March31, 2020~~March 31, 2021, that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

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 for the fiscal year ended ~~December31, 2019.~~December 31, 2020. The risks described in our Annual Report on Form 10-K are not the only risks facing 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. Other than the risk factors set forth below, there have been no material changes known to us during the three months ended ~~March31, 2020,~~March 31, 2021, to the risk factors discussed in Item 1A. Risk Factors in our Annual Report on Form 10-K for the year ended ~~December31, 2019.~~December 31, 2020.

~~Events outside~~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 ~~control, including public health crises, could negatively affect our portfolio companies and our results~~brand, the cost of our ~~operations.~~

~~Periods of market volatility have occurred~~operations and could continue to occur in response to pandemics or other events outside of our control. These types of events have adversely affected and could continue to adversely affect operating results for us and for our portfolio companies. For example, in December 2019, a novel strain of coronavirus (also known as “COVID~~-19~~”) surfaced in China and has since spread to other countries, including the United States, which has resulted in restrictions on travel and the temporary closure of many corporate offices, retail stores, and manufacturing facilities and factories in the affected jurisdictions. In addition to these developments having adverse consequences for us,our portfolio companiesand the portfolio companies held within our CLOshave been, and could continue to be, adversely impacted, including through quarantine measures and travel restrictions imposed on its personnel or service providers based or temporarily located in affected countries, or any related health issues of such personnel or service providers. As the potential impact of COVID~~-19~~ ~~is difficult to predict, the extent to which COVID-19~~ ~~could negatively affect our and our portfolio companies’ operating results or the duration of any potential business or supply-chain~~ disruption, is uncertain. Any potential impact to our results of operations will depend to a large extent on future developments and new information that could emerge regarding the duration and severity of COVID~~-19~~ ~~and the actions taken by authorities and other entities to contain COVID-19~~ ~~or treat its impact,~~relationships with investors, all of which ~~are beyond our control. These potential impacts, while uncertain,~~ could adversely affect our ~~and our portfolio companies’ operating results.~~

~~We are currently operating in a period of capital markets disruption and economic uncertainty.~~

~~The U.S. capital markets have experienced extreme volatility and disruption following the global outbreak of COVID-19~~ ~~that began in December 2019. Some economists and major investment banks have expressed concern that the continued spread of the virus globally could lead to a world-wide~~ ~~economic downturn. Disruptions in the capital markets have increased the spread between the yields realized on risk-free~~ ~~and higher risk securities, resulting in illiquidity in parts of the capital markets. These and future market disruptions and/or illiquidity would be expected to have an adverse effect on our~~ business ~~financial condition,~~and results of ~~operations and cash flows. Unfavorable economic conditions also would be expected~~operations. Additionally, new regulatory initiatives related to ~~increase~~ESG could adversely affect our funding costs, limit our access to the capital markets or result in a decision by lenders not to extend credit to us. These events have limited and could continue to limit our investment originations, limit our ability to grow and have a material negative impact on our operating results and the fair values of our debt and equity investments.business.

If the current period of capital market disruption and instability continues for an extended period of time, there is a risk that investors in our equity securities may not receive distributions consistent with historical levels or at all or that our distributions may not grow over time and a portion of our distributions may be a return of capital.

We cannot assure you that we will achieve investment results that will allow us to make a specified level of cash distributions. Our ability to pay distributions might be adversely affected by the impact of one or more of the risk factors described in this quarterly report or incorporated herein by reference, including the COVID~~-19~~ pandemic described above. For example, if the temporary closure of many corporate offices, retail stores, and manufacturing facilities and factories in the jurisdictions, including the United States, affected by the COVID~~-19~~ pandemic were to continue for an extended period of time it could result in reduced cash flows to us from our existing portfolio companies, which could reduce cash available for distribution to our stockholders. If weare unable to satisfy the asset coverage test applicable to us under the 1940 Act as a business development company or if weviolate certain covenants under our existing or future credit facilities or other leverage, we may be limited in our ability to make distributions. If we declare a distribution and if more stockholders opt to receive cash distributions rather than participate in our dividend reinvestment plan, we may be forced to sell some of our investments in order to make cash distribution payments. To the extent we make distributions to stockholders that include a return of capital, such portion of the distribution essentially constitutes a return of the stockholder’s investment. Although such return of capital may not be taxable, such distributions would generally decrease a stockholder’s basis in our common stock and may therefore increase such stockholder’s tax liability for capital gains upon the future sale of such stock. A return of capital distribution may cause a stockholder to recognize a capital gain from the sale of our common stock even if the stockholder sells its shares for less than the original purchase price.

Due to the recent COVID-19 pandemic, shares of BDCs have traded below their respective NAVs. If our shares of common stock trade at a discount from NAV, it could limit our ability to raise equity capital.

~~As a result of the COVID-19~~ pandemic, the stocks of BDCs as an industry, including shares of our common stock, have traded below NAV, at or near historic lows as a result of concerns over liquidity, leverage restrictions and distribution requirements. If our common stock trades below its NAV, we will generally not be able to issue additional shares of our common stock at its market price without first obtaining the approval for such issuance from our stockholders and our independent directors. If additional funds are not available to us, we could be forced to curtail or cease our new lending and investment activities, and our NAV could decrease and our level of distributions could be impacted.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS.

Sales of Unregistered Equity Securities

While we did not engage in unregistered sales of equity securities during the three months ended ~~March31, 2020,~~March 31, 2021, we issued ~~42,343shares~~8,357 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 three months ended ~~March31, 2020~~March 31, 2021 was ~~$0.2million.~~approximately $37,000. Also during the three months ended ~~March31, 2020,~~March 31, 2021, as part of our ~~dividend~~distribution reinvestment plan for our common stockholders, our dividend reinvestment administrator purchased ~~20,446shares~~23,202 shares of our common stock for ~~$0.1million~~$0.1 million in the open market to satisfy the reinvestment portion of our ~~dividends.~~distributions.

Issuer Purchases of Equity Securities

~~None.~~During the three months ended March 31, 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.

6664

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 on Form N-2N-2 (File No. ~~333-109055~~)333-109055), filed on ~~September23,~~September 23, 2003).
3.2		Articles of Amendment (Incorporated by reference to Exhibit 3.1 to the Registrant’s current report on Form 8-K8-K filed ~~December3,~~December 3, 2007).
3.3		Third Amended and Restated Bylaws (Incorporated by reference to Exhibit 3.3 to the Registrant’s report on Form 10-Q10-Q filed on ~~November7,~~November 7, 2016).
3.4		Articles of Amendment (Incorporated by reference to Exhibit 3.1 to the Registrant’s current report on Form 8-K8-K filed ~~March20,~~March 20, 2018).
3.5		Articles of Amendment (Incorporated by reference to Exhibit 3.2 to the Registrant’s current report on Form 8-K8-K filed ~~March20,~~March 20, 2018).
4.1		Form of Share Certificate (Incorporated by reference to Exhibit d. to the Registrant’s Registration Statement on Form N-2N-2 (File No. ~~333-109055~~)333-109055), filed on ~~September23,~~September 23, 2003).
31.1		Certification of Chief Executive Officer pursuant to Rule ~~13a-14~~13a-14 of the Securities Exchange Act of 1934, as amended.*
31.2		Certification of Chief Financial Officer pursuant to Rule ~~13a-14~~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~~Sarbanes-Oxley Act of 2002.*
32.2		Certification of Chief Financial Officer pursuant to section 906 of The ~~Sarbanes-Oxley~~Sarbanes-Oxley Act of 2002.*

____________

* Filed herewith

6765

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.

	OXFORD SQUARE CAPITAL CORP.
Date: ~~April29, 2020~~April 29, 2021	By:	/s/Jonathan H. Cohen
		Jonathan H. Cohen
		~~Jonathan H. Cohen~~ Chief Executive Officer
		(Principal Executive Officer)
Date: ~~April29, 2020~~April 29, 2021	By:	/s/Bruce L. Rubin
		Bruce L. Rubin
		~~Bruce L. Rubin~~ Chief Financial Officer
		(Principal Accounting Officer)

6866

	Quantitative Information about Level 3 Fair Value Measurements
Assets ($ in millions)	Fair Value as of March 31, 2020		Valuation Techniques/ Methodologies	Unobservable Input	Range/Weighted Average(1)	Impact to Fair Value from an Increase in Input(2)
Senior Secured Notes	$	152.3	Market quotes	NBIB(3)	10.0% – 87.0%/71.1%	NA
		28.9	Recent transactions	Actual trade/payoff(4)	73.5% – 90.3%/79.7%	NA
		6.4	Yield Analysis	Discount Margin	12.0%/ncm(6)	Decrease
CLO Debt		0.5	Market quotes	NBIB(3)	47.2%/ncm(6)	NA
CLO Equity		72.0	Market quotes	NBIB(3)	0.0% – 52.0%/25.8%	NA
		1.2	Discounted cash flow(7)	Discount rate(8)	9.5% – 17.3%/12.3%	Decrease
		0.1	Liquidation net asset value(5)	NBIB(3)	2.2%/ncm(6)	NA
Equity and Other Investments		0.4	Enterprise value(9)	EBITDA/ Market multiples(10)	$21.4 million/ncm(6) 5.5x –6.5x/ncm(6)	Increase Increase
Total Fair Value for Level 3 Investments	$	261.8

	Quantitative Information about Level 3 Fair Value Measurements
Assets ($ in millions)	Fair Value as of December 31,2019		Valuation Techniques/ Methodologies	Unobservable Input	Range/Weighted Average(1)	Impact to Fair Value from an Increase in Input(2)
Senior Secured Notes	$	201.9	Market quotes	NBIB(3)	15.0% – 100.3%/86.5%	NA
		38.7	Recent transactions	Actual trade/payoff(4)	92.0% – 100.0%/97.3%	NA
CLO debt		0.8	Market quotes	NBIB(3)	84.1%/ncm(6)	NA
CLO equity		104.5	Market quotes	NBIB(3)	2.0% – 74.0%/43.7%	NA
		11.3	Yield Analysis	Yield	17.3% – 23.9%/19.7%	Decrease
		3.4	Recent transactions	Actual trade/payoff(4)	60.3%/ncm(6)	NA
		1.3	Discounted cash flow(7)	Discount rate(8)	10.1% – 14.7%/11.9%	Decrease
		0.1	Liquidation net asset value(5)	NBIB(3)	2.5%/ncm(6)	NA
Equity and Other Investments		2.8	Enterprise value(9)	EBITDA/ Market multiple(10)	$25.1 million/ncm(6) 5.7x – 6.6x/ncm(6)	Increase Increase
Total Fair Value for Level 3 Investments(11)	$	364.8

	March 31, 2020		December 31, 2019
Cash	$	—	$	—
Cash Equivalents		7,825,820		14,410,486
Total Cash and Cash Equivalents	$	7,825,820	$	14,410,486
Restricted Cash	$	—	$	2,050,452
Total Cash, Cash Equivalents and Restricted Cash	$	7,825,820	$	16,460,938

	Three Months Ended March 31, 2020
($ in thousands)	Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total
6.50% Unsecured Notes	$	1,046.0	$	81.0	$	1,127.0
6.25% Unsecured Notes		699.9		58.1		758.0
Credit Facility(1)		262.2		4.8		267.0
Repo Facility		21.5		—		21.5
Total	$	2,029.6	$	143.9	$	2,173.5

	Three Months Ended March 31, 2019
($ in thousands)	Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total
6.50% Unsecured Notes	$	1,046.0	$	80.1	$	1,126.1
Credit Facility		999.0		24.7		1,023.7
Total	$	2,045.0	$	104.8	$	2,149.8

Portfolio Company	NetChange in Unrealized Depreciation
Sound Point CLO XVI, Ltd.	$	7.9
Cedar Funding II CLO, Ltd.		4.4
Quest Software, Inc.		4.2
Nassau 2019-I Ltd.		4.2
Shift4 Payments, LLC (f/k/a Lighthouse Network, LLC)		3.9
Net all other		60.8
Total	$	85.4

Portfolio Company	NetChange in Unrealized Appreciation (Depreciation)
KVK CLO 2013-2, Ltd..	$	1.5
Unitek Global Services, Inc..		1.5
Cedar Funding II CLO, Ltd..		1.4
AMMC CLO XII, Ltd..		1.2
Premiere Global Services, Inc..		(5.5	)
Net all other		5.6
Total	$	5.7

Date Declared(2)	Record Date	Payment Date	Total Distributions			GAAP Net Investment Income			Distributions in excess of/ (less than) GAAP net investment income
Fiscal 2020
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			—(4)			—

October 25,2019	March17, 2020	March31, 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

Fiscal 2019(1)
July 25, 2019	December 18, 2019	December 31, 2019	$	0.067		$	N/A		$	—
July 25, 2019	November 15, 2019	November 29, 2019		0.067			N/A			—
July 25, 2019	October 21, 2019	October 31, 2019		0.067			N/A			—
Total (Fourth Quarter 2019)				0.201			0.18			0.02

April 23, 2019	September 23, 2019	September 30, 2019		0.067			N/A			—
April 23, 2019	August 23, 2019	August 30, 2019		0.067			N/A			—
April 23, 2019	July 24, 2019	July 31, 2019		0.067			N/A			—
Total (Third Quarter 2019)				0.201			0.19			0.01

February 22, 2019	June 21, 2019	June 28, 2019		0.067			N/A			—
February 22, 2019	May 24, 2019	May 31, 2019		0.067			N/A			—
February 22, 2019	April 23, 2019	April 30, 2019		0.067			N/A			—
Total (Second Quarter 2019)				0.201			0.27			(0.07	)

February 22, 2019	March 15, 2019	March 29, 2019		0.200			0.18			0.02
Total (First Quarter 2019)				0.200			0.18			0.02
Total (2019)			$	0.803	(1)	$	0.81	(3)	$	(0.01	)(3)