Oxford Square Capital Corp. - Quarter Report: 2023 March (Form 10-Q)

(Mark One)

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

FOR THE QUARTERLY PERIOD ENDED March 31, 2023

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

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

_______________________________

FORM 10-Q

_______________________________

COMMISSION FILE NUMBER: 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
5.50% Notes due 2028	OXSQG	NASDAQ Global Select Market LLC

_______________________________

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ 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 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 the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):

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

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

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 May 1, 2023, was 49,901,171.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION		1
Item 1.	Financial Statements	1
	Statements of Assets and Liabilities as of March 31, 2023 (unaudited) and December 31, 2022	1
	Schedule of Investments as of March 31, 2023 (unaudited)	2
	Schedule of Investments as of December 31, 2022	10
	Statements of Operations for the three months ended March 31, 2023 and 2022 (unaudited)	17
	Statements of Changes in Net Assets for the three months ended March 31, 2023 and 2022 (unaudited)	18
	Statements of Cash Flows for the three months ended March 31, 2023 and 2022 (unaudited)	19
	Notes to Financial Statements (unaudited)	20
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	45
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	62
Item 4.	Controls and Procedures	62

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	64
Item 3.	Defaults Upon Senior Securities	64
Item 4.	Mine Safety Disclosures	64
Item 5.	Other Information	64
Item 6.	Exhibits	65
SIGNATURES		66

Table of Contents

PART I — FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

OXFORD SQUARE CAPITAL CORP.

STATEMENTS OF ASSETS AND LIABILITIES

	March 31, 2023			December 31, 2022
	(unaudited)
ASSETS
Non-affiliated/non-control investments (cost: $500,195,807 and $495,000,997, respectively)	$	314,599,117		$	310,347,097
Affiliated investments (cost: $16,836,822 and $16,836,822, respectively)		5,070,307			4,349,818
Cash and cash equivalents		10,763,167			9,019,164
Interest and distributions receivable		4,047,953			3,492,716
Other assets		736,375			785,640
Total assets.	$	335,216,919		$	327,994,435
LIABILITIES
Notes payable – 6.50% Unsecured Notes, net of deferred issuance costs of $325,593 and $405,657, respectively	$	64,044,632		$	63,964,568
Notes payable – 6.25% Unsecured Notes, net of deferred issuance costs of $719,276 and $776,766, respectively		44,071,474			44,013,984
Notes payable – 5.50% Unsecured Notes, net of deferred issuance costs of $2,058,696 and $2,153,762 respectively		78,441,304			78,346,238
Securities purchased not settled		4,657,500			—
Base Fee and Net Investment Income Incentive Fee payable to affiliate		2,389,630			1,323,573
Accrued interest payable		1,216,109			1,216,109
Accrued expenses		557,122			458,001
Total liabilities		195,377,771			189,322,473
COMMITMENTS AND CONTINGENCIES (Note 13)
NET ASSETS
Common stock, $0.01 par value, 100,000,000 shares authorized; 49,885,954 and 49,844,796 shares issued and outstanding, respectively		498,859			498,447
Capital in excess of par value		434,871,321			434,737,950
Total distributable earnings/(accumulated losses)		(295,531,032	)		(296,564,435	)
Total net assets		139,839,148			138,671,962
Total liabilities and net assets	$	335,216,919		$	327,994,435
Net asset value per common share	$	2.80		$	2.78

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS (unaudited)
March 31, 2023

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes
Business Services
Access CIG, LLC
second lien senior secured notes, 12.73% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(14)(16)	February 14, 2018	$	16,754,000	$	16,799,997	$	15,329,910

Convergint Technologies, LLC
first lien senior secured notes, 9.56% (SOFR+ 4.75%), (0.75% floor) due March 31, 2028(4)(5)(6)(14)(31)	November 15, 2022		2,487,500		2,393,281		2,428,422
second lien senior secured notes, 11.59% (LIBOR + 6.75%), (0.75% floor) due March 29, 2029(4)(5)(14)(15)	March 18, 2021		11,000,000		10,964,771		9,615,870

OMNIA Partners, Inc.
second lien senior secured notes, 12.40% (SOFR + 7.50%), (0.00% floor) due May 22, 2026(4)(5)(6)(14)(30)	May 17, 2018		13,812,665		13,781,788		13,536,412

Premiere Global Services, Inc.
first lien senior secured notes, 13.00% (Prime Rate + 5.50%), (1.00% floor) due September 9, 2021(4)(5)(6)(17)(29)(32)	October 1, 2019		11,821,914		11,469,896		—
replacement revolver, 13.00% (Prime Rate + 5.50%), (1.00% floor) due April 7, 2023(4)(5)(17)(28)(29)	October 1, 2019		2,452,012		2,378,999		122,601
second lien senior secured notes, 0.50% Cash, 13.83% PIK (LIBOR + 9.00%) (1.00% floor) due June 6, 2024(3)(4)(5)(16)(17)	October 1, 2019		14,437,339		9,817,795		—

Verifone Systems, Inc.
first lien senior secured notes, 8.96% (LIBOR + 4.00%), (0.00% floor) due August 20, 2025(4)(5)(6)(14)(16)	August 9, 2018		14,027,042		13,486,738		12,133,391
Total Business Services				$	81,093,265	$	53,166,606	38.0	%

Diversified Insurance
Affinion Insurance Solutions, Inc. (f/k/a AIS Intermediate, LLC)
first lien senior secured notes, 9.83% (LIBOR + 5.00%), (0.00% floor) due August 15, 2025(4)(5)(6)(14)(16)	January 7, 2021	$	15,116,246	$	14,836,760	$	14,587,177
Total Diversified Insurance				$	14,836,760	$	14,587,177	10.4	%

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March 31, 2023

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes – (continued)
Healthcare
Careismatic Brands, Inc. (f/k/a New Trojan Parent, Inc.)
second lien senior secured notes, 12.09% (LIBOR + 7.25%), (0.50% floor) due January 5, 2029(4)(5)(14)(15)	January 22, 2021	$	12,000,000	$	11,950,499	$	7,440,000

HealthChannels, Inc. (f/k/a ScribeAmerica, LLC)
first lien senior secured notes, 9.34% (LIBOR + 4.50%), (0.00% floor) due April 3, 2025(4)(5)(6)(14)(15)	October 31, 2018		18,965,378		18,735,073		10,873,420

Viant Medical Holdings, Inc.
first lien senior secured notes, 8.59% (LIBOR + 3.75%), (0.00% floor) due July 2, 2025(4)(5)(6)(14)(15)	June 26, 2018		9,550,000		9,548,498		8,905,375
second lien senior secured notes, 12.59% (LIBOR + 7.75%), (0.00% floor) due July 2, 2026(4)(5)(14)(15)	June 26, 2018		5,000,000		4,977,581		4,232,500
Total Healthcare				$	45,211,651	$	31,451,295	22.5	%

Plastics Manufacturing
Spectrum Holdings III Corp. (f/k/a KPEX Holdings, Inc.)
first lien senior secured notes, 8.09% (LIBOR + 3.25%), (1.00% floor) due January 31, 2025(4)(5)(6)(14)(15)	June 24, 2020	$	12,802,653	$	12,395,614	$	12,034,494
Total Plastics Manufacturing				$	12,395,614	$	12,034,494	8.6	%

Software
Alvaria, Inc. (f/k/a Aspect Software, Inc.)
first lien senior secured notes, 10.39% (LIBOR + 5.25%), (0.75% floor) due May 8, 2028(4)(5)(6)(10)(14)	May 18, 2021	$	7,860,000	$	7,759,631	$	5,462,700
second lien senior secured notes, 14.20% (LIBOR + 9.00%), (0.75% floor) due May 7, 2029(4)(5)(10)(14)	May 3, 2021		7,000,000		6,823,128		4,865,000

Dodge Data & Analytics, LLC
first lien senior secured notes, 9.79% (SOFR + 4.75%), (0.50% floor) due February 23, 2029(4)(5)(6)(14)(25)	February 10, 2022		4,962,500		4,896,282		4,180,906
second lien senior secured notes, 13.29% (SOFR + 8.25%), (0.50% floor) due February 25, 2030(4)(5)(14)(25)	February 10, 2022		15,000,000		14,801,176		10,849,950

Help/Systems Holdings, Inc.
first lien senior secured notes, 8.78% (SOFR + 4.00%), (0.75% floor) due November 19, 2026(4)(5)(6)(14)(30)	October 6, 2022		4,482,038		4,206,249		3,977,809
second lien senior secured notes, 11.66% (SOFR + 6.75%), (0.75% floor) due November 19, 2027(4)(5)(14)(31)	October 14, 2021		8,000,000		8,008,501		6,493,360

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March 31, 2023

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes – (continued)
Software – (continued)
Kofax, Inc.
first lien senior secured notes, 9.80% (SOFR + 5.25%), (0.50% floor) due July 20, 2029(4)(5)(6)(30)	February 1, 2023	$	4,987,500	$	4,658,325	$	4,600,969

Magenta Buyer, LLC (f/k/a McAfee Enterprise)
first lien senior secured notes, 9.58% (LIBOR + 4.75%), (0.75% floor) due July 27, 2028(4)(5)(6)(14)(16)	May 17, 2022		1,984,925		1,886,406		1,637,563
second lien senior secured notes, 13.08% (LIBOR + 8.25%), (0.75% floor) due July 27, 2029(4)(5)(14)(16)	October 20, 2021		14,968,714		14,926,152		11,076,848

Quest Software, Inc.
first lien senior secured notes, 9.08% (SOFR + 4.25%), (0.50% floor) due February 1, 2029(4)(5)(6)(14)(30)	January 20, 2022		2,985,000		2,959,796		2,440,238
second lien senior secured notes, 12.33% (SOFR + 7.50%), (0.50% floor) due February 1, 2030(4)(5)(14)(30)	January 20, 2022		20,000,000		19,739,218		12,400,000

RSA Security, LLC
second lien senior secured notes, 12.56% (LIBOR + 7.75%), (0.75% floor) due April 27, 2029(4)(5)(14)(16)	April 16, 2021		15,000,000		14,779,933		8,367,900

Veritas USA, Inc.
first lien senior secured notes, 9.84% (LIBOR + 5.00%), (1.00% floor) due September 1, 2025(4)(5)(6)(15)	June 24, 2022		3,986,260		3,380,861		3,029,558
Total Software				$	108,825,658	$	79,382,801	56.8	%

Telecommunication Services
ConvergeOne Holdings, Inc.
first lien senior secured notes, 9.84% (LIBOR + 5.00%), (0.00% floor) due January 4, 2026(4)(5)(6)(14)(15)	June 4, 2021	$	5,280,891	$	5,243,778	$	3,181,737
second lien senior secured notes, 13.34% (LIBOR + 8.50%), (0.00% floor) due January 4, 2027(4)(5)(14)(15)	June 3, 2021		15,000,000		14,501,297		5,250,000

Global Tel Link Corp.
second lien senior secured notes, 14.83% (SOFR + 10.00%), (0.00% floor) due November 29, 2026(4)(5)(14)(30)	November 20, 2018		17,000,000		16,831,759		12,573,880
Total Telecommunication Services				$	36,576,834	$	21,005,617	15.0	%

Utilities
CLEAResult Consulting, Inc.
second lien senior secured notes, 12.09% (LIBOR + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(14)(15)	August 3, 2018	$	7,650,000	$	7,660,955	$	7,066,688
Total Utilities				$	7,660,955	$	7,066,688	5.1	%
Total Senior Secured Notes				$	306,600,737	$	218,694,678	156.4	%

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March 31, 2023

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Equity Investments
Structured Finance
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	$	2,738,837	$	1,030,500

Babson CLO Ltd. 2015-I
CLO subordinated notes, estimated yield 8.85% due January 21, 2031(9)(11)(12)(18)	July 26, 2018		8,512,727		2,191,862		1,021,527

BlueMountain CLO 2014-2 Ltd.
CLO subordinated notes, estimated yield 0.00% due October 20, 2030(9)(11)(12)(18)	April 3, 2019		6,374,000		1,829,916		828,620

Carlyle Global Market Strategies CLO 2013-2, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 18, 2029(9)(11)(12)(18)(24)	March 19, 2013		6,250,000		583,940		23,750

Carlyle Global Market Strategies CLO 2021-6, Ltd.
CLO subordinated notes, estimated yield 14.43% due July 17, 2034(9)(11)(12)(14)(18)	June 30, 2021		29,600,000		21,658,074		16,428,000

Cedar Funding II CLO, Ltd.
CLO subordinated notes, estimated yield 8.87% due April 20, 2034(9)(11)(12)(13)(14)(18)(26)	October 23, 2013		18,000,000		11,703,416		8,200,808

Cedar Funding VI CLO, Ltd.
CLO subordinated notes, estimated yield 10.87% due April 20, 2034(9)(11)(12)(18)	May 15, 2017		7,700,000		6,522,987		4,812,500

CIFC Funding 2014-3, Ltd.
CLO subordinated notes, estimated yield 0.00% due October 22, 2031(9)(11)(12)(18)(24)	January 24, 2017		10,000,000		3,974,849		1,800,000

Dryden 43 Senior Loan Fund
CLO subordinated notes, estimated yield 18.87% due April 20, 2034(9)(11)(12)(14)(18)	June 1, 2021		47,263,000		28,959,911		24,813,075

Madison Park Funding XVIII, Ltd.
CLO subordinated notes, estimated yield 30.79% due October 21, 2030(9)(11)(12)(18)(24)	May 22, 2020		12,500,000		4,823,549		4,875,000

Madison Park Funding XIX, Ltd.
CLO subordinated notes, estimated yield 20.99% due January 22, 2028(9)(11)(12)(18)(24)	May 11, 2016		5,422,500		3,236,117		2,175,778

Nassau 2019-I Ltd.
CLO subordinated notes, estimated yield 0.00% due April 15, 2031(9)(11)(12)(18)	April 11, 2019		23,500,000		11,509,417		1,880,000

Octagon Investment Partners 49, Ltd.
CLO subordinated notes, estimated yield 11.31% due January 18, 2033(9)(11)(12)(13)(14)(18)(26)	December 11, 2020		28,875,000		19,991,786		13,460,693

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March 31, 2023

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
PPM CLO 4, Ltd.
CLO subordinated notes, estimated yield 26.39% due October 18, 2034(9)(11)(12)(18)	September 28, 2022	$	7,000,000	$	4,146,234	$	4,025,000

Sound Point CLO XVI, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 25, 2030(9)(11)(12)(18)	August 1, 2018		45,500,000		22,723,173		5,460,000

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		6,207,075		1,445

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		5,228,852		113,500

Telos CLO 2014-5, Ltd.
CLO subordinated notes, estimated yield 0.00% due April 17, 2028(9)(11)(12)(18)	April 11, 2014		28,500,000		18,179,226		2,850

THL Credit Wind River 2012-1 CLO, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 15, 2026(9)(11)(12)(18)	June 11, 2015		7,500,000		2,904,463		9,000

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		2,303,617		123,251

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		332,779		—

Venture 35 CLO, Limited
CLO subordinated notes, estimated yield 44.81% due October 22, 2031(9)(11)(12)(18)	December 7, 2020		5,000,000		2,451,774		1,750,000

Venture 39 CLO, Limited
CLO subordinated notes, estimated yield 18.72% due April 15, 2033(9)(11)(12)(13)(18)(24)(26)	May 8, 2020		5,150,000		3,138,597		2,619,793

West CLO 2014-1, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 18, 2026(9)(11)(12)(18)(24)	May 12, 2017		9,250,000		1,173,126		84,175

Zais CLO 6, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 15, 2029(9)(11)(12)(13)(18)(26)	May 3, 2017		10,500,000		5,081,493		365,174
Total Structured Finance				$	193,595,070	$	95,904,439	68.6	%
Total Collateralized Loan Obligation – Equity Investments				$	193,595,070	$	95,904,439	68.6	%

(continued on next page)

See Accompanying Notes.

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OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March 31, 2023

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

Preferred Stock
IT Consulting
UniTek Global Services, Inc.
Series B Preferred Stock(3)(17)(21)(27)	June 26, 2019	16,984,666	$	9,002,159	$	—
Series B Senior Preferred Stock(3)(17)(22)(27)	June 26, 2019	8,730,099		4,535,443		436,505
Series B Super Senior Preferred Stock(3)(17)(23)(27)	June 26, 2019	4,929,577		2,614,260		4,633,802
Total IT Consulting			$	16,151,862	$	5,070,307	3.6	%
Total Preferred Equity			$	16,151,862	$	5,070,307	3.6	%

Total Investments in Securities(8)			$	517,032,629	$	319,669,424	228.6	%

Cash Equivalents
First American Government Obligations Fund – Class Z Shares, 4.61%(14)(19)		10,510,782	$	10,510,782	$	10,510,782
Total Cash Equivalents			$	10,510,782	$	10,510,782	7.5	%
Total Investments in Securities and Cash Equivalents			$	527,543,411	$	330,180,206	236.1	%

____________

(1) The Company generally acquires its investments in transactions not subject to registration under the Securities Act of 1933, as amended (the “Securities Act”). These investments are generally subject to restrictions as “restricted securities” (within the meaning of the Securities Act). Unless otherwise noted, all securities were acquired in transactions not subject to registration under the Securities Act.

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

(3) As of March 31, 2023, the portfolio includes $14,437,339 principal amount of debt investments and 30,644,342 shares of preferred stock investments which contain a PIK provision.

(4) Notes bear interest at variable rates and are subject to an interest rate floor where disclosed. The rate disclosed is as of March 31, 2023.

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

(6) Cost value reflects repayment of principal

(7) Common stock investments were non-income producing as of March 31, 2023.

(8) Aggregate gross unrealized appreciation for U.S. federal income tax purposes is $1,872,385; aggregate gross unrealized depreciation for U.S. federal income tax purposes is $226,873,363. Net unrealized depreciation is $225,000,978 based upon an estimated tax cost basis of $544,670,402 as of March 31, 2023.

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

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

(11) Indicates assets that the Company believes do not represent “qualifying assets” under Section 55(a) of the 1940 Act. The Company may include CLO equity side letter related investments within CLO equity subordinated notes line items, and those side letter related investments may 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, 2023, the Company held qualifying assets that represented 71.3% of its total assets.

(12) Investment not domiciled in the United States.

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March 31, 2023

(13) Fair value includes the Company’s interest in subordinated fee notes and 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, 2023, this debt or preferred equity investment was on non-accrual status and no interest or dividend income has been recognized on this investment during the three months ended March 31, 2023. The aggregate fair value of these investments was approximately $5.2 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, 2023.

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

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

(26) Cost value reflects amortization.

(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 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 31, 2023 and December 31, 2022 along with transactions during the three months ended March 31, 2023 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, 2022		Gross Additions(b)		Gross Reductions(c)		Net Change in Unrealized Appreciation/ (Depreciation)			Fair Value as of March 31, 2023
AFFILIATED INVESTMENT:
Unitek Global Systems, Inc	Common Stock	$	—	$	—	$	—	$	—	$	—		$	—
	Series B Preferred Stock		—		—		—		—		—			—
	Series B Senior Preferred Stock		—		500,053		—		—		(63,548	)		436,505
	Series B Super Senior Preferred Stock		—		3,849,765		—		—		784,037			4,633,802
Total Affiliated Investment			—		4,349,818		—		—		720,489			5,070,307
Total Control Investment			—		—		—		—		—			—
TOTAL CONTROL AND AFFILIATED INVESTMENTS		$	—	$	4,349,818	$	—	$	—	$	720,489		$	5,070,307

__________

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

(continued on next page)

See Accompanying Notes.

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OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS (unaudited) — (continued)
March 31, 2023

(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 ended March 31, 2023, a total of approximately $1.2 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.

(28) As part of a restructuring completed on September 17, 2021, a portion of the Company’s investment in the first lien senior secured notes of Premiere Global Services, Inc. was converted into a like amount of a new revolving credit facility (the “Replacement Revolver”). On March 15, 2023, the maturity date of the Replacement Revolver was amended from March 15, 2023 to April 7, 2023. The cost basis of the Replacement Revolver was established by allocating a portion of the cost basis from the first lien senior secured notes pro-rata based on the amount of principal that was converted from the first lien senior secured notes to the Replacement Revolver. The Replacement Revolver has no unfunded commitment and is on non-accrual status as of March 31, 2023.

(29) Note bears interest at 5.50%, plus the greater of: the Wall Street Journal quoted Prime Rate, Federal Funds effective rate plus 1.00%, or the one-month reserve adjusted Eurodollar Base Rate plus 1.00%.

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

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

(32) The amended stated maturity date is June 8, 2023, however, a springing maturity date of September 9, 2021 is in effect as of March 31, 2023.

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS
December 31, 2022

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes
Business Services
Access CIG, LLC
second lien senior secured notes, 11.82% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(14)(15)	February 14, 2018	$	16,754,000	$	16,801,208	$	14,743,520

Convergint Technologies, LLC
first lien senior secured notes, 9.07% (SOFR+ 6.75%), (0.75% floor) due March 31, 2028(4)(5)(14)(31)	November 15, 2022		2,493,750		2,394,878		2,390,883
second lien senior secured notes, 11.13% (LIBOR + 6.75%), (0.75% floor) due March 29, 2029(4)(5)(14)(15)	March 18, 2021		11,000,000		10,957,972		9,661,630

OMNIA Partners, Inc.
second lien senior secured notes, 12.08% (SOFR + 7.50%), (0.00% floor) due May 22, 2026(4)(5)(6)(14)(30)	May 17, 2018		13,812,665		13,777,768		13,536,412

Premiere Global Services, Inc.
first lien senior secured notes, 13.00% (Prime Rate + 5.50%), (1.00% floor) due September 9, 2021(4)(5)(6)(17)(29)(32)	October 1, 2019		11,821,914		11,469,896		—
replacement revolver, 13.00% (Prime Rate + 5.50%), (1.00% floor) due January 31, 2023(4)(5)(17)(28)(29)	October 1, 2019		2,452,012		2,378,999		171,641
second lien senior secured notes, 0.50% Cash, 13.51% PIK (LIBOR + 9.00%) (1.00% floor) due June 6, 2024(3)(4)(5)(16)(17)	October 1, 2019		13,958,099		9,817,795		—

Verifone Systems, Inc.
first lien senior secured notes, 8.76% (LIBOR + 4.00%), (0.00% floor) due August 20, 2025(4)(5)(6)(14)(16)	August 9, 2018		14,063,666		13,471,768		12,870,505
Total Business Services				$	81,070,284	$	53,374,591	38.5	%

Diversified Insurance
Affinion Insurance Solutions, Inc. (f/k/a AIS Intermediate, LLC)
first lien senior secured notes, 9.41% (LIBOR + 5.00%), (0.00% floor) due August 15, 2025(4)(5)(6)(14)(16)	January 7, 2021	$	15,209,069	$	14,898,830	$	14,676,752
Total Diversified Insurance				$	14,898,830	$	14,676,752	10.6	%

Healthcare
Careismatic Brands, Inc. (f/k/a New Trojan Parent, Inc.)
second lien senior secured notes, 11.63% (LIBOR + 7.25%), (0.50% floor) due January 5, 2029(4)(5)(14)(15)	January 22, 2021	$	12,000,000	$	11,945,298	$	7,800,000

HealthChannels, Inc. (f/k/a ScribeAmerica, LLC)
first lien senior secured notes, 8.88% (LIBOR + 4.50%), (0.00% floor) due April 3, 2025(4)(5)(6)(14)(15)	October 31, 2018		19,018,255		18,756,372		13,170,142

(continued on next page)

See Accompanying Notes.

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OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS — (continued)
December 31, 2022

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes – (continued)
Healthcare – (continued)
Viant Medical Holdings, Inc.
first lien senior secured notes, 8.13% (LIBOR + 3.75%), (0.00% floor) due July 2, 2025(4)(5)(6)(14)(15)	June 26, 2018	$	9,575,000	$	9,572,315	$	8,412,021
second lien senior secured notes, 12.13% (LIBOR + 7.75%), (0.00% floor) due July 2, 2026(4)(5)(14)(15)	June 26, 2018		5,000,000		4,973,567		4,243,750
Total Healthcare				$	45,247,552	$	33,625,913	24.2	%

Plastics Manufacturing
Spectrum Holdings III Corp. (f/k/a KPEX Holdings, Inc.)
first lien senior secured notes, 7.63% (LIBOR + 3.25%), (1.00% floor) due January 31, 2025(4)(5)(6)(14)(15)	June 24, 2020	$	12,836,344	$	12,373,909	$	11,724,588
Total Plastics Manufacturing				$	12,373,909	$	11,724,588	8.5	%

Software
Aspect Software, Inc.
first lien senior secured notes, 8.68% (LIBOR + 5.25%), (0.75% floor) due May 8, 2028(4)(5)(6)(10)(14)	May 18, 2021	$	7,880,000	$	7,772,873	$	5,497,955
second lien senior secured notes, 14.20% (LIBOR + 9.00%), (0.75% floor) due May 7, 2029(4)(5)(10)(14)	May 3, 2021		7,000,000		6,817,051		4,655,000

Dodge Data & Analytics, LLC
first lien senior secured notes, 9.79% (SOFR + 4.75%), (0.50% floor) due February 23, 2029(4)(5)(6)(14)(25)	February 10, 2022		4,975,000		4,905,467		3,880,500
second lien senior secured notes, 13.29% (SOFR + 8.25%), (0.50% floor) due February 25, 2030(4)(5)(14)(25)	February 10, 2022		15,000,000		14,791,880		9,900,000

Fortra, LLC (f/k/a Help/Systems Holdings, Inc.)
first lien senior secured notes, 8.19% (SOFR + 4.00%), (0.75% floor) due November 19, 2026(4)(5)(14)(30)	October 6, 2022		2,493,590		2,307,089		2,237,997
second lien senior secured notes, 10.94% (SOFR + 6.75%), (0.75% floor) due November 19, 2027(4)(5)(14)(30)	October 14, 2021		8,000,000		8,009,007		6,260,000

Magenta Buyer, LLC (f/k/a McAfee Enterprise)
first lien senior secured notes, 9.17% (LIBOR + 4.75%), (0.75% floor) due July 27, 2028(4)(5)(6)(14)(16)	May 17, 2022		1,989,950		1,887,340		1,693,945
second lien senior secured notes, 12.67% (LIBOR + 8.25%), (0.75% floor) due July 27, 2029(4)(5)(14)(16)	October 20, 2021		14,968,714		14,923,007		11,725,443

Quest Software, Inc.
first lien senior secured notes, 8.49% (SOFR + 4.25%), (0.50% floor) due February 1, 2029(4)(5)(6)(14)(30)	January 20, 2022		2,992,500		2,965,677		2,311,706
second lien senior secured notes, 11.74% (SOFR + 7.50%), (0.50% floor) due February 1, 2030(4)(5)(14)(30)	January 20, 2022		20,000,000		19,725,475		12,033,400

(continued on next page)

See Accompanying Notes.

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OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS — (continued)
December 31, 2022

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes – (continued)
Software – (continued)
RSA Security, LLC
second lien senior secured notes, 12.11% (LIBOR + 7.75%), (0.75% floor) due April 27, 2029(4)(5)(14)(16)	April 16, 2021	$	15,000,000	$	14,770,630	$	7,396,950

Veritas USA, Inc.
first lien senior secured notes, 9.73% (LIBOR + 5.00%), (1.00% floor) due September 1, 2025(4)(5)(16)	June 24, 2022		1,996,455		1,728,757		1,402,510
Total Software				$	100,604,253	$	68,995,406	49.8	%

Telecommunication Services
ConvergeOne Holdings, Inc.
first lien senior secured notes, 9.38% (LIBOR + 5.00%), (0.00% floor) due January 4, 2026(4)(5)(6)(14)(15)	June 4, 2021	$	5,294,644	$	5,252,605	$	3,040,820
second lien senior secured notes, 12.88% (LIBOR + 8.50%), (0.00% floor) due January 4, 2027(4)(5)(14)(15)	June 3, 2021		15,000,000		14,469,378		6,375,000

Global Tel Link Corp.
second lien senior secured notes, 14.24% (SOFR + 10.00%), (0.00% floor) due November 29, 2026(4)(5)(14)(30)	November 20, 2018		17,000,000		16,819,191		12,771,250
Total Telecommunication Services				$	36,541,174	$	22,187,070	16.0	%

Utilities
CLEAResult Consulting, Inc.
second lien senior secured notes, 11.63% (LIBOR + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(15)	August 3, 2018	$	7,650,000	$	7,660,899	$	6,846,750
Total Utilities				$	7,660,899	$	6,846,750	4.9	%
Total Senior Secured Notes				$	298,396,901	$	211,431,070	152.5	%

Collateralized Loan Obligation – Equity Investments
Structured Finance
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	$	2,886,269	$	1,030,500

Babson CLO Ltd. 2015-I
CLO subordinated notes, estimated yield 7.73% due January 21, 2031(9)(11)(12)(18)	July 26, 2018		8,512,727		2,329,462		1,106,655

BlueMountain CLO 2014-2 Ltd.
CLO subordinated notes, estimated yield 0.00% due October 20, 2030(9)(11)(12)(18)	April 3, 2019		6,374,000		1,921,345		828,620

Carlyle Global Market Strategies CLO 2013-2, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 18, 2029(9)(11)(12)(18)(24)	March 19, 2013		6,250,000		583,940		44,512

Carlyle Global Market Strategies CLO 2021-6, Ltd.
CLO subordinated notes, estimated yield 13.46% due July 17, 2034(9)(11)(12)(14)(18)	June 30, 2021		29,600,000		22,063,681		16,280,000

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS — (continued)
December 31, 2022

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Cedar Funding II CLO, Ltd.
CLO subordinated notes, estimated yield 9.69% due April 20, 2034(9)(11)(12)(13)(14)(18)(26)	October 23, 2013	$	18,000,000	$	11,828,545	$	8,546,146
Cedar Funding VI CLO, Ltd.
CLO subordinated notes, estimated yield 11.22% due April 20, 2034(9)(11)(12)(18)	May 15, 2017		7,700,000		6,707,667		4,851,000

CIFC Funding 2014-3, Ltd.
CLO subordinated notes, estimated yield 0.00% due October 22, 2031(9)(11)(12)(18)(24)	January 24, 2017		10,000,000		4,030,013		1,700,000

Dryden 43 Senior Loan Fund
CLO subordinated notes, estimated yield 18.97% due April 20, 2034(9)(11)(12)(14)(18)	June 1, 2021		47,263,000		28,768,537		25,049,390

Madison Park Funding XVIII, Ltd.
CLO subordinated notes, estimated yield 23.29% due October 21, 2030(9)(11)(12)(18)(24)	May 22, 2020		12,500,000		4,826,353		4,750,000

Madison Park Funding XIX, Ltd.
CLO subordinated notes, estimated yield 15.97% due January 22, 2028(9)(11)(12)(18)(24)	May 11, 2016		5,422,500		3,222,384		2,331,675

Nassau 2019-I Ltd.
CLO subordinated notes, estimated yield 0.00% due April 15, 2031(9)(11)(12)(18)	April 11, 2019		23,500,000		12,209,486		2,820,000

Octagon Investment Partners 49, Ltd.
CLO subordinated notes, estimated yield 8.48% due January 18, 2033(9)(11)(12)(13)(14)(18)(26)	December 11, 2020		28,875,000		20,545,372		14,019,240

Sound Point CLO XVI, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 25, 2030(9)(11)(12)(18)	August 1, 2018		45,500,000		23,465,553		5,460,000

PPM CLO 4, Ltd.
CLO subordinated notes, estimated yield 25.96% due October 18, 2034(9)(11)(12)(18)	September 28, 2022		7,000,000		4,020,078		4,060,000

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		6,207,075		1,445

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		5,228,852		353,246

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

THL Credit Wind River 2012-1 CLO, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 15, 2026(9)(11)(12)(18)	June 11, 2015		7,500,000		2,904,463		—

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		2,366,366		209,689

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS — (continued)
December 31, 2022

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT/ SHARES		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
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	$	332,779	$	—

Venture 35 CLO, Limited
CLO subordinated notes, estimated yield 45.87% due October 22, 2031(9)(11)(12)(18)	December 7, 2020		5,000,000		2,399,068		1,750,000

Venture 39 CLO, Limited
CLO subordinated notes, estimated yield 21.97% due April 15, 2033(9)(11)(12)(13)(18)(24)(26)	May 8, 2020		5,150,000		3,134,158		2,681,540

West CLO 2014-1, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 18, 2026(9)(11)(12)(18)(24)	May 12, 2017		9,250,000		1,173,126		74,000

Zais CLO 6, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 15, 2029(9)(11)(12)(13)(18)(26)	May 3, 2017		10,500,000		5,270,298		683,369
Total Structured Finance				$	196,604,096	$	98,916,027	71.3	%
Total Collateralized Loan Obligation – Equity Investments				$	196,604,096	$	98,916,027	71.3	%

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

Preferred Stock
IT Consulting
UniTek Global Services, Inc.
Series B Preferred Stock(3)(17)(21)(27)	June 26, 2019		16,430,149	$	9,002,159	$	—
Series B Senior Preferred Stock(3)(17)(22)(27)	June 26, 2019		8,334,223		4,535,443		500,053
Series B Super Senior Preferred Stock(3)(17)(23)(27)	June 26, 2019		4,694,835		2,614,260		3,849,765
Total IT Consulting				$	16,151,862	$	4,349,818	3.1	%
Total Preferred Equity				$	16,151,862	$	4,349,818	3.1	%

Total Investments in Securities(8)				$	511,837,819	$	314,696,915	226.9	%

Cash Equivalents
First American Government Obligations Fund – Class Z Shares, 4.06%(14)(19)			7,345,514	$	7,345,514	$	7,345,514
Total Cash Equivalents				$	7,345,514	$	7,345,514	5.3	%
Total Investments in Securities and Cash Equivalents				$	519,183,333	$	322,042,429	232.2	%

____________

(1) The Company generally acquires its investments in transactions not subject to registration under the Securities Act of 1933, as amended (the “Securities Act”). These investments are generally subject to restrictions as “restricted securities” (within
the meaning of the Securities Act). Unless otherwise noted, all securities were acquired in transactions not subject to registration under the Securities Act.

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

(3) As of December 31, 2022, the portfolio includes $13,958,099 principal amount of debt investments and 29,459,207 shares of preferred stock investments which contain a PIK provision.

(continued on next page)

See Accompanying Notes.

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OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS — (continued)
December 31, 2022

(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, 2022.

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

(6) Cost value reflects repayment of principal.

(7) Common stock investments were non-income producing as of December 31, 2022.

(8) Aggregate gross unrealized appreciation for U.S. federal income tax purposes is $1,358,009; aggregate gross unrealized depreciation for U.S. federal income tax purposes is $223,179,960. Net unrealized depreciation is $221,821,951 based upon an estimated tax cost basis of $536,518,866 as of December 31, 2022.

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

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

(11) Indicates assets that the Company believes do not represent “qualifying assets” under Section 55(a) of the 1940 Act. The Company may include CLO equity side letter related investments within CLO equity subordinated notes line items, and those side letter related investments may 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, 2022, the Company held qualifying assets that represented 70.1% of its total assets.

(12) Investment not domiciled in the United States.

(13) Fair value includes the Company’s interest in subordinated fee notes, and 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, 2022, this debt or preferred equity investment was on non-accrual status and no interest or dividend income has been recognized on this investment during the year ended December 31, 2022. The aggregate fair value of these investments was approximately $4.5 million.

(19) Represents cash equivalents held in money market accounts as of December 31, 2022.

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

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

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

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

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

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

(26) Cost value reflects amortization.

(continued on next page)

See Accompanying Notes.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

SCHEDULE OF INVESTMENTS — (continued)
December 31, 2022

(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 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, 2022 and 2021 along with transactions during the year ended December 31, 2022 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, 2021		Gross Additions(b)		Gross Reductions(c)		Net Change in Unrealized Appreciation		Fair Value as of December 31, 2022
AFFILIATED INVESTMENT:
UniTek Global Systems, Inc	Common Stock	$	—	$	—	$	—	$	—	$	—	$	—
	Series B Preferred Stock		—		—		—		—		—		—
	Series B Senior Preferred Stock		—		—		—		—		500,053		500,053
	Series B Super Senior Preferred Stock		—		772,491		—		—		3,077,274		3,849,765
Total Affiliated Investment			—		772,491		—		—		3,577,327		4,349,818
Total Control Investment			—		—		—		—		—		—
TOTAL CONTROL AND AFFILIATED INVESTMENTS		$	—	$	772,491	$	—	$	—	$	3,577,327	$	4,349,818

___________

(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 year ended December 31, 2022, a total of approximately $4.3 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.

(28) As part of a restructuring completed on September 17, 2021, a portion of the Company’s investment in the first lien senior secured notes of Premiere Global Services, Inc. was converted into a like amount of a new revolving credit facility (the “Replacement Revolver”). On December 15, 2022, the maturity date of the Replacement Revolver was amended from December 16, 2022 to January 31, 2023. The cost basis of the Replacement Revolver was established by allocating a portion of the cost basis from the first lien senior secured notes pro-rata based on the amount of principal that was converted from the first lien senior secured notes to the Replacement Revolver. The Replacement Revolver has no unfunded commitment and is on non-accrual status as of December 31, 2022. On March 15, 2023, the maturity date of the Replacement Revolver was amended to April 7, 2023, however as of December 31, 2022, the maturity date was January 31, 2023.

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

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

(32) The amended stated maturity date is June 8, 2023, however, a springing maturity date of September 9, 2021 is in effect as of December 31, 2022.

See Accompanying Notes.

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OXFORD SQUARE CAPITAL CORP.

STATEMENTS OF OPERATIONS
(unaudited)

	Three Months Ended March 31, 2023			Three Months Ended March 31, 2022
INVESTMENT INCOME
From non-affiliated/non-control investments:
Interest income – debt investments	$	8,294,160		$	5,250,149
Income from securitization vehicles and investments		4,379,495			4,441,195
Other income		268,143			174,526
Total investment income from non-affiliated/non-control investments		12,941,798			9,865,870
Total investment income		12,941,798			9,865,870
EXPENSES
Interest expense		3,085,366			3,085,366
Base Fee		1,159,646			1,606,503
Professional fees		335,880			344,522
Compensation expense		266,965			235,003
General and administrative		373,173			344,102
Total expenses before incentive fees		5,221,030			5,615,496
Net Investment Income Incentive Fees		1,229,984			—
Total expenses		6,451,014			5,615,496
Net investment income		6,490,784			4,250,374
Net change in unrealized (depreciation)/appreciation on investments:
Non-Affiliate/non-control investments		(942,790	)		(13,690,696	)
Affiliated investments		720,489			200,847
Total net change in unrealized depreciation on investments		(222,301	)		(13,489,849	)
Net realized gains:
Non-affiliated/non-control investments		—			1,042,286
Total net realized gains		—			1,042,286
Net increase/(decrease) in net assets resulting from operations	$	6,268,483		$	(8,197,189	)
Net increase in net assets resulting from net investment income per common share (Basic and Diluted):	$	0.13		$	0.09
Net increase/(decrease) in net assets resulting from operations per common share (Basic and Diluted):	$	0.13		$	(0.16	)
Weighted average shares of common stock outstanding (Basic and Diluted):		49,858,366			49,700,764
Distributions per share	$	0.105		$	0.105

See Accompanying Notes.

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OXFORD SQUARE CAPITAL CORP.

STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)

	Three Months Ended March 31, 2023			Three Months Ended March 31, 2022
Increase/(decrease) in net assets from operations:
Net investment income	$	6,490,784		$	4,250,374
Net change in unrealized depreciation on investments		(222,301	)		(13,489,849	)
Net realized gains		—			1,042,286
Net increase/(decrease) in net assets resulting from operations		6,268,483			(8,197,189	)
Distributions to stockholders
Distributions from net investment income		(5,235,080	)		(4,227,020	)
Tax return of capital distributions		—			(991,523	)
Total distributions to stockholders		(5,235,080	)		(5,218,543	)

Capital share transactions:
Reinvestment of distributions		133,783			124,734
Net increase in net assets from capital share transactions		133,783			124,734
Total increase/(decrease) in net assets		1,167,186			(13,290,998	)
Net assets at beginning of year		138,671,962			244,595,125
Net assets at end of year	$	139,839,148		$	231,304,127

Capital share activity:
Shares issued from reinvestment of distributions		41,158			31,583
Net increase in capital share activity		41,158			31,583

See Accompanying Notes.

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OXFORD SQUARE CAPITAL CORP.

STATEMENTS OF CASH FLOWS
(unaudited)

	Three Months Ended March 31, 2023			Three Months Ended March 31, 2022
CASH FLOWS FROM OPERATING ACTIVITIES
Net increase/(decrease) in net assets resulting from operations	$	6,268,483		$	(8,197,189	)
Adjustments to reconcile net increase/(decrease) in net assets resulting from operations to net cash provided by operating activities:
Accretion of discounts on investments		(340,019	)		(253,267	)
Accretion of discount on notes payable and deferred debt issuance costs		232,621			232,621
Purchases of investments		(3,525,000	)		(42,426,136	)
Repayments of principal		318,680			38,612,386
Proceeds from the sale of investments		—			3,375,000
Net realized gains on investments		—			(1,042,286	)
Reductions to CLO equity cost value		3,009,028			7,786,589
Net change in unrealized depreciation on investments		222,301			13,489,849
Increase in interest and distributions receivable		(555,237	)		(217,158	)
Decrease/(increase) in other assets		49,265			(13,358	)
Increase/(decrease) in Base Fee and Net Investment Income Incentive Fee payable		1,066,057			(82,209	)
Increase/(decrease) in accrued expenses		99,121			(112,872	)
Net cash provided by operating activities		6,845,300			11,151,970

CASH FLOWS FROM FINANCING ACTIVITIES
Distributions paid (net of stock issued under distribution reinvestment plan of $133,783 and $124,734, respectively)		(5,101,297	)		(5,093,809	)
Net cash used in financing activities		(5,101,297	)		(5,093,809	)
Net increase in cash and cash equivalents		1,744,003			6,058,161
Cash and cash equivalents, beginning of year		9,019,164			9,015,700
Cash and cash equivalents, end of year	$	10,763,167		$	15,073,861

NON-CASH FINANCING ACTIVITIES
Value of shares issued in connection with distribution reinvestment plan	$	133,783		$	124,734

SUPPLEMENTAL DISCLOSURES
Cash paid for interest	$	2,852,747		$	2,852,747
Securities purchased not settled	$	4,657,500		$	4,925,000

See Accompanying Notes.

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 1. UNAUDITED INTERIM FINANCIAL STATEMENTS

Interim financial statements of Oxford Square Capital Corp. (“OXSQ”, or the “Company”), are prepared in accordance with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Articles 6, 10 and 12 of Regulation S-X. Accordingly, certain disclosures accompanying annual financial statements prepared in accordance with GAAP are omitted. In the opinion of management, the unaudited financial results included herein contain all adjustments, consisting solely of normal accruals, considered necessary for the fair statement of the results for the interim period included herein. The current period’s results of operations are not necessarily indicative of results that may be achieved for the year. The interim financial statements and notes thereto should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2022, 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 (“MGCL”) on July 21, 2003 and is a closed-end investment company. OXSQ has elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). In addition, OXSQ has elected to be treated for tax purposes as a regulated investment company (“RIC”), under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) beginning with its 2003 taxable year. The Company’s investment objective is to maximize its total return, by investing primarily in corporate debt securities and collateralized loan obligation (“CLO”) structured finance investments that own corporate debt securities.

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

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

BASIS OF PRESENTATION

The Company follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies.

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.

USE OF ESTIMATES

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

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

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

CONSOLIDATION

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

CASH AND CASH EQUIVALENTS

Cash and cash equivalents consist of deposits held at custodian banks, and highly liquid investments, such as money market funds, 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 schedule of investments. Certain cash equivalents are carried at cost or amortized cost, which approximates fair value, and investments held in money market funds are valued at net asset value (“NAV”) per share.

INVESTMENT VALUATION

The Company determines its investment portfolio at fair value in accordance with the provisions of ASC 820, Fair Value Measurement (“ASC 820”) and Rule 2a-5 under the 1940 Act (“Rule 2a-5”). Estimates made in the preparation of the Company’s 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. The Company is required to specifically fair value each individual investment on a quarterly basis.

ASC 820-10 clarified the definition of fair value and requires companies to expand their disclosure about the use of fair value to measure assets and liabilities in interim and annual periods subsequent to initial recognition. ASC 820-10 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820-10 also establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. These tiers include: Level 1, defined as observable inputs such as quoted prices in active markets; Level 2, which includes inputs such as quoted prices for similar securities in active markets and quoted prices for identical securities in markets that are not active; and Level 3, defined as unobservable inputs for which little or no market data exists, therefore requiring an entity to develop its own assumptions. The Company considers the attributes of current market conditions on an on-going basis and has determined that due to the general illiquidity of the market for its investment portfolio, whereby little or no market data exists, all of the Company’s investments are based upon Level 3 inputs as of March 31, 2023 and December 31, 2022.

Good Faith Determinations of Fair Value, Rule 2a-5 was adopted by the SEC in December 2020 and establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Our Board of Directors has adopted valuation policies and procedures that are intended to comply with Rule 2a-5.

The Board of Directors 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 has and may continue to engage third-party valuation firms to provide assistance in valuing certain of its syndicated loans and bilateral investments, including related

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

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

equity investments, although the Board of Directors ultimately determines the appropriate valuation of each such investment. Changes in fair value, as described above, are recorded in the statements of operations as net change in unrealized appreciation/depreciation on investments.

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 has and may continue to engage third-party valuation firms to provide assistance in valuing certain syndicated investments that the Company owns. The third-party valuation firms may use the income or market approach in arriving at a valuation. Unobservable inputs utilized could include discount rates derived from estimated credit spreads and earnings before interest, taxes, depreciation, and amortization (“EBITDA”) multiples. In addition, Oxford Square Management analyzes each syndicated loan by reviewing the portfolio company’s financial statements, covenant compliance and recent trading activity in the security, if known, and other business developments related to the portfolio company. All available information, including non-binding indicative bids which may not be determinative of fair value, is presented to the Valuation Committee to consider in its determination of fair value. In some instances, there may be limited trading activity in a security even though the market for the security is considered not active. In such cases, the Valuation Committee will consider the number of trades, the size and timing of each trade, and other circumstances around such trades, to the extent such information is available, in its determination of fair value. The Valuation Committee will evaluate the impact of such additional information, and factor it into its consideration of the fair value that is indicated by the analysis provided by third-party valuation firms, if any. All information is presented to the Board for its determination of fair value of these investments.

Collateralized Loan Obligations — Debt and Equity

The Company has acquired debt and equity positions in CLO investment vehicles and can purchase CLO warehouse facilities. These investments are special purpose financing vehicles. In valuing such investments, the Company considers the indicative prices provided by a recognized industry pricing service as a primary source, and the implied yield of such prices, supplemented by actual trades executed in the market at or around period-end, as well as the indicative prices provided by the broker who arranges transactions in such investment vehicles. The Company also considers those instances in which the record date for an equity distribution payment falls on or before the last day of the period, and the likelihood that a prospective purchaser would require a downward adjustment to the indicative price representing substantially all of the pending distribution. Additional factors include any available information on other relevant transactions including firm bids and offers in the market and information resulting from bids-wanted-in-competition. In addition, the Company considers the operating metrics of the specific investment vehicle, including compliance with collateralization tests, defaulted and restructured securities, and payment defaults, if any. In periods of illiquidity and volatility, the Company may rely more heavily on other qualities and 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.

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

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

Bilateral Investments (Including Equity)

Bilateral investments (as defined below) 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, have a value as of the previous quarter of greater than or equal to 2.0% of its total assets as of the previous quarter. In addition, in those instances where a third-party valuation is prepared for a portfolio investment which meets the parameters noted above, the frequency of those third-party valuations is based upon the grade assigned to each such security under its credit grading system as follows: Grade 1, at least annually; Grade 2, at least semi-annually; Grades 3, 4, and 5, at least quarterly. Bilateral investments which do not meet the parameters 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 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 March 31, 2023 and December 31, 2022, the Company had three debt investments that were on non-accrual status.

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

Payment-In-Kind

The Company has debt and preferred stock investments in its portfolio that contain contractual PIK provisions. PIK interest and preferred stock dividends are computed at their contractual rates and are accrued into income and recorded as interest and dividend income, respectively. The PIK amounts are added to the principal balances on the capitalization dates. Upon capitalization, the PIK portions of the investments are valued at their respective fair values. If the Company believes that a PIK is not fully expected to be realized, the PIK investment would be placed

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

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

on non-accrual status. When a PIK investment is placed on non-accrual status, the accrued, uncapitalized interest or dividends would be reversed from the related receivable through interest or dividend income, respectively. PIK investments on non-accrual status are restored to accrual status once it becomes probable that such PIK will be ultimately collectible in cash. For the three months ended March 31, 2023 and 2022, no PIK interest was recognized as interest income. For the three months ended March 31, 2023 and 2022, the Company did not recognize dividend income due to PIK on its preferred stock investments.

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

The Company also records income on its investments in CLO warehouse facilities based on a stated rate per the underlying note purchase agreement plus accrued interest or, if there is no stated rate, then an estimated rate is calculated using a base case model projecting the timing of the ramp-up of the CLO warehouse facility. For the three months ended March 31, 2023 and 2022, no income was recognized related to CLO warehouse facilities.

Other Income

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

Preferred Stock Dividends

The Company holds preferred stock investments in its portfolio that contain cumulative preferred dividends that accumulate quarterly. The Company will generally record cumulative preferred dividends as investment income when they are received or declared by the portfolio company’s board of directors or upon any voluntary or involuntary liquidation, dissolution or winding up of the portfolio company, and are collectible. There were no cumulative preferred dividends recorded as dividend income during the three months ended March 31, 2023 and 2022, as the Company deemed them to be uncollectible.

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 financial statements. The unamortized deferred debt issuance costs are included on the Company’s statements 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 statements of operations.

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

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

EQUITY OFFERING COSTS

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

SHARE REPURCHASES

From time to time, the Board may authorize a share repurchase program under which shares are purchased in open market transactions. Since the Company is incorporated in Maryland, MGCL 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. An optional redemption (“optionally redeemed”) 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 paid either through 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. Distributions received on CLO equity investments where the optional redemption feature has been exercised are first applied to the remaining cost basis until it is reduced to zero, after which distributions are recorded as realized gains.

U.S. FEDERAL INCOME TAXES

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

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

The Company recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Through March 31, 2023, 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 2022 tax returns. The Company identifies its major tax jurisdictions as U.S Federal and Connecticut State. The Company did not have any uncertain tax positions that met the recognition measurement criteria of ASC 740-10-25, Income Taxes, nor did the Company have any unrecognized tax benefits as of the periods presented herein. The Company files tax returns with the Internal Revenue Service and the state of Connecticut. Generally, each of the tax years in the four-year period ended March 31, 2023 remains subject to examination by taxing authorities.

For tax purposes, the cost basis of the portfolio investments as of March 31, 2023 and December 31, 2022, was approximately $544,670,402 and $536,518,866, respectively.

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

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

RECENT ACCOUNTING PRONOUNCEMENTS

In June 2022, the FASB issued ASU 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions.” The amendments in this update provide that a contractual restriction on the sale of an equity security is not considered part of the unit of account of the equity security and, therefore, is not considered in measuring fair value. The amendments in this update also require additional disclosures for equity securities subject to contractual sales restrictions. ASU 2022-03 is required for years beginning after December 15, 2023, though early adoption is permitted. The Company does not expect ASU 2022-03 to have a material impact to the financial statements and the notes thereto.

NOTE 4. FAIR VALUE

The Company’s assets measured at fair value by investment type on a recurring basis as of March 31, 2023 were as follows:

Assets ($ in millions)	Fair Value Measurements at Reporting Date Using						Total
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	$	—	$	—	$	218.7	$	218.7
CLO Equity		—		—		95.9		95.9
Equity and Other Investments		—		—		5.1		5.1
Total Investments at fair value		—		—		319.7		319.7
Cash equivalents		10.5		—		—		10.5
Total assets at fair value	$	10.5	$	—	$	319.7	$	330.2

The Company’s assets measured at fair value by investment type on a recurring basis as of December 31, 2022 were as follows:

Assets ($ in millions)	Fair Value Measurements at Reporting Date Using						Total
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	$	—	$	—	$	211.4	$	211.4
CLO Equity		—		—		98.9		98.9
Equity and Other Investments		—		—		4.3		4.3
Total Investments at fair value(1)		—		—		314.7		314.7
Cash equivalents		7.3		—		—		7.3
Total assets at fair value(1)	$	7.3	$	—	$	314.7	$	322.0

____________

(1) Totals may not sum due to rounding.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 4. FAIR VALUE (cont.)

Significant Unobservable Inputs for Level 3 Investments

The following tables provide quantitative information about the Company’s Level 3 fair value measurements as of March 31, 2023 and December 31, 2022, respectively. The Company’s Valuation Policy, which was previously approved by the Board, 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 tables below are based on fair values for all debt related calculations and CLO equity.

Assets ($ in millions)

Quantitative Information about Level 3 Fair Value Measurements

Fair Value
as of
March 31,
2023

Valuation
Techniques/
Methodologies

Unobservable
Input

Range/Weighted
Average(1)

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

Senior Secured Notes

165.8

Market quotes

NBIB(3)

35.0% – 98.0%/73.8%

52.7

Recent transactions

Actual trade/payoff(4)

60.3% – 93.3%/83.9%

0.1

Enterprise value(8)

Market price indicator

2.8 million

Increase

CLO equity

92.4

Market quotes

NBIB(3)

0.0% – 62.5%/27.6%

2.2

Recent transactions

Actual trade/payoff(4)

40.1%/ncm(5)

1.2

Discounted cash flow(6)

Discount rate(7)

9.5% – 25.5%/20.2%

Decrease

0.1

Liquidation net asset value(10)

NBIB(3)

0.1% – 0.9%/0.5%

Equity/Other Investments

5.1

Enterprise value(8)

LTM EBITDA(9)

32.3 million/ncm(5)

Increase

Market multiples(9)

8.0x – 9.0x/8.5x

Increase

Total Fair Value for Level 3 Investments(11)

319.7

____________

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

(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 the fair value measurement. Market Multiples/EBITDA 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 Multiples/EBITDA, in isolation, would result in an increase in the 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”).

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 4. FAIR VALUE (cont.)

vehicle. The Company also considers 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) Enterprise value is defined as the total value of a company, including debt and cash. 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. “LTM” refers to “last twelve months.”

(10) 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.

(11) Totals may not sum due to rounding.

Assets ($ in millions)	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 December 31, 2022		Valuation Techniques/ Methodologies	Unobservable Input	Range/Weighted Average(1)	Impact to Fair Value from an Increase in Input(2)
Senior Secured Notes	$	201.4	Market quotes	NBIB(3)	42.5% – 98.0%/75.6%	NA
		9.8	Recent transactions	Actual trade/payoff(4)	70.3% – 89.8%/78.9%	NA
		0.2	Enterprise value(8)	Market price indicator	$2.0 million	Increase
CLO Equity		78.9	Market quotes	NBIB(3)	0.0% – 63.0%/26.1%	NA
		18.6	Yield Analysis	Yield	4.5% – 19.9%/18.0%	Decrease
		1.3	Discounted cash flow(6)	Discount rate(7)	18.4% – 23.2%/19.1%	Decrease
		0.1	Liquidation net asset value(10)	NBIB(3)	0.0% – 0.8%/0.5%	NA
Equity/Other Investments		4.3	Enterprise value(8)	LTM EBITDA(9)	$26.5 million/ncm(5)	Increase
				Market multiples(9)	7.75x – 8.75x/8.3x	Increase
Total Fair Value for Level 3 Investments(11)	$	314.7

____________

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

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 4. FAIR VALUE (cont.)

(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 calculates 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 also considers 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.

(11) Totals 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 March 31, 2023, and the level of each financial liability within the fair value hierarchy:

($ in millions)	Carrying Value(1)		Fair Value(2)		Level 1		Level 2		Level 3
6.50% Unsecured Notes	$	64.0	$	62.8	$	—	$	62.8	$	—
6.25% Unsecured Notes		44.1		42.0		—		42.0		—
5.50% Unsecured Notes		78.4		72.9		—		72.9		—
Total	$	186.5	$	177.7	$	—	$	177.7	$	—

____________

(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 $0.3 million as of March 31, 2023. Unamortized deferred debt issuance costs associated with the 6.25% Unsecured Notes totaled approximately $0.7 million as of March 31, 2023. Unamortized deferred debt issuance costs associated with the 5.50% Unsecured Notes totaled approximately $2.1 million as of March 31, 2023.

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

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(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 December 31, 2022 and the level of each financial liability within the fair value hierarchy:

($ in millions)	Carrying Value(1)		Fair Value(2)		Level 1		Level 2		Level 3
6.50% Unsecured Notes	$	64.0	$	63.4	$	—	$	63.4	$	—
6.25% Unsecured Notes		44.0		42.6		—		42.6		—
5.50% Unsecured Notes		78.3		70.0		—		70.0		—
Total	$	186.3	$	176.0	$	—	$	176.0	$	—

____________

(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 $0.4 million as of December 31, 2022. Unamortized deferred debt issuance costs associated with the 6.25% Unsecured Notes totaled approximately $0.8 million as of December 31, 2022. Unamortized deferred debt issuance costs associated with the 5.50% Unsecured Notes totaled approximately $2.2 million as of December 31, 2022.

A reconciliation of the fair value of investments for the three months ended March 31, 2023, utilizing significant unobservable inputs, is as follows:

($ in millions)	Senior Secured Notes			CLO Equity			Equity and Other Investments		Total(2)
Balance at December 31, 2022	$	211.4		$	98.9		$	4.3	$	314.7
Net realized gains included in earnings		—			—			—		—
Net unrealized (depreciation)/appreciation included in earnings(2)		(0.9	)		—			0.7		(0.2	)
Accretion of discount		0.3			—			—		0.3
Purchases		8.2			—			—		8.2
Repayments and Sales(2)		(0.3	)		—			—		(0.3	)
Reductions to CLO Equity cost value(1)		—			(3.0	)		—		(3.0	)
Transfers in and/or (out) of level 3		—			—			—		—
Balance at March 31, 2023(2)	$	218.7		$	95.9		$	5.1	$	319.7
Net change in unrealized depreciation on Level 3 investments still held as of March 31, 2023	$	(0.9	)	$	—		$	0.7	$	(0.2	)

____________

(1) Reductions to CLO equity cost value of approximately $3.0 million represented the distributions received, or entitled to be received, on the Company’s investments held in CLO equity subordinated and income notes of approximately $7.3 million, plus the amortization of cost of the Company’s CLO fee notes of approximately $52,000, less the effective yield interest income recognized on the Company’s CLO equity subordinated and income notes of approximately $4.4 million.

(2) Totals may not sum due to rounding.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 4. FAIR VALUE (cont.)

A reconciliation of the fair value of investments for the year ended December 31, 2022, utilizing significant unobservable inputs, is as follows:

($ in millions)	Senior Secured Notes			CLO Equity			Equity and Other Investments		Total(2)
Balance at December 31, 2021	$	264.5		$	155.6		$	0.8	$	420.8
Net realized losses included in earnings		—			(0.3	)		—		(0.3	)
Net unrealized (depreciation)/appreciation included in earnings		(61.0	)		(48.5	)		3.6		(105.9	)
Accretion of discount		0.9			—			—		0.9
Purchases		57.0			27.2			—		84.2
Repayments and Sales		(50.0	)		(14.6	)		—		(64.6	)
Reductions to CLO Equity cost value(1)		—			(20.4	)		—		(20.4	)
Transfers in and/or (out) of level 3		—			—			—		—
Balance at December 31, 2022(2)	$	211.4		$	98.9		$	4.3	$	314.7
Net change in unrealized depreciation on Level 3 investments still held as of December 31, 2022	$	(61.1	)	$	(47.7	)	$	3.6	$	(105.2	)

____________

(1) Reduction to CLO equity cost value of approximately $20.4 million represented the distributions received, or entitled to be received, on the Company’s investments held in CLO equity subordinated and income notes of approximately $37.3 million, plus the amortization of cost of the Company’s CLO fee notes of approximately $128,000, less the effective yield interest income recognized on the Company’s CLO equity subordinated and income notes of approximately $17.1 million.

(2) Totals may not sum due to rounding.

The following table shows the fair value of the Company’s portfolio of investments by asset class as of March 31, 2023 and December 31, 2022:

($ in millions)	March 31, 2023				December 31, 2022
($ in millions)	Investments at Fair Value		Percentage of Total Portfolio		Investments at Fair Value		Percentage of Total Portfolio
Senior Secured Notes	$	218.7	68.4	%	$	211.4	67.2	%
CLO Equity		95.9	30.0	%		98.9	31.4	%
Equity and Other Investments		5.1	1.6	%		4.3	1.4	%
Total(1)	$	319.7	100.0	%	$	314.7	100.0	%

____________

(1) Totals may not sum due to rounding.

NOTE 5. CASH AND CASH EQUIVALENTS

At March 31, 2023 and December 31, 2022, respectively, cash and cash equivalents were as follows:

	March 31, 2023		December 31, 2022
Cash	$	252,385	$	1,673,650
Cash Equivalents		10,510,782		7,345,514
Total Cash and Cash Equivalents	$	10,763,167	$	9,019,164

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

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(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 March 31, 2023 and December 31, 2022, the Company’s asset coverage for borrowed amounts was 172% and 171%, respectively.

The following are the Company’s outstanding principal amounts, carrying values and fair values of the Company’s borrowings as of March 31, 2023 and December 31, 2022. The fair value of the 6.50% Unsecured Notes 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”). The fair value of the 6.25% Unsecured Notes 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”). The fair value of the 5.50% Unsecured Notes is based upon the closing price on the last day of the period. The 5.50% Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol “OXSQG”).

($ in millions)	As of
	March 31, 2023						December 31, 2022
	Principal Amount		Carrying Value(1)		Fair Value		Principal Amount		Carrying Value(1)		Fair Value
6.50% Unsecured Notes	$	64.4	$	64.0	$	62.8	$	64.4	$	64.0	$	63.4
6.25% Unsecured Notes		44.8		44.1		42.0		44.8		44.0		42.6
5.50% Unsecured Notes		80.5		78.4		72.9		80.5		78.3		70.0
Total	$	189.7	$	186.6	$	177.7	$	189.7	$	186.3	$	176.0

____________

(1) The Carrying Value represents the aggregate principal amount outstanding less the unamortized deferred issuance costs. As of March 31, 2023, the total unamortized deferred issuance costs for the 6.50% Unsecured Notes, 6.25% Unsecured Notes, and 5.50% Unsecured Notes was approximately $0.3 million, $0.7 million, and $2.1 million, respectively. As of December 31, 2022, the total unamortized deferred issuance costs for the 6.50% Unsecured Notes, 6.25% Unsecured Notes, and 5.50% Unsecured Notes was approximately $0.4 million, $0.8 million, and $2.2 million, respectively.

(2) Totals may not sum due to rounding.

The weighted average stated interest rate and weighted average maturity on the Company’s borrowings as of March 31, 2023 were 6.02% and 3.3 years, respectively, and as of December 31, 2022 were 6.02% and 3.6 years, respectively.

The tables below summarize the components of interest expense for the three months ended March 31, 2023 and March 31, 2022, respectively:

($ in thousands)	Three Months Ended March 31, 2023
($ in thousands)	Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total(1)
6.50% Unsecured Notes	$	1,046.0	$	80.1	$	1,126.1
6.25% Unsecured Notes		699.9		57.5		757.3
5.50% Unsecured Notes		1,106.9		95.1		1,201.9
Total(1)	$	2,852.7	$	232.6	$	3,085.4

____________

(1) Totals may not sum due to rounding.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 6. BORROWINGS (cont.)

($ in thousands)	Three Months Ended March 31, 2022
($ 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
5.50% Unsecured Notes		1,106.9		95.1		1,202.0
Total(1)	$	2,852.8	$	232.7	$	3,085.4

____________

(1) Totals may not sum due to rounding.

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

On April 12, 2017, the Company completed an underwritten public offering of approximately $64.4 million in aggregate principal amount of the 6.50% Unsecured Notes. The 6.50% Unsecured Notes 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 aggregate accrued interest payable on the 6.50% Unsecured Notes as of March 31, 2023 was approximately $12,000. As of March 31, 2023, the Company had unamortized deferred debt issuance costs relating to the 6.50% Unsecured Notes of approximately $326,000. 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 statements of operations. The cash paid and the effective annualized interest rate for three months ended March 31, 2023 were approximately $1.0 million and 7.09%, respectively. The cash paid and the effective annualized interest rate for the three months ended March 31, 2022 were approximately $1.0 million and 7.09%, respectively.

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

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

The aggregate accrued interest payable on the 6.25% Unsecured Notes as of March 31, 2023 was approximately $467,000. As of March 31, 2023, the Company had unamortized deferred debt issuance costs of approximately $719,000 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 statements of operations. The cash paid and the effective annualized interest rate for the three months ended March 31, 2023 were approximately $700,000 and 6.86%, respectively. The cash paid and the effective annualized interest rate for the three months ended March 31, 2022 were approximately $700,000 and 6.86%, respectively.

Notes Payable — 5.50% Unsecured Notes Due 2028 (the “5.50% Unsecured Notes”)

On May 20, 2021, the Company completed an underwritten public offering of approximately $80.5 million in aggregate principal amount of 5.50% Unsecured Notes. The 5.50% Unsecured Notes will mature on July 31, 2028, 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 May 31, 2024. The 5.50% Unsecured Notes bear interest at a rate of 5.50% per year payable quarterly on January 31, April 30, July 31, and October 31, of each year.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 6. BORROWINGS (cont.)

The aggregate accrued interest payable on the 5.50% Unsecured Notes as of March 31, 2023 was approximately $738,000. As of March 31, 2023, the Company had unamortized deferred debt issuance costs of approximately $2,059,000 relating to the 5.50% Unsecured Notes. The deferred debt issuance costs are being amortized over the term of the 5.50% Unsecured Notes and are included in interest expense in the statements of operations. The cash paid and the effective annualized interest rate for the three months ended March 31, 2023 were approximately $1.1 million and 6.06%, respectively. The cash paid and the effective annualized interest rate for the three months ended March 31, 2022 were approximately $1.1 million and 6.06%, respectively.

NOTE 7. RELATED PARTY TRANSACTIONS

The Company pays Oxford Square Management a fee for its services under the Investment Advisory Agreement consisting of — a base investment advisory fee (the “Base Fee”) based on its gross assets, as described below, and two types of incentive 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 Item 1. Business — Investment Advisory Agreement — Advisory Fee in its Annual Report on Form 10-K for the year ended December 31, 2022, the Company first calculates the Base Fee and any incentive fee under the terms of the Investment Advisory Agreement, then calculates the Base Fee and any incentive fee under the terms of the fee waiver letter unilaterally adopted by Oxford Square Management, effective April 1, 2016 (the “2016 Fee Waiver”), and, finally, adopts the lower of two combined results as the total fees payable to Oxford Square Management.

Base Fee

The Base Fee is payable quarterly in arrears, 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, 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 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 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 March 31, 2023 and 2022, respectively:

($ in millions)		Three months ended March 31, 2023			Three months ended March 31, 2022
Base Fee		$	1.2		$	1.6

The Base Fee payable to Oxford Square Management as of March 31, 2023 and December 31, 2022 was $1,159,646 and $1,323,573, respectively.

Table of Contents

OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

Incentive Fee

The incentive fees are commonly referred to as the “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). 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 based on the Company’s “Pre-Incentive Fee Net Investment Income” for the immediately preceding calendar quarter.

• For this purpose, “Pre-Incentive Fee Net Investment Income” means interest income, dividend income and any other income (including any other fees, such as commitment, origination, structuring, diligence and consulting fees or other fees that the Company receives from portfolio companies) accrued during the calendar quarter minus the Company’s operating expenses for the quarter (including the Base Fee, expenses payable under 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 original issue discount, debt instruments with PIK interest, and zero coupon securities), accrued income that we have not yet received in cash. Pre-Incentive Fee Net Investment Income does not include any realized capital gains, realized capital losses or unrealized capital appreciation or depreciation.

• Pre-Incentive Fee Net Investment Income, expressed as a rate of return on the value of the Company’s net assets at the end of the immediately preceding calendar quarter, is compared to one-fourth of an annual “hurdle rate.” The annual hurdle rate is determined as of the immediately preceding December 31st by adding 5.0% to the interest rate then payable on the most recently issued five-year U.S. Treasury Notes, up to a maximum annual hurdle rate of 10.0%. The annual hurdle rates for the 2023 and 2022 calendar years, calculated as of the immediately preceding December 31st, were 8.99% and 6.26% 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 (8.99% for the 2023 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 (8.99% for the 2023 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).

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(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 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.

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 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.

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(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 the three months ended March 31, 2023 and 2022, respectively.

($ in millions)		Three months ended March 31, 2023			Three months ended March 31, 2022
Net Investment Income Incentive Fee		$	1.2		$	—

The Net Investment Income Incentive Fee payable to Oxford Square Management as of March 31, 2023 was $1,229,984. There was no Net Investment Income Incentive Fee payable to Oxford Square Management as of December 31, 2022.

Capital Gains Incentive Fee

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

The amount of Capital Gains Incentive Fee expense related to the hypothetical liquidation of the portfolio (and assuming no other changes in realized or unrealized gains and losses) would only become payable to 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 based on hypothetical liquidation for the three months ended March 31, 2023 and 2022. There were no accrued Capital Gains Incentive Fees payable to Oxford Square Management as of March 31, 2023 and December 31, 2022.

Administration Agreement

The Company has also entered into the Administration Agreement with Oxford Funds under which Oxford Funds provides administrative services for the Company. The Company pays Oxford Funds an allocable portion of overhead and other expenses incurred by Oxford Funds on its behalf under the Administration Agreement, including a portion of the rent and the compensation of the chief financial officer, accounting staff and other administrative support personnel, which creates potential conflicts of interest that the Board must monitor. The Company also

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS (cont.)

reimburses Oxford Funds for the costs associated with the functions performed by the Company’s Chief Compliance Officer that Oxford Funds pays on the Company’s behalf pursuant to the terms of an agreement between the Company and ACA Group.

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 March 31, 2023 and 2022, the Company incurred approximately $267,000 and $235,000, 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. In addition, the Company incurred approximately $19,000 and $15,000 for facility costs allocated under the Administration Agreement for the three months ended March 31, 2023 and 2022, respectively. As of March 31, 2023 and 2022, there were accrued compensation expenses of approximately $44,000 and $52,000, respectively, payable under the Administration Agreement.

Co-Investment Exemptive Relief

On 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 permitted, together with any future BDCs, registered closed-end funds and certain private funds, each of whose investment adviser is Oxford Square Management or an investment adviser controlling, controlled by, or under common control with the Oxford Square Management, 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, 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.

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 8. EARNINGS PER SHARE

The following table sets forth the computation of basic and diluted net increase/(decrease) in net assets resulting from net investment income and operations per share for the three months ended March 31, 2023 and 2022, respectively:

	Three Months Ended March 31, 2023		Three Months Ended March 31, 2022
Net investment income	$	6,490,784	$	4,250,374
Weighted average common shares outstanding		49,858,366		49,700,764
Net increase in net assets resulting from net investment income per common share	$	0.13	$	0.09
Net increase/(decrease) in net assets resulting from operations	$	6,268,483	$	(8,197,189	)
Net increase/(decrease) in net assets resulting from operations per common share	$	0.13	$	(0.16	)

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.

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 it’s common stock, unless they specifically “opt out” of the distribution reinvestment plan so as to receive cash distributions. During the three months ended March 31, 2023 and 2022, the Company issued 41,158 and 31,583 shares, respectively, of common stock for approximately $134,000 and $125,000, respectively, to stockholders in connection with the distribution reinvestment plan. On each of January 31, February 28 and March 31, 2023, the Company paid monthly distributions of approximately $1.7 million, or $0.035 per share.

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 9. DISTRIBUTIONS (cont.)

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Company is 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 March 31, 2023, represented, on an estimated basis, $0.105 per share from ordinary income. For the three months ended March 31, 2023, 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. federal income 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 U.S. 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 2023 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 March 31, 2023, and December 31, 2022, was $2.80 and $2.78, 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. REPURCHASE PROGRAMS

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 12. INVESTMENT INCOME

The following table sets forth the components of investment income for the three months ended March 31, 2023 and 2022, respectively:

	Three Months Ended March 31, 2023		Three Months Ended March 31, 2022
Interest Income
Stated interest income	$	7,945,032	$	4,786,723
Original issue discount and market discount income		340,019		253,267
Discount income derived from unscheduled remittances at par		9,109		210,159
Total interest income	$	8,294,160	$	5,250,149
Income from securitization vehicles and investments	$	4,379,495	$	4,441,195
Other income
Fee letters	$	155,078	$	166,625
Loan prepayment and bond call fees		—		—
All other fees		113,065		7,901
Total other income	$	268,143	$	174,526
Total investment income	$	12,941,798	$	9,865,870

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 March 31, 2023 and 2022, the Company received no fee income for managerial assistance.

NOTE 13. COMMITMENTS AND CONTINGENCIES

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 results of operations and financial condition.

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 14. FINANCIAL HIGHLIGHTS

Financial highlights for the three months ended March 31, 2023 and 2022, respectively, are as follows:

	Three Months Ended March 31, 2023			Three Months Ended March 31, 2022
Per Share Data
Net asset value at beginning of period	$	2.78		$	4.92
Net investment income(1)		0.13			0.09
Net realized and unrealized gains/(losses)(2)		(0.00	)		(0.25	)
Net increase/(decrease) in net asset value from operations		0.13			(0.16	)
Distributions per share from net investment income		(0.11	)		(0.09	)
Tax return of capital distributions(3)		—			(0.02	)
Total distributions		(0.11	)		(0.11	)
Effect of shares issued/repurchased, gross		—			—
Net asset value at end of period	$	2.80		$	4.65
Per share market value at beginning of period	$	3.12		$	4.08
Per share market value at end of period	$	3.16		$	4.19
Total return based on market value(4)		4.42	%		5.31	%
Total return based on net asset value(5)		4.50	%		(3.35	)%
Shares outstanding at end of period		49,885,954			49,721,642

Ratios/Supplemental Data(8)
Net assets at end of period (000’s)	$	139,839		$	231,304
Average net assets (000’s)	$	139,235		$	237,950
Ratio of expenses to average net assets(6)		18.53	%		9.44	%
Ratio of net investment income to average net assets(6)		18.65	%		7.14	%
Portfolio turnover rate(7)		0.10	%		10.09	%

____________

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

(2) Net realized and unrealized gains/(losses) 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. 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.

(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.

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 14. FINANCIAL HIGHLIGHTS (cont.)

(8) The following table provides supplemental performance ratios (annualized) measured for the three months ended March 31, 2023 and 2022:

	Three Months Ended March 31, 2023		Three Months Ended March 31, 2022
Ratio of expenses to average net assets:
Operating expenses before incentive fees	15.00	%	9.44	%
Net investment income incentive fees	3.53	%	—	%
Ratio of expenses, excluding interest expense to average net assets	9.67	%	4.25	%

NOTE 15. RISKS AND UNCERTAINTIES

Government spending, government policies, including recent increases in certain interest rates by the U.S. Federal Reserve, and disruptions in supply chains in the United States and elsewhere in conjunction with other factors, have led and could continue to lead to inflationary economic environments that could affect the Company’s portfolio companies, financial condition and results of operations. The Company has exposure to interest rate risks to the extent prevailing interest rates change and it could negatively affect the fair value of the Company’s investments. If interest rates continue to rise in response to inflation, the value, volatility and liquidity of income paying investments could be adversely affected. Market volatility, dramatic change to interest rates and/or unfavorable economic conditions may lower performance or impair the Company’s ability to achieve its investment objective. The occurrence of any of the above events could have a significant adverse impact on the value and risk profile of the Company’s investments.

Although it is difficult to predict the extent of the impact of economic disruptions 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.

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.

The Company places its cash in an overnight money market fund 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.

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OXFORD SQUARE CAPITAL CORP.

NOTES TO FINANCIAL STATEMENTS
March 31, 2023
(unaudited)

NOTE 15. RISKS AND UNCERTAINTIES (cont.)

Various social and political circumstances in the U.S. and around the world (including wars and other forms of conflict, including rising trade tensions between the United States and China, and other uncertainties regarding actual and potential shifts in the U.S. and foreign, trade, economic and other policies with other countries, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics), may also contribute to increased market volatility and economic uncertainties or deterioration in the U.S. and worldwide. Specifically, the conflict between Russia and Ukraine, and resulting market volatility could adversely affect the Company’s business, financial condition or results of operations. In response to the conflict between Russia and Ukraine, the United States and other countries have imposed sanctions or other restrictive actions against Russia. Any of the above factors, including sanctions, export controls, tariffs, trade wars and other governmental actions, could have a material adverse effect on the Company’s business, financial condition, cash flows and results of operations and could cause the market value of the Company’s common shares and/or debt securities to decline. These market and economic disruptions could also negatively impact the operating results of the Company’s portfolio companies.

NOTE 16. SUBSEQUENT EVENTS

The following distributions payable to stockholders are shown below:

Date Declared	Record Date	Payable Date	Per Share Distribution Amount Declared
March 16, 2023	April 14, 2023	April 28, 2023	$0.035
March 16, 2023	May 17, 2023	May 31, 2023	$0.035
March 16, 2023	June 16, 2023	June 30, 2023	$0.035
April 25, 2023	July 17, 2023	July 31, 2023	$0.035
April 25, 2023	August 17, 2023	August 31, 2023	$0.035
April 25, 2023	September 15, 2023	September 29, 2023	$0.035

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

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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;

• 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;

• the ability of our portfolio companies and CLO investments to achieve their objectives;

• the valuation of our investments in portfolio companies and CLOs, particularly those having no liquid trading market;

• market conditions and our ability to access alternative debt markets and additional debt and equity capital;

• 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 ability of our investment adviser to locate suitable investments for us and monitor and administer our investments .

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 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;

• the impact of the elimination of the London Interbank Offered Rate (“LIBOR”) and implementation of alternatives to LIBOR on our operating results;

• a contraction of available credit and/or an inability to access the equity markets 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;

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• the elevated levels of inflation and its impact on our investment activities and the industries in which we invest;

• 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;

• the impact of information technology system failures, data security breaches, data privacy compliance, network disruptions and cybersecurity attacks; and

• the risks, uncertainties and other factors we identify in Item 1A. — Risk Factors contained in our Annual Report on Form 10-K for the year ended December 31, 2022, 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 Form 10-Q should not be regarded as a representation by us that our plans and objectives will be achieved. These risks and uncertainties include those described or identified in Item 1A. — Risk Factors contained in our Annual Report on Form 10-K for the year ended December 31, 2022, 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.; “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 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 obligations (“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 management investment company and have elected to be regulated as a BDC under the Investment Company Act of 1940, as amended (the “1940 Act”). We have elected to be treated for tax purposes as a RIC, under the Code.

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 our 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 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.

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We generally expect to invest between $5 million and $50 million in each of our portfolio companies, although this investment size may vary proportionately as the size of our capital base changes and market conditions warrant. 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 March 31, 2023, our debt investments had stated interest rates of between 8.09% and 14.83% and maturity dates of between 0 and 83 months. In addition, our total portfolio had a weighted average annualized yield on debt investments of approximately 12.36% as of March 31, 2023.

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 March 31, 2023, including accretion of original issue discount (“OID”) and excluding any debt investments on non-accrual status. 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 three months ended March 31, 2023, U.S. loan market performance improved versus the prior quarter. U.S. loan prices, as defined by the Morningstar / LSTA US Leveraged Loan Index, increased from 92.44% of par as of December 31, 2022 to 94.71% of par as of February 9, 2023 before dropping to 93.38% of par as of March 31, 2023.

As of March 31, 2023, the Company’s Board of Directors approved the fair value of the Company’s investment portfolio of approximately $319.7 million in good faith in accordance with the Company’s valuation procedures.

CRITICAL ACCOUNTING POLICIES

The preparation of 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 financial statements, and revenues and expenses during the periods reported. Actual results could materially differ from those estimates. We have identified investment valuation and investment income as critical accounting policies.

Investment Valuation

We fair value our investment portfolio in accordance with the provisions of ASC 820, Fair Value Measurement and Disclosure (“ASC 820”) and Rule 2a-5 under the 1940 Act. Estimates made in the preparation of our 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.

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ASC 820-10 clarified the definition of fair value and requires companies to expand their disclosure about the use of fair value to measure assets and liabilities in interim and annual periods subsequent to initial recognition. ASC 820-10 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820-10 also establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. These tiers include: Level 1, defined as observable inputs such as quoted prices in active markets; Level 2, which includes inputs such as quoted prices for similar securities in active markets and quoted prices for identical securities in markets that are not active; and Level 3, defined as unobservable inputs for which little or no market data exists, therefore requiring an entity to develop its own assumptions. We consider the attributes of current market conditions on an on-going basis and have determined that due to the general illiquidity of the market for its investment portfolio, whereby little or no market data exists, substantially all of our fair valued investments are measured based upon Level 3 inputs as of March 31, 2023 and December 31, 2022.

Good Faith Determinations of Fair Value, Rule 2a-5 under the 1940 Act (“Rule 2a-5”) was adopted by the SEC in December 2020 and establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Our Board of Directors has adopted valuation policies and procedures that are intended to comply with Rule 2a-5.

Our Board of Directors 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 also engage third-party valuation firms to provide assistance in valuing certain of its syndicated loans and bilateral investments, including related equity investments, although our Board of Directors ultimately determines the appropriate valuation of each such investment. Changes in fair value, as described above, are recorded in the statements 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 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 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 earnings before interest, taxes, depreciation, and amortization multiples. In addition, Oxford Square Management analyzes each syndicated loan by reviewing the 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.

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

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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. 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 (as defined below) 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, have a value as of the previous quarter of greater than or equal to 2.0% of its total assets as of the previous quarter. In addition, in those instances where a third-party valuation is prepared for a portfolio investment which meets the parameters noted above, the frequency of those third-party valuations is based upon the grade assigned to each such security under its credit grading system as follows: Grade 1, at least annually; Grade 2, at least semi-annually; Grades 3, 4, and 5, at least quarterly. Bilateral investments which do not meet the parameters above are not required to have a third-party valuation and, in those instances, a valuation analysis will be prepared by Oxford Square Management. 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 financial statements for more information on investment valuation and our portfolio of investments.

INVESTMENT INCOME:

Interest Income

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 March 31, 2023 and 2022, we had three debt investments that were on non-accrual status.

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

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Payment-In-Kind

We have debt and preferred stock investments in our portfolio that contain contractual PIK provisions. PIK interest and preferred stock dividends are computed at their contractual rates and are accrued into income and added to the principal balances on the capitalization dates. Upon capitalization, the PIK portions of the investments are valued at their respective fair values. If we believe that a PIK is not fully expected to be realized, the PIK investment would be placed on non-accrual status. When a PIK investment is placed on non-accrual status, the accrued, uncapitalized interest or dividends would be reversed from the related receivable through interest or dividend income, respectively. PIK investments on non-accrual status are restored to accrual status once it becomes probable that such PIK will be ultimately collectible in cash. For the three months ended March 31, 2023 and 2022, no PIK preferred stock dividends were recognized as dividend income. For the three months ended March 31, 2023 and 2022, no PIK interest was recognized as interest 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 yield method in accordance with the provisions of ASC 325-40, Beneficial Interests in Securitized Financial Assets, based upon estimated cash flows, amounts and timing including those CLO equity investments that have not made their inaugural distribution for the relevant period end. We monitor the expected residual payments, and effective yield is determined and updated periodically, as needed. Accordingly, investment income recognized on CLO equity securities in the GAAP statements of operations differs from both the tax-basis investment income and from the cash distributions actually received by us during the period.

We also record income on our investments in certain securitization vehicles (or “CLO warehouse facilities”) based on a stated rate per the underlying note purchase agreement plus accrued interest or, if there is no stated rate, then an estimated rate is calculated using a base case model projecting the timing of the ramp-up of the CLO warehouse facility. As of March 31, 2023 and 2022, we had no investments in CLO warehouse facilities. For the three months ended March 31, 2023 and 2022, no income was recognized related to CLO warehouse facilities.

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 warehouse facilities, which are contingent upon a repayment of the warehouse by a permanent CLO structure; such fees are earned and recognized when the repayment is completed.

Recently Issued Accounting Standards

See “Note 3. Summary of Significant Accounting Policies” to our financial statements for a description of recent accounting pronouncements, including the impact on our financial statements.

PORTFOLIO COMPOSITION AND INVESTMENT ACTIVITY

The total fair value of our investment portfolio was approximately $319.7 million and $314.7 million as of March 31, 2023, and December 31, 2022, respectively. The increase in the value of investments during the three month period ended March 31, 2023, was due primarily to investment acquisitions of approximately $8.2 million, which were partially offset by debt repayments of approximately $0.3 million and net unrealized depreciation on our investment portfolio of approximately $0.2 million (which incorporates reductions to CLO equity cost value of $3.0 million).

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A reconciliation of the investment portfolio for the three months ended March 31, 2023 and the year ended December 31, 2022 follows:

($ in millions)	March 31, 2023			December 31, 2022
Beginning investment portfolio	$	314.7		$	420.8
Portfolio investments acquired		8.2			84.2
Debt repayments		(0.3	)		(50.0	)
Sales of securities		—			(14.6	)
Reductions to CLO equity cost value(1)		(3.0	)		(20.4	)
Accretion of discounts on investments(2)		0.3			0.9
Net change in unrealized depreciation on investments		(0.2	)		(105.9	)
Net realized gains/(losses) on investments		—			(0.3	)
Ending investment portfolio	$	319.7		$	314.7

____________

(1) For the three months ended March 31, 2023, the reductions to CLO equity cost value of approximately $3.0 million represented the distributions received, or entitled to be received, on our investments held in CLO equity subordinated and income notes of approximately $7.3 million, plus the amortization of cost on our CLO fee notes of approximately $52,000, less the effective yield interest income recognized on our CLO equity subordinated and income notes of approximately $4.4 million). For the year ended December 31, 2022, the reductions to CLO equity cost value of approximately $20.4 million represented the distributions received, or entitled to be received, on our investments held in CLO equity subordinated and income notes of approximately $37.3 million, plus the amortization of cost on our CLO fee notes of approximately $128,000, less the effective yield interest income recognized on our CLO equity subordinated and income notes of approximately $17.1 million.

During the three months ended March 31, 2023 we purchased approximately $8.2 million in portfolio investments, which includes additional investments of approximately $3.5 million in existing portfolio companies and approximately $4.7 million in a new portfolio company. During the year ended December 31, 2022, we purchased approximately $84.2 million in portfolio investments, including additional investments of approximately $58.9 million in existing portfolio companies and approximately $25.3 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 March 31, 2023, we did not sell any investments. For the year ended December 31, 2022, we recognized proceeds from the sales of securities of approximately $14.6 million. Also, during the three months ended March 31, 2023 and the year ended December 31, 2022, we had loan principal repayments of approximately $0.3 million and $50.0 million, respectively.

As of March 31, 2023, we had investments in debt securities of, or loans to, 21 portfolio companies, with a fair value of approximately $218.7 million, and equity investments of approximately $101.0 million.

As of December 31, 2022, we had investments in debt securities of, or loans to, 20 portfolio companies, with a fair value of approximately $211.4 million, and equity investments of approximately $103.3 million.

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

Three Months Ended ($ in millions)	Purchases of Investments		Debt Repayments		Sales of Investments		Reductions to CLO Equity Cost Value(1)
March 31, 2023	$	8.2	$	0.3	$	—	$	3.0
Total 2023 to date	$	8.2	$	0.3	$	—	$	3.0

December 31, 2022	$	6.1	$	0.2	$	—	$	2.3
September 30, 2022		3.9		11.0		1.8		3.9
June 30, 2022		26.9		0.2		9.5		6.4
March 31, 2022		47.4		38.6		3.4		7.8
Total(2)	$	84.2	$	50.0	$	14.6	$	20.4

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(1) Reductions to CLO equity cost value represent the distributions received, or entitled to be received, on our investments held in CLO equity subordinated and income notes, plus the amortization of cost of our CLO fee notes, less the effective yield interest income recognized on our CLO equity subordinated and income notes.

(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 March 31, 2023 and December 31, 2022:

	March 31, 2023				December 31, 2022
($ in millions)	Investments at Fair Value		Percentage of Total Portfolio		Investments at Fair Value		Percentage of Total Portfolio
Senior Secured Notes	$	218.7	68.4	%	$	211.4	67.2	%
CLO Equity		95.9	30.0	%		98.9	31.4	%
Equity and Other Investments		5.1	1.6	%		4.3	1.4	%
Total(1)	$	319.7	100.0	%	$	314.7	100.0	%

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(1) Totals may not sum due to rounding.

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 March 31, 2023 and December 31, 2022, we held qualifying assets that represented 71.3% and 70.1%, respectively, of the 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 March 31, 2023 and December 31, 2022:

	March 31, 2023				December 31, 2022
	Investments at Fair Value		Percentage of Fair Value		Investments at Fair Value		Percentage of Fair Value
	($ in millions)				($ in millions)
Structured finance(1)	$	95.9	30.0	%	$	98.9	31.4	%
Software		79.4	24.8	%		69.0	21.9	%
Business services		53.2	16.6	%		53.4	17.0	%
Healthcare		31.5	9.8	%		33.6	10.7	%
Telecommunication services		21.0	6.6	%		22.2	7.1	%
Diversified insurance		14.6	4.6	%		14.7	4.7	%
Plastics manufacturing		12.0	3.8	%		11.7	3.7	%
Utilities		7.1	2.2	%		6.8	2.2	%
IT consulting		5.1	1.6	%		4.3	1.4	%
Total(2)	$	319.7	100.0	%	$	314.7	100.0	%

____________

(1) Reflects our equity investments in CLOs as of March 31, 2023, and December 31, 2022, respectively.

(2) Totals may not sum due to rounding.

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PORTFOLIO GRADING

We have adopted a credit grading system to monitor the quality of our debt investment portfolio. As of March 31, 2023 and December 31, 2022, our portfolio had a weighted average grade of 2.2 and 2.2, respectively, based upon the fair value of the debt investments in the portfolio. Equity securities and investments in CLOs are not graded.

As of March 31, 2023 and December 31, 2022, our debt investment portfolio was graded as follows:

($ in millions)		March 31, 2023
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.	$	—	—	%	$	—	—	%
2	Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		222.0	70.1	%		176.2	80.5	%
3	Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		65.7	20.8	%		42.4	19.4	%
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.		—	—	%		—	—	%
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.		28.7	9.1	%		0.1	0.1	%
	Total(1)	$	316.4	100.0	%	$	218.7	100.0	%

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(1) Totals may not sum due to rounding.

($ in millions)		December 31, 2022
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.	$	—	—	%	$	—	—	%
2	Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		230.1	74.9	%		180.0	85.1	%
3	Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		48.9	15.9	%		31.3	14.8	%
4	A loss of interest income has occurred or is expected to occur and, in most cases, the investment is placed on non-accrual status. Full repayment of the outstanding amount of 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		28.2	9.2	%		0.2	0.1	%
	Total(1)	$	307.2	100.0	%	$	211.4	100.0	%

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(1) Totals may not sum due to rounding.

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We expect that a portion of our investments will be in the grades 3, 4 or 5 categories from time to time, and, as such, we will be required to work with troubled portfolio companies to improve their business and protect our investment. The number and amount of investments included in grades 3, 4 or 5 may fluctuate from period to period.

RESULTS OF OPERATIONS

Set forth below is a comparison of our results of operations for the three months ended March 31, 2023 to the three months ended March 31, 2022.

Investment Income

Investment income for the three months ended March 31, 2023 and March 31, 2022 was approximately $12.9 million and $9.9 million, respectively. The following tables set forth the components of investment income for the three months ended March 31, 2023 and March 31, 2022:

	Three Months Ended March 31, 2023		Three Months Ended March 31, 2022
Interest Income
Stated interest income	$	7,945,032	$	4,786,723
Original issue discount and market discount income		340,019		253,267
Discount income derived from unscheduled remittances at par		9,109		210,159
Total interest income	$	8,294,160	$	5,250,149
Income from securitization vehicles and investments	$	4,379,495	$	4,441,195
Other income		—		—
Fee letters	$	155,078	$	166,625
Loan prepayment and bond call fees		—		—
All other fees		113,065		7,901
Total other income	$	268,143	$	174,526
Total investment income	$	12,941,798	$	9,865,870

The increase in total investment income for the three months ended March 31, 2023 was primarily due to an increase in interest income for the three months ended March 31, 2023.

The total principal value of income producing debt investments as of March 31, 2023 and March 31, 2022 was approximately $287.7 million and $280.1 million, respectively. As of March 31, 2023, our debt investments had a range of stated interest rates of 8.09% and 14.83% and maturity dates of between 0 and 83 months compared to a range of stated interest rates of 4.21% and 10.50% and maturity dates of between 3 and 95 months as of March 31, 2023. In addition, our total debt portfolio had a weighted average yield on debt investments of approximately 12.36% as of March 31, 2023, compared to approximately 8.01% as of March 31, 2022. As of March 31, 2023, three debt investments were on non-accrual status with a combined fair value of approximately $0.1 million and total principal value of approximately $28.7 million. As of March 31, 2022, three debt investments were on non-accrual status with a fair value of approximately $1.0 million and total principal value of approximately $27.2 million.

Income from securitization vehicles for the three months ended March 31, 2023 and March 31, 2022, was approximately $4.4 million and $4.4 million, respectively. The total principal outstanding on our investments in CLOs as of March 31, 2023 and March 31, 2022, was approximately $363.1 million and $352.9 million, respectively. The weighted average yield on CLO equity investments as of March 31, 2023 and March 31, 2022, was approximately 9.1% and 8.9%, respectively.

Operating Expenses

Total expenses for the three months ended March 31, 2023 and 2022, were approximately $6.5 million and $5.6 million, respectively. These amounts consisted of base management fees, interest expense, professional fees, compensation expense, general and administrative expenses, and incentive fees.

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Expenses before incentive fees for the three months ended March 31, 2023 were approximately $5.2 million, compared to $5.6 million for the three months ended March 31, 2022. That decrease is primarily due to lower base management fees.

The base management fee for the three months ended March 31, 2023 was approximately $1.2 million compared with $1.6 million for the three months ended March 31, 2022. That decrease for the three months ended March 31, 2023 was due largely to a decrease in the weighted average gross assets.

The net investment income incentive fee for the three months ended March 31, 2023 was approximately $1.2 million. There was no net investment income incentive fee for the three months ended March 31, 2022. That increase for the three months ended March 31, 2023 was due to greater net investment income, coupled with the Company’s performance exceeding the total return requirement.

Interest expense for the three months ended March 31, 2023 and 2022, was approximately $3.1 million, which primarily relates to our 5.50% unsecured notes due 2028 (the “5.50% Unsecured Notes”), 6.25% unsecured notes due 2026 (the “6.25% Unsecured Notes”) and 6.50% unsecured notes due 2024 (the “6.50% Unsecured Notes”).

Professional fees, consisting of legal, consulting, valuation, audit and tax fees, were approximately $336,000 for the three months ended March 31, 2023, compared to approximately $344,000 for the three months ended March 31, 2022. That decrease for the three months ended March 31, 2023 was primarily due to lower legal fees.

Compensation expense was approximately $267,000 for the three months ended March 31, 2023, compared to approximately $235,000 for the three months ended March 31, 2022. 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, was approximately $373,000 for the three months ended March 31, 2023, compared to approximately $344,000 for the three months ended March 31, 2022. Office supplies, facilities costs and other expenses are allocated to us under the terms of the Administration Agreement.

Incentive Fees

The net investment income incentive fee (“Net Investment Income Incentive Fee”) recorded for the three months ended March 31, 2023 was approximately $1.2 million. There was no Net Investment Income Incentive Fee recorded for the three months ended March 31, 2022 due to the total return requirement. The 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. 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, 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 financial statements.

The expense attributable to the capital gains incentive fee (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. That expense (or the reversal of such an expense) related to 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 March 31, 2023, 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 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 calculation is based on net realized gains, if any, offset by gross unrealized depreciation

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for the calendar year. No effect is given to gross unrealized appreciation in this calculation. For the three months ended March 31, 2023 and 2022, 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 March 31, 2023, we did not sell any positions, nor recognize any realized gains or losses.

For the three months ended March 31, 2023, our net change in unrealized appreciation was approximately $0.2 million, composed of $7.8 million in gross unrealized appreciation and $8.0 million in gross unrealized depreciation. This includes net unrealized appreciation of approximately $3.0 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 $7.3 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 $4.3 million. The most significant components of the net change in unrealized depreciation during the three months ended March 31, 2023, were as follows (in millions):

Portfolio Company	Changes in unrealized appreciation/ (depreciation)
Dodge Data & Analytics, LLC	$	1.3
RSA Security, LLC		1.0
Verifone Systems, Inc.		(0.8	)
ConvergeOne Holdings, Inc.		(1.0	)
HealthChannels, Inc. (f/k/a ScribeAmerica, LLC)		(2.3	)
Net all other		1.6
Total	$	(0.2	)

For the three months ended March 31, 2022, we recognized net realized gains on investments of approximately $1.0 million, which reflects the sale of a CLO equity investment.

For the three months ended March 31, 2022, our net change in unrealized depreciation was approximately $13.5 million, composed of $1.0 million in gross unrealized appreciation, $13.9 million in gross unrealized depreciation and approximately $0.6 million relating to the reversal of prior period net unrealized appreciation as investment gains and losses were realized. This includes net unrealized appreciation of approximately $7.8 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 $12.2 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 $4.4 million. The most significant components of the net change in unrealized depreciation during the three months ended March 31, 2022, were as follows (in millions):

Portfolio Company	Changes in unrealized depreciation
Octagon Investment Partners 45, Ltd.	$	(1.0	)
ConvergeOne Holdings, Inc.		(1.0	)
Telos CLO 2014-5, Ltd.		(1.1	)
Sound Point CLO XVI, Ltd.		(1.3	)
Octagon Investment Partners 49, Ltd.		(1.9	)
Net all other		(7.2	)
Total	$	(13.5	)

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Net Increase in Net Assets Resulting from Net Investment Income

Net investment income for the three months ended March 31, 2023 and March 31, 2022 was approximately $6.5 million and $4.3 million, respectively. That increase in net investment income was primarily due to an increase in interest income, partially offset by an increase in Net Investment Income Incentive Fees.

For the three months ended March 31, 2023, the net increase in net assets resulting from net investment income per common share was $0.13 (basic and diluted), compared to the net increase in net assets resulting from net investment income per share of $0.09 (basic and diluted) for the three months ended March 31, 2022. The per share increase was primarily due to an increase in investment income and a decrease in Base Fees, partially offset by an increase in Net Investment Income Incentive Fees.

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

Net increase in net assets resulting from operations for the three months ended March 31, 2023 was approximately $6.3 million compared with a net decrease in net assets resulting from operations of approximately $8.2 million for the three months ended March 31, 2022.

For the three months ended March 31, 2023, the net increase in net assets resulting from operations per common share was $0.13 (basic and diluted), compared to a net decrease in net assets resulting from operations per share of $0.16 (basic and diluted) for the three months ended March 31, 2022.

LIQUIDITY AND CAPITAL RESOURCES

As of March 31, 2023, cash and cash equivalents were approximately $10.8 million as compared to approximately $9.0 million as of December 31, 2022. For the three months ended March 31, 2023, net cash provided by operating activities for the period, consisting primarily of the items described in “— Results of Operations,” was approximately $6.8 million, largely reflecting purchases of investments of approximately $8.2 million and net change in unrealized depreciation of approximately $0.2 million, partially offset by proceeds from principal repayments of investments of approximately $0.3 million For the three months ended March 31, 2023, net cash used in financing activities was approximately $5.1 million, reflecting the payment of distributions.

Contractual Obligations

A summary of our significant contractual payment obligations as of March 31, 2023, 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
Long-term debt obligations:
6.50% Unsecured Notes	$	64.4	$	64.4	$	—	$	—	$	—
6.25% Unsecured Notes		44.8		—		—		44.8		—
5.50% Unsecured Notes		80.5		—		—		—		80.5
	$	189.7	$	64.4	$	—	$	44.8	$	80.5

Refer to “Note 6. Borrowings” in the notes to our 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 March 31, 2023, we did not have any commitments to purchase additional investments.

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Borrowings

In accordance with the 1940 Act, with certain limited exceptions, as of March 31, 2023, 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, 2023 and December 31, 2022, our asset coverage for borrowed amounts was approximately 172% and 171%, respectively.

The weighted average stated interest rate and weighted average maturity on all of the Company’s debt outstanding as of March 31, 2023, were 6.02% and 3.3 years, respectively, and as of December 31, 2022, were 6.02% and 3.6 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 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 May 20, 2021, we completed an underwritten public offering of approximately $80.5 million in aggregate principal amount of 5.50% unsecured notes due 2028, or the “5.50% Unsecured Notes.” The 5.50% Unsecured Notes will mature on July 31, 2028, and may be redeemed in whole or in part at any time or from time to time at our option (on or after May 31, 2024). The 5.50% Unsecured Notes bear interest at a rate of 5.50% per year payable quarterly on January 31, April 30, July 31, and October 31, of each year. The 5.50% Unsecured Notes are listed on the NASDAQ Global Select Market under the trading symbol “OXSQG.”

Refer to “Note 6. Borrowings” in the notes to our 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.

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 October 15, 2024, to file our federal income tax return for the year ended December 31, 2023.

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.

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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 2022:

Date Declared	Record Date	Payment Date	Total Distributions		GAAP net investment income			Distributions in excess of/ (less than) GAAP net investment income(1)
Fiscal 2023(1)
April 25, 2023	September 15, 2023	September 29, 2023	$	0.035	$	N/A		$	—
April 25, 2023	August 17, 2023	August 31, 2023		0.035		N/A			—
April 25, 2023	July 17, 2023	July 31, 2023		0.035		N/A			—
Total (Third Quarter 2023)				0.105		—	(3)		—

March 16, 2023	June 16, 2023	June 30, 2023	$	0.035	$	N/A		$	—
March 16, 2023	May 17, 2023	May 31, 2023		0.035		N/A			—
March 16, 2023	April 14, 2023	April 28, 2023		0.035		N/A			—
Total (Second Quarter 2023)				0.105		—	(3)		—

October 20, 2022	March 17, 2023	March 31, 2023	$	0.035	$	N/A		$	—
October 20, 2022	February 14, 2023	February 28, 2023		0.035		N/A			—
October 20, 2022	January 17, 2023	January 31, 2023		0.035		N/A			—
Total (First Quarter 2023)				0.105		0.13			(0.03	)

Fiscal 2022(1)
July 21, 2022	December 16, 2022	December 30, 2022	$	0.035	$	N/A		$	—
July 21, 2022	November 16, 2022	November 30, 2022		0.035		N/A			—
July 21, 2022	October 17, 2022	October 31, 2022		0.035		N/A			—
Total (Fourth Quarter 2022)				0.105		0.13			(0.03	)

April 21, 2022	September 16, 2022	September 30, 2022		0.035		N/A			—
April 21, 2022	August 17, 2022	August 31, 2022		0.035		N/A			—
April 21, 2022	July 15, 2022	July 29, 2022		0.035		N/A			—
Total (Third Quarter 2022)				0.105		0.11			(0.01	)

March 1, 2022	June 16, 2022	June 30, 2022		0.035		N/A			—
March 1, 2022	May 17, 2022	May 31, 2022		0.035		N/A			—
March 1, 2022	April 15, 2022	April 29, 2022		0.035		N/A			—
Total (Second Quarter 2022)				0.105		0.09			0.02

October 22, 2021	March 17, 2022	March 31, 2022		0.035		N/A			—
October 22, 2021	February 14, 2022	February 28, 2022		0.035		N/A			—
October 22, 2021	January 17, 2022	January 31, 2022		0.035		N/A			—
Total (First Quarter 2022)				0.105		0.09			0.02
Total (2022)			$	0.42	$	0.42	(2)	$	—	(2)

____________

(1) The tax characterization of cash distributions for the year ending December 31, 2023 and year ended December 31, 2022 will not be known until the tax return for such years are finalized. For the year ending December 31, 2023 and year ended December 31, 2022, 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 2023 and 2022 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) Totals may not sum due to rounding.

(3) We have not yet reported investment income for this period.

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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 the 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 Gate Management, LLC, the investment adviser to the Oxford Gate Funds and Oxford Bridge II, LLC. Oxford Funds is the managing member of 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 Oxford Gate Management, LLC.

• Messrs. Cohen and Rosenthal currently serve as Chief Executive Officer and President, respectively, of Oxford Lane Capital Corp., a 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 serves as the Chief Compliance Officer of Oxford Lane Capital Corp. and Oxford Lane Management, LLC.

• Messrs. Cohen and Rosenthal currently serve as Chief Executive Officer and President, respectively, of Oxford Park Income Fund, Inc., 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 Park Management, LLC. Oxford Funds provides Oxford Park Income Fund, Inc. with office facilities and administrative services pursuant to an administration agreement and also serves as the managing member of Oxford Park Management, LLC. In addition, Bruce L. Rubin serves as the Chief Financial Officer, Treasurer and Corporate Secretary of Oxford Park Income Fund, Inc. and Chief Financial Officer and Treasurer of Oxford Park Management, LLC, and Mr. Cummins serves as the Chief Compliance Officer of Oxford Park Income Fund, Inc. and Oxford Park Management, LLC.

As a result, certain conflicts of interest may arise with respect to the management of our portfolio by Messrs. Cohen and Rosenthal on the one hand, and the obligations of Messrs. Cohen and Rosenthal to manage Oxford Lane Capital Corp., Oxford Park Income Fund, Inc., Oxford Bridge II, LLC and the Oxford Gate Funds, respectively, on the other hand.

Oxford Square Management, Oxford Lane Management, LLC, Oxford Park Management, LLC and Oxford Gate Management, LLC are subject to a written policy with respect to the allocation of investment opportunities among the Company, Oxford Lane Capital Corp., Oxford Park Income Fund, Inc., Oxford Bridge II, LLC and the Oxford Gate Funds. Where investments are suitable for more than one entity, the allocation policy generally provides that, depending on size and subject to current and anticipated cash availability, the absolute size of the investment as well as its relative size compared to the total assets of each entity, current and anticipated weighted average costs of capital, among other factors, 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 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

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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 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 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 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:

Date Declared	Record Date	Payable Dates	Per Share Distribution Amount Declared
March 16, 2023	April 14, 2023	April 28, 2023	$0.035
March 16, 2023	May 17, 2023	May 31, 2023	$0.035
March 16, 2023	June 16, 2023	June 30, 2023	$0.035
April 25, 2023	July 17, 2023	July 31, 2023	$0.035
April 25, 2023	August 17, 2023	August 31, 2023	$0.035
April 25, 2023	September 15, 2023	September 29, 2023	$0.035

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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

We are subject to financial market risks, including changes in interest rates. As of March 31, 2023, all debt investments in our portfolio were at variable interest rates, representing approximately $316.4 million in principal debt. As of March 31, 2023, all except three of our variable rate investments were income producing. The variable rates are generally based upon the five-year U.S. Department of Treasury note, the Prime rate, SOFR, 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 interest rate floors.

Interest rate risk is defined as the sensitivity of our current and future earnings to interest rate volatility, including relative changes in different interest rates, variability of spread relationships, the difference in re-pricing intervals between our assets and liabilities and the effect that interest rates may have on our cash flows. Changes in the general level of interest rates can affect our net interest income, which is the difference between the interest income earned on interest earning assets and our interest expense incurred in connection with our interest-bearing debt and liabilities. Changes in interest rates can also affect, among other things, our ability to acquire leveraged loans, high yield bonds and other debt investments and the value of our investment portfolio.

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.

Based on our Statements of Assets and Liabilities as of March 31, 2023, 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, 2023. These hypothetical calculations are based on a model of the investments in our portfolio, held as of March 31, 2023, 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 Base Rates	Estimated Percentage Change in Investment Income
Up 300 basis points	16.7	%
Up 200 basis points	11.1	%
Up 100 basis points	5.6	%
Down 100 basis points	(5.6	)%
Down 200 basis points	(11.1	)%
Down 300 basis points	(16.7	)%

ITEM 4. CONTROLS AND PROCEDURES.

(a) Evaluation of Disclosure Controls and Procedures

As of March 31, 2023 (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

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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 Rule 13a-15(f) under the Securities Exchange Act of 1934, as amended) that occurred during the quarter ended March 31, 2023, that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

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PART II — OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS.

We are not currently subject to any material legal proceedings. From time to time, we may be a party to certain legal proceedings in the ordinary course of business, including proceedings relating to the enforcement of our rights under contracts with our portfolio companies. While the outcome of these legal proceedings, if any, cannot be predicted with certainty, we do not expect that these proceedings will have a material effect upon our financial condition or results of operations.

ITEM 1A. RISK FACTORS.

In addition to the other information set forth in this report, you should carefully consider the risk factors discussed in Item 1A (Risk Factors) in our Annual Report on Form 10-K for the fiscal year ended December 31, 2022. 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 March 31, 2023, to the risk factors discussed in Item 1A. Risk Factors in our Annual Report on Form 10-K for the year ended December 31, 2022.

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 March 31, 2023, we issued 41,158 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 March 31, 2023 was approximately $134,000.

Issuer Purchases of Equity Securities

During the three months ended March 31, 2023, 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.

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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-2 (File No. 333-109055), filed on September 23, 2003).
3.2		Articles of Amendment (Incorporated by reference to Exhibit 3.1 to the Registrant’s current report on Form 8-K filed December 3, 2007).
3.3		Fourth Amended and Restated Bylaws (Incorporated by reference to Exhibit 3.5 to the Registrant’s report on Form 10-K filed on March 7, 2022).
3.4		Articles of Amendment (Incorporated by reference to Exhibit 3.1 to the Registrant’s current report on Form 8-K filed March 20, 2018).
3.5		Articles of Amendment (Incorporated by reference to Exhibit 3.2 to the Registrant’s current report on Form 8-K filed March 20, 2018).
4.1		Form of Share Certificate (Incorporated by reference to Exhibit d. to the Registrant’s Registration Statement on Form N-2 (File No. 333-109055), filed on September 23, 2003).
31.1		Certification of Chief Executive Officer pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*
31.2		Certification of Chief Financial Officer pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*
32.1		Certification of Chief Executive Officer pursuant to section 906 of The Sarbanes-Oxley Act of 2002.*
32.2		Certification of Chief Financial Officer pursuant to section 906 of The Sarbanes-Oxley Act of 2002.*

____________

* Filed herewith

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

	OXFORD SQUARE CAPITAL CORP.
Date: May 2, 2023	By:	/s/ Jonathan H. Cohen
		Jonathan H. Cohen
		Chief Executive Officer
		(Principal Executive Officer)

Date: May 2, 2023	By:	/s/ Bruce L. Rubin
		Bruce L. Rubin
		Chief Financial Officer
		(Principal Accounting Officer)