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

___________________________________

FORM 10-Q

___________________________________

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

FOR THE QUARTERLY PERIOD ENDED SEPTEMBER 30, 2020

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

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

_______________________

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

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

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

Large accelerated filer £	Accelerated filer S
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 S

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date. The number of shares of the issuer’s common stock, $0.01 par value, outstanding as of October27, 2020, was 49,589,607.

OXFORD SQUARE CAPITAL CORP.

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION		1
Item 1.	Financial Statements	1
	Consolidated Statements of Assets and Liabilities as of September 30, 2020 (unaudited) and December 31, 2019	1
	Consolidated Schedule of Investments as of September 30, 2020 (unaudited)	2
	Consolidated Schedule of Investments as of December 31, 2019	12
	Consolidated Statements of Operations for the three and nine months ended September 30, 2020 and 2019 (unaudited)	22
	Consolidated Statements of Changes in Net Assets for the three and nine months ended September 30, 2020 and 2019 (unaudited)	23
	Consolidated Statements of Cash Flows for the nine months ended September 30, 2020 and 2019 (unaudited)	24
	Notes to Consolidated Financial Statements (unaudited)	25
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	49
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	66
Item 4.	Controls and Procedures	67
PART II. OTHER INFORMATION		68
Item 1.	Legal Proceedings	68
Item 1A.	Risk Factors	68
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	73
Item 3.	Defaults Upon Senior Securities	73
Item 4.	Mine Safety Disclosures	73
Item 5.	Other Information	73
Item 6.	Exhibits	73
SIGNATURES		74

i

PART I — FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

	September 30, 2020			December 31, 2019
	(unaudited)
ASSETS
Non-affiliated/non-control investments (cost: $443,810,054 and $467,828,907, respectively)	$	295,267,639		$	361,985,203
Affiliated investments (cost: $16,836,822 and $16,836,822, respectively)		—			2,816,790
Cash equivalents		2,220,960			14,410,486
Restricted cash		—			2,050,452
Interest and distributions receivable		1,539,157			3,480,036
Other assets		690,468			523,626
Total assets	$	299,718,224		$	385,266,593
LIABILITIES
Notes payable – 6.50% Unsecured Notes (net of deferred issuance costs of $1,136,908 and $1,380,658, respectively)	$	63,233,317		$	62,989,567
Notes payable – 6.25% Unsecured Notes (net of deferred issuance costs of $1,301,850 and $1,476,878, respectively)		43,488,900			43,313,872
Notes payable – Credit Facility (net of deferred issuance costs of $0 and $10,051, respectively)		—			28,080,550
Base management fee and net investment income incentive fee payable to affiliate		1,123,449			1,480,653
Accrued interest payable		481,261			632,235
Accrued expenses		422,828			771,174
Total liabilities		108,749,755			137,268,051
COMMITMENTS AND CONTINGENCIES (Note 13)
NET ASSETS
Common stock, $0.01 par value, 100,000,000 shares authorized; 49,589,607 and 48,448,987 shares issued and outstanding, respectively		495,895			484,489
Capital in excess of par value		457,810,322			451,839,302
Total distributable earnings/(accumulated losses)		(267,337,748	)		(204,325,249	)
Total net assets		190,968,469			247,998,542
Total liabilities and net assets	$	299,718,224		$	385,266,593
Net asset value per common share	$	3.85		$	5.12

See Accompanying Notes.

1

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)
September 30, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes
Aerospace and Defense
Novetta, LLC
first lien senior secured notes, 6.00% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(16)	November 20, 2014	$	5,428,880	$	5,385,412	$	5,320,302
Total Aerospace and Defense				$	5,385,412	$	5,320,302	2.8	%
Business Services
Access CIG, LLC
second lien senior secured notes, 7.91% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(14)(15)	February 14, 2018	$	16,754,000	$	16,838,420	$	15,776,739
Convergint Technologies, LLC
second lien senior secured notes, 7.50% (LIBOR + 6.75%), (0.75% floor) due February 2, 2026(4)(5)(15)	January 29, 2018		1,500,000		1,493,297		1,350,000
Imagine! Print Solutions
second lien senior secured notes, 9.75% (LIBOR + 8.75%), (1.00% floor) due June 21, 2023(4)(5)(16)(17)	June 14, 2017		15,000,000		13,975,246		168,750
OMNIA Partners, Inc.
second lien senior secured notes, 7.72% (LIBOR + 7.50%), (0.00% floor) due May 22, 2026(4)(5)(14)(16)	May 17, 2018		14,000,000		13,946,374		12,670,000
Premiere Global Services, Inc.
first lien senior secured notes, 7.50% (LIBOR + 6.50%), (1.00% floor) due June 8, 2023(4)(5)(6)(14)(25)	October 1, 2019		14,286,783		13,770,313		9,197,117
second lien senior secured notes, 0.50% Cash, 10.00% PIK (LIBOR + 9.00%) (1.00% floor) due June 6, 2024(3)(4)(5)(14)(16)(17)	October 1, 2019		11,099,349		9,817,795		5,549,675
Verifone Systems, Inc.
first lien senior secured notes, 4.25% (LIBOR + 4.00%), (0.00% floor) due August 20, 2025(4)(5)(6)(14)(16)	August 9, 2018		10,867,348		10,344,008		9,726,276
Total Business Services				$	80,185,453	$	54,438,557	28.5	%
Diversified Insurance
AmeriLife Group LLC
second lien senior secured notes, 9.50% (LIBOR + 8.50%), (1.00% floor) due March 18, 2028(4)(5)(6)(25)	March 18, 2020	$	7,500,000	$	7,355,342	$	7,350,000
Total Diversified Insurance				$	7,355,342	$	7,350,000	3.8	%

(continued on next page)

See Accompanying Notes.

2

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
September 30, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes – (continued)
Education
Edmentum, Inc. (f/k/a Plato, Inc.)
first lien senior secured notes, 5.50% (LIBOR + 4.50%), (1.00% floor) Cash, 4.00% PIK due June 9, 2021(3)(4)(5)(6)(16)	April 25, 2013	$	6,184,402	$	6,172,645	$	5,813,338
Total Education				$	6,172,645	$	5,813,338	3.0	%
Healthcare
Keystone Acquisition Corp.
first lien senior secured notes, 6.25% (LIBOR + 5.25%), (1.00% floor) due May 1, 2024(4)(5)(6)(14)(16)	May 10, 2017	$	7,400,648	$	7,378,832	$	6,679,085
second lien senior secured notes, 10.25% (LIBOR + 9.25%), (1.00% floor) due May 1, 2025(4)(5)(14)(16)	May 10, 2017		13,000,000		12,886,481		10,725,000
Viant Medical Holdings, Inc.
first lien senior secured notes, 3.91% (LIBOR + 3.75%), (0.00% floor) due July 2, 2025(4)(5)(6)(14)(15)	June 26, 2018		9,800,000		9,799,040		9,040,500
second lien senior secured notes, 7.90% (LIBOR + 7.75%), (0.00% floor) due July 2, 2026(4)(5)(14)(15)	June 26, 2018		5,000,000		4,959,694		4,150,000
Healthport Technologies, LLC
first lien senior secured notes, 5.25% (LIBOR + 4.25%), (1.00% floor) due December 1, 2021(4)(5)(6)(14)(15)	April 12, 2019		16,467,538		15,435,940		15,798,627
HealthChannels, Inc. (f/k/a ScribeAmerica, LLC)
first lien senior secured notes, 4.65% (LIBOR + 4.50%), (0.00% floor) due April 3, 2025(4)(5)(6)(15)	October 31, 2018		9,786,623		9,733,683		8,905,827
Total Healthcare				$	60,193,670	$	55,299,039	29.0	%
Logistics
Capstone Logistics Acquisition, Inc.
first lien senior secured notes, 5.50% (LIBOR + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(14)(15)	October 3, 2014	$	12,903,300	$	12,894,290	$	12,677,492
Total Logistics				$	12,894,290	$	12,677,492	6.6	%

(continued on next page)

See Accompanying Notes.

3

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
September 30, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Senior Secured Notes – (continued)
Plastics Manufacturing
Spectrum Holdings III Corp. (f/k/a KPEX Holdings, Inc.)
first lien senior secured notes, 4.25% (LIBOR + 3.25%), (1.00% floor) due January 31, 2025(4)(5)(6)(25)	June 24, 2020	$	7,460,805	$	6,670,200	$	6,789,333
Total Plastics Manufacturing				$	6,670,200	$	6,789,333	3.6	%
Software
ECI Software Solutions, Inc.
first lien senior secured notes, 5.25% (LIBOR + 4.25%), (1.00% floor) due September 27, 2024 (4)(5)(6)(14)(15)	June 28, 2018	$	2,889,717	$	2,895,003	$	2,869,865
second lien senior secured notes, 9.00% (LIBOR + 8.00%), (1.00% floor) due September 29, 2025(4)(5)(14)(15)	September 19, 2017		15,000,000		14,924,044		14,906,250
Quest Software, Inc.
first lien senior secured notes, 4.51% (LIBOR + 4.25%), (0.00% floor) due May 16, 2025(4)(5)(6)(14)(16)	May 17, 2018		2,906,402		2,895,633		2,841,008
second lien senior secured notes, 8.51% (LIBOR + 8.25%), (0.00% floor) due May 18, 2026(4)(5)(14)(16)	May 17, 2018		12,500,000		12,398,878		11,650,000
Total Software				$	33,113,558	$	32,267,123	16.9	%
Telecommunications Services
Global Tel Link Corp.
second lien senior secured notes, 8.40% (LIBOR + 8.25%), (0.00% floor) due November 29, 2026(4)(5)(14)(15)	November 20, 2018	$	17,000,000	$	16,744,277	$	11,645,000
Total Telecommunication Services				$	16,744,277	$	11,645,000	6.1	%
Utilities
CLEAResult Consulting, Inc.
second lien senior secured notes, 7.40% (LIBOR + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(15)	August 3, 2018	$	7,650,000	$	7,670,063	$	6,923,250
Total Utilities				$	7,670,063	$	6,923,250	3.6	%
Total Senior Secured Notes				$	236,384,910	$	198,523,434	104.0	%

(continued on next page)

See Accompanying Notes.

4

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
September 30, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Debt Investments
Structured Finance
AMMC CLO XII, Ltd.
CLO secured class F notes, 8.61% (LIBOR + 8.37%), due November 10, 2030(4)(5)(11)(12)(16)	July 29, 2020	$	992,323	$	672,705	$	672,696
Galaxy XXVIII CLO, Ltd.
CLO secured class F notes, 8.76% (LIBOR + 8.48%), due July 15, 2031(4)(5)(11)(12)(16)	June 29, 2018		1,000,000		937,766		724,300
Windriver 2012-1 CLO, Ltd.
CLO secured class E notes, 7.66% (LIBOR + 7.38%), due January 15, 2026(4)(5)(11)(12)(16)	July 30, 2020		10,000,000		7,574,083		8,319,000
Total Structured Finance				$	9,184,554	$	9,715,996	5.1	%
Total Collateralized Loan Obligation – Debt Investments				$	9,184,554	$	9,715,996	5.1	%
Collateralized Loan Obligation – Equity Investments
Structured Finance
AMMC CLO XI, Ltd.
CLO subordinated notes, estimated yield 12.40% due April 30, 2031(9)(11)(12)(18)(26)	March 12, 2015	$	6,000,000	$	3,827,832	$	2,400,000
AMMC CLO XII, Ltd.
CLO subordinated notes, estimated yield 7.95% due November 10, 2030(9)(11)(12)(18)(26)	March 13, 2013		12,921,429		6,947,042		4,005,643
Atlas Senior Loan Fund XI, Ltd.
CLO subordinated notes, estimated yield 9.22% due July 26, 2031(9)(11)(12)(18)(26)	April 5, 2019		5,725,000		4,327,124		2,061,000
Babson CLO Ltd. 2015-I
CLO subordinated notes, estimated yield 6.73% due January 20, 2031(9)(11)(12)(18)	July 26, 2018		2,840,000		1,696,123		766,800
BlueMountain CLO 2014-2 Ltd.
CLO subordinated notes, estimated yield 16.45% due October 20, 2030(9)(11)(12)(18)	April 3, 2019		6,374,000		2,746,553		1,338,540

(continued on next page)

See Accompanying Notes.

5

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
September 30, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Carlyle Global Market Strategies CLO 2013-2, Ltd.
CLO subordinated notes, estimated yield 11.00% due January 18, 2029(9)(11)(12)(18)(26)	March 19, 2013	$	6,250,000	$	3,611,503	$	1,557,991
Cedar Funding II CLO, Ltd.
CLO subordinated notes, estimated yield 7.71% due June 09, 2030(9)(11)(12)(18)	October 23, 2013		18,000,000		12,095,994		5,760,000
Cedar Funding VI CLO, Ltd.
CLO subordinated notes, estimated yield 9.81% due October 20, 2028(9)(11)(12)(18)	May 15, 2017		7,700,000		7,371,828		3,850,000
CIFC Funding 2014-3, Ltd.
CLO subordinated notes, estimated yield 9.59% due October 22, 2031(9)(11)(12)(18)(26)	January 24, 2017		10,000,000		5,867,696		3,700,000
Galaxy XXVIII CLO, Ltd.
CLO subordinated notes, estimated yield 14.11% due July 15, 2031(9)(11)(12)(18)	July 25, 2017		2,000,000		968,070		656,622
Madison Park Funding XVIII, Ltd.
CLO subordinated notes, estimated yield 33.15% due October 21, 2030(9)(11)(12)(18)(26)	May 22, 2020		12,500,000		5,576,410		6,375,000
Madison Park Funding XIX, Ltd.
CLO subordinated notes, estimated yield 11.76% due January 22, 2028(9)(11)(12)(18)(26)	May 11, 2016		5,422,500		4,637,562		3,253,500
Nassau 2019-I Ltd.
CLO subordinated notes, estimated yield 11.99% due April 15, 2031(9)(11)(12)(14)(18)(26)	April 11, 2019		23,500,000		18,376,494		10,340,000

(continued on next page)

See Accompanying Notes.

6

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
September 30, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Octagon Investment Partners 37, Ltd.
CLO subordinated notes, estimated yield 47.94% due July 25, 2030(9)(11)(12)(18)(26)	May 12, 2020	$	4,250,000	$	1,926,508	$	2,677,500
Octagon Investment Partners 45, Ltd.
CLO subordinated notes, estimated yield 31.14% due October 15, 2032(9)(11)(12)(18)	May 13, 2020		3,750,000		2,195,541		2,664,451
Regatta XV Funding, Ltd.
CLO subordinated notes, estimated yield 0.00% due October 25, 2026(9)(10)(11)(12)(18)	October 19, 2016		3,000,000		—		97,500
Sound Point CLO XVI, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 25, 2030(9)(11)(12)(14)(18)	August 1, 2018		45,500,000		37,820,756		13,650,000
Telos CLO 2013-3, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 17, 2026(9)(11)(12)(18)(26)	January 25, 2013		14,447,790		6,237,524		1,445
Telos CLO 2013-4, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 17, 2030(9)(11)(12)(18)(26)	May 20, 2015		11,350,000		7,229,894		1,021,500
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		855,000
Venture XIV, Ltd.
CLO subordinated notes, estimated yield 0.00% due August 28, 2029(9)(11)(12)(18)(26)	January 12, 2017		2,500,000		1,339,425		400,000

(continued on next page)

See Accompanying Notes.

7

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
September 30, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% of Net Assets
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Venture XVII, Ltd.
CLO subordinated notes, estimated yield 0.00% due April 15, 2027(9)(11)(12)(18)(26)	January 27, 2017	$	6,200,000	$	3,726,182	$	496,000
Venture XX, Ltd.
CLO subordinated notes, estimated yield 0.00% due April 15, 2027(9)(11)(12)(18)(26)	July 27, 2018		3,000,000		1,216,869		150,000
Venture 39 CLO, Limited
CLO subordinated notes, estimated yield 35.59% due April 15, 2033(9)(11)(12)(18)	May 8, 2020		5,150,000		3,198,847		3,708,000
Vibrant CLO V, Ltd.
CLO subordinated notes, estimated yield 7.74% due January 20, 2029(9)(11)(12)(18)	April 27, 2017		13,475,000		10,793,950		2,964,500
West CLO 2014-1, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 18, 2026(9)(11)(12)(18)(26)	May 12, 2017		9,250,000		4,992,841		1,387,500
Westcott Park CLO, Ltd.
CLO subordinated notes, estimated yield 28.59% due July 20, 2028(9)(11)(12)(18)	September 16, 2020		19,000,000		8,852,293		8,749,500
Windriver 2012-1 CLO, Ltd.
CLO subordinated notes, estimated yield 0.00% due January 15, 2026(9)(11)(12)(18)	June 11, 2015		7,500,000		3,610,766		337,500
Zais CLO 6, Ltd.
CLO subordinated notes, estimated yield 0.00% due July 15, 2029(9)(11)(12)(18)	May 3, 2017		10,500,000		7,381,532		735,000
CLO Equity Side Letter Related Investments(11)(12)(13)					1,488,205		1,067,717
Total Structured Finance				$	198,240,590	$	87,028,209	45.6	%
Total Collateralized Loan Obligation – Equity Investments				$	198,240,590	$	87,028,209	45.6	%

(continued on next page)

See Accompanying Notes.

8

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
September 30, 2020

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT/ 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)(7)(17)(21)(24)(27)	June 26, 2019	12,187,140	$	9,002,159	$	—
Series B Senior Preferred Stock(3)(7)(17)(22)(24)(27)	June 26, 2019	5,488,818		4,535,443		—
Series B Super Senior Preferred Stock(3)(7)(17)(23)(24)(27)	June 26, 2019	3,026,333		2,614,260		—
Total IT Consulting			$	16,151,862	$	—	0.0	%
Total Preferred Equity			$	16,151,862	$	—	0.0	%
Total Investments in Securities(8)			$	460,646,876	$	295,267,639	154.7	%
Cash Equivalents
First American Government Obligations Fund(19)			$	2,220,960	$	2,220,960
Total Cash Equivalents			$	2,220,960	$	2,220,960	1.2	%
Total Investments in Securities and Cash Equivalents			$	462,867,836	$	297,488,599	155.9	%

____________

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

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

(3)      Portfolio includes $17,283,751 of principal and 20,702,291shares of debt and preferred stock investments respectively which contain a PIK provision as of September 30, 2020.

(4)      Notes bear interest at variable rates and are subject to an interest rate floor where disclosed. The rate disclosed is as of September 30, 2020.

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

(6)      Cost value reflects repayment of principal.

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

(8)      Aggregate gross unrealized appreciation for federal income tax purposes is $1,226,737 aggregate gross unrealized depreciation for federal income tax purposes is $198,275,869. Net unrealized depreciation is $197,049,132 based upon an estimated tax cost basis of $492,316,771 as of September 30, 2020.

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

(10)    This investment represents our percent ownership in certain equity securities transferred to OXSQ upon the redemption of this investment on October 25, 2018.

(11)    Indicates assets that the Company believes do not represent “qualifying assets” under Section 55(a) of the 1940 Act. Qualifying assets must represent at least 70% of the Company’s total assets at the time of acquisition of any additional non-qualifying assets. As of September 30, 2020, the Company held qualifying assets that represented 67.6% of its total assets.

(12)    Investment not domiciled in the United States.

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

(continued on next page)

See Accompanying Notes.

9

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
September 30, 2020

(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 September 30, 2020, this debt or preferred equity investment was on non-accrual status. The aggregate fair value of these investments was approximately $5.7 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 September 30, 2020.

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

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

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

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

(24)    Effective June 26, 2019, the Company entered into an Exchange Agreement with UniTek Global Services, Inc. (the “Exchange Agreement”), to receive 2,371,211 shares of Series B Super Senior Preferred Stock, 4,352,199 shares of Series B Senior Preferred Stock and 10,323,434 shares of Series B Preferred Stock (collectively, “Preferred Stock”) in exchange for all Series A shares of each respective Preferred Stock tranche that was held by OXSQ. This exchange resulted in the capitalization of approximately $6.3 million of cumulative PIK dividends which were added to the cost basis of each respective Preferred Stock tranche during the quarter ended June 30, 2019.

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

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

(continued on next page)

See Accompanying Notes.

10

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited) — (continued)
September 30, 2020

(27)    These investments are deemed to be an “affiliate,” as defined in the Investment Company Act of 1940 (the “1940 Act”). In general, under the 1940 Act, we would be presumed to “control” a portfolio company if we owned 25% or more 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 September 30, 2020 and June 30, 2020 along with transactions during the three months ended September 30, 2020 in these affiliated investments are as follows:

Name of Issuer	Title of Issue	Amount of Interest or Dividends Credited to Income(a)		Fair Value as of June 30, 2020		Gross Additions(b)		Gross Reductions(c)		Net Change in Unrealized Depreciation			Fair Value as of September 30, 2020
AFFILIATED INVESTMENTS:
Unitek Global Systems, Inc.	Common Stock	$	—	$	—	$	—	$	—	$	—		$	—
	Series B Preferred Stock		—		—		—		—		—			—
	Series B Senior Preferred Stock		—		—		—		—		—			—
	Series B Super Senior Preferred Stock		—		634,089		—		—		(634,089	)		—
Total Affiliated Investments			—		634,089		—		—		(634,089	)		—
Total Control Investments			—		—		—		—		—			—
TOTAL CONTROL AND AFFILIATED INVESTMENTS		$	—	$	634,089	$	—	$	—	$	(634,089	)	$	—

____________

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

(b)      Gross additions include increases in investments resulting from new portfolio investments, paid-in-kind interest or dividends, the amortization of discounts and fees. For the three months ended September 30, 2020, a total of approximately $0.8 million of paid-in-kind dividends were entitled to be received yet deemed uncollectible.

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

See Accompanying Notes.

11

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2019

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Senior Secured Notes
Aerospace and Defense
Novetta, LLC
first lien senior secured notes, 6.80% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(15)(21)	November 20, 2014	$	5,471,630	$	5,425,506	$	5,366,301
Total Aerospace and Defense				$	5,425,506	$	5,366,301	2.2	%
Business Services
Access CIG, LLC
first lien senior secured notes, 5.44% (LIBOR + 3.75%), (0.00% floor) due February 27, 2025(4)(5)(6)(14)(15)(21)	June 12, 2018	$	491,254	$	491,254	$	490,232
second lien senior secured notes, 9.44% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(14)(15)(21)	February 14, 2018		16,754,000		16,845,453		16,628,345
Convergint Technologies, LLC
second lien senior secured notes, 8.55% (LIBOR + 6.75%), (0.75% floor) due February 2, 2026(4)(5)(15)(21)	January 29, 2018		1,500,000		1,493,025		1,440,000
Imagine! Print Solutions
second lien senior secured notes, 10.55% (LIBOR + 8.75%), (1.00% floor) due June 21, 2023(4)(5)(15)(17)(21)	June 14, 2017		15,000,000		14,861,877		2,250,000
OMNIA Partners
first lien senior secured notes, 5.69% (LIBOR + 3.75%), (0.00% floor) due May 23, 2025(4)(5)(6)(14)(16)(21)	May 17, 2018		5,910,081		5,910,627		5,910,081
second lien senior secured notes, 9.44% (LIBOR + 7.50%), (0.00% floor) due May 22, 2026(4)(5)(14)(16)(21)	May 17, 2018		14,000,000		13,940,539		13,720,000
Premiere Global Services, Inc.
first lien senior secured notes, 8.40% (LIBOR + 6.50%), (1.00% floor) due June 8, 2023(4)(5)(6)(16)	October 1, 2019		14,306,068		13,664,567		8,490,651
second lien senior secured notes, 0.50% Cash, 10.98% PIK (LIBOR + 9.00%) (1.00% floor) due June 6, 2024(3)(4)(5)(16)(17)	October 1, 2019		10,232,132		9,817,795		3,581,246
Verifone Systems, Inc.
first lien senior secured notes, 5.90% (LIBOR + 4.00%), (0.00% floor) due August 20, 2025(4)(5)(6)(16)(21)	August 9, 2018		6,930,000		6,900,223		6,826,050
Total Business Services				$	83,925,360	$	59,336,605	23.9	%

(continued on next page)

See Accompanying Notes.

12

OXFORD SQUARE CAPITAL CORP.

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

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Senior Secured Notes – (continued)
Diversified Insurance
AmeriLife Group LLC
second lien senior secured notes, 10.80% (LIBOR + 9.00%), (0.00% floor) due June 11, 2027(4)(5)(6)(15)	March 18, 2020	$	10,000,000	$	9,900,692	$	9,925,000
Total Diversified Insurance				$	9,900,692	$	9,925,000	4.0	%
Education
Edmentum, Inc. (f/k/a Plato, Inc.)
first lien senior secured notes, 6.43% (LIBOR + 4.50%), (1.00% floor) Cash, 4.00% PIK due June 9, 2021(3)(4)(5)(6)(16)	April 25, 2013	$	6,080,350	$	6,054,371	$	5,593,922
Total Education				$	6,054,371	$	5,593,922	2.3	%
Financial Intermediaries
First American Payment Systems
second lien senior secured notes, 12.56% (LIBOR + 10.50%), (1.00% floor) due July 5, 2024(4)(5)(16)(21)	January 3, 2017	$	1,500,000	$	1,468,914	$	1,470,000
Shift4 Payments, LLC (f/k/a Lighthouse Network, LLC)
first lien senior secured notes, 6.43% (LIBOR + 4.50%), (1.00% floor) due November 30, 2024(4)(5)(6)(14)(16)(21)	November 20, 2017		3,430,000		3,417,872		3,438,575
second lien senior secured notes, 10.43% (LIBOR + 8.50%), (1.00% floor) due November 30, 2025(4)(5)(14)(16)(21)	November 20, 2017		16,490,000		16,353,183		16,242,650
Total Financial Intermediaries				$	21,239,969	$	21,151,225	8.5	%
Healthcare
Keystone Acquisition Corp.
first lien senior secured notes, 7.19% (LIBOR + 5.25%), (1.00% floor) due May 1, 2024(4)(5)(6)(14)(16)(21)	May 10, 2017	$	7,457,869	$	7,430,191	$	7,271,422
second lien senior secured notes, 11.19% (LIBOR + 9.25%), (1.00% floor) due May 1, 2025(4)(5)(14)(16)(21)	May 10, 2017		13,000,000		12,868,879		12,610,000

(continued on next page)

See Accompanying Notes.

13

OXFORD SQUARE CAPITAL CORP.

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

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Senior Secured Notes – (continued)
Healthcare – (continued)
Viant Medical Holdings, Inc.
first lien senior secured notes, 5.69% (LIBOR + 3.75%), (0.00% floor) due July 2, 2025 (4)(5)(6)(14)(16)(21)	June 26, 2018	$	9,875,000	$	9,873,395	$	9,677,500
second lien senior secured notes, 9.69% (LIBOR + 7.75%), (0.00% floor) due July 2, 2026(4)(5)(14)(16)(21)	June 26, 2018		5,000,000		4,955,602		4,725,000
Healthport Technologies, LLC
first lien senior secured notes, 6.05% (LIBOR + 4.25%), (1.00% floor) due December 1, 2021(4)(5)(6)(14)(15)	April 12, 2019		16,597,888		14,964,163		15,618,613
HealthChannels, Inc. (f/k/a ScribeAmerica, LLC)
first lien senior secured notes, 6.24% (LIBOR + 4.50%), (0.00% floor) due April 3, 2025(4)(5)(6)(15)	October 31, 2018		9,861,904		9,800,587		9,664,666
Total Healthcare				$	59,892,817	$	59,567,201	24.0	%
Logistics
Capstone Logistics Acquisition, Inc.
first lien senior secured notes, 6.30% (LIBOR + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(14)(15)(21)	October 3, 2014	$	12,917,066	$	12,902,501	$	12,650,716
Total Logistics				$	12,902,501	$	12,650,716	5.1	%
Software
ECI Software Solutions, Inc.
first lien senior secured notes, 6.19% (LIBOR + 4.25%), (1.00% floor) due September 27, 2024(4)(5)(6)(14)(16)(21)	June 28, 2018	$	4,912,060	$	4,923,674	$	4,903,464
second lien senior secured notes, 9.94% (LIBOR + 8.00%), (1.00% floor) due September 29, 2025(4)(5)(14)(16)(21)	September 19, 2017		15,000,000		14,916,392		14,762,550
Quest Software, Inc.
first lien senior secured notes, 6.18% (LIBOR + 4.25%), (0.00% floor) due May 16, 2025(4)(5)(6)(14)(16)(21)	May 17, 2018		5,940,000		5,914,552		5,917,725
second lien senior secured notes, 10.18% (LIBOR + 8.25%), (0.00% floor) due May 18, 2026(4)(5)(14)(16)(21)	May 17, 2018		15,000,000		14,865,400		14,647,500
Total Software				$	40,620,018	$	40,231,239	16.2	%

(continued on next page)

See Accompanying Notes.

14

OXFORD SQUARE CAPITAL CORP.

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

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Senior Secured Notes – (continued)
Telecommunications Services
Global Tel Link Corp.
second lien senior secured notes, 10.05% (LIBOR + 8.25%), (0.00% floor) due November 29, 2026(4)(5)(14)(15)	November 20, 2018	$	17,000,000	$	16,722,360	$	14,486,380
Total Telecommunication Services				$	16,722,360	$	14,486,380	5.8	%
Utilities
CLEAResult Consulting, Inc.
first lien senior secured notes, 5.19% (LIBOR + 3.50%), (0.00% floor) due August 8, 2025(4)(5)(6)(15)(21)	August 2, 2018	$	4,937,500	$	4,916,396	$	4,875,781
second lien senior secured notes, 8.99% (LIBOR + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(15)(21)	August 3, 2018		7,650,000		7,673,313		7,363,125
Total Utilities				$	12,589,709	$	12,238,906	4.9	%
Total Senior Secured Notes				$	269,273,303	$	240,547,495	97.0	%
Collateralized Loan Obligation – Debt Investments
Structured Finance
Galaxy XXVIII CLO, Ltd.
CLO secured class F notes, 10.48% (LIBOR + 8.48%), due July 15, 2031(4)(5)(11)(12)(16)	June 29, 2018	$	1,000,000	$	933,437	$	840,600
Total Structured Finance				$	933,437	$	840,600	0.3	%
Total Collateralized Loan Obligation – Debt Investments				$	933,437	$	840,600	0.3	%
Collateralized Loan Obligation – Equity Investments
Structured Finance
AMMC CLO XI, Ltd.
CLO subordinated notes, estimated yield 12.29% due April 30, 2031(9)(11)(12)(18)(26)	March 12, 2015	$	6,000,000	$	3,796,477	$	2,760,000
AMMC CLO XII, Ltd.
CLO subordinated notes, estimated yield 9.24% due November 10, 2030(9)(11)(12)(18)(26)	March 13, 2013		12,921,429		7,175,569		4,393,286

(continued on next page)

See Accompanying Notes.

15

OXFORD SQUARE CAPITAL CORP.

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

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Atlas Senior Loan Fund XI, Ltd.
CLO subordinated notes, estimated yield 17.73% due July 26, 2031(9)(11)(12)(18)(26)	April 5, 2019	$	5,725,000	$	4,319,023	$	3,449,313
Babson CLO Ltd. 2015-I
CLO subordinated notes, estimated yield 4.93% due January 20, 2031(9)(11)(12)(18)	July 26, 2018		2,840,000		1,766,500		1,050,800
BlueMountain CLO 2014-2 Ltd.
CLO subordinated notes, estimated yield 23.58% due October 20, 2030(9)(11)(12)(18)	April 3, 2019		6,374,000		2,612,626		2,294,640
Carlyle Global Market Strategies CLO 2013-2, Ltd.
CLO subordinated notes, estimated yield 13.61% due January 18, 2029(9)(11)(12)(18)(26)	March 19, 2013		6,250,000		3,748,818		2,728,621
Cedar Funding II CLO, Ltd.
CLO subordinated notes, estimated yield 11.39% due June 9, 2030(9)(11)(12)(18)	October 23, 2013		18,000,000		12,940,261		9,360,000
Cedar Funding VI CLO, Ltd.
CLO subordinated notes, estimated yield 14.47% due October 20, 2028(9)(11)(12)(18)	May 15, 2017		7,700,000		7,363,155		5,698,000
CIFC Funding 2014-3, Ltd.
CLO subordinated notes, estimated yield 14.53% due October 22, 2031(9)(11)(12)(18)(26)	January 24, 2017		10,000,000		6,182,026		4,400,000
Galaxy XXVIII CLO, Ltd.
CLO subordinated notes, estimated yield 11.28% due July 15, 2031(9)(11)(12)(18)	July 25, 2017		2,000,000		962,017		648,665
Hull Street CLO Ltd.
CLO subordinated notes, estimated yield -21.46% due October 18, 2026(9)(11)(12)(18)(26)	October 17, 2014		5,000,000		1,049,476		100,000
Ivy Hill Middle Market Credit Fund VII, Ltd.
CLO subordinated notes, estimated yield 7.34% due October 20, 2029(9)(11)(12)(18)(26)	October 3, 2013		10,800,000		8,659,115		5,936,641

(continued on next page)

See Accompanying Notes.

16

OXFORD SQUARE CAPITAL CORP.

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

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Madison Park Funding XIX, Ltd.
CLO subordinated notes, estimated yield 9.67% due January 22, 2028(9)(11)(12)(18)(26)	May 11, 2016	$	5,422,500	$	4,999,739	$	3,904,200
Nassau 2019-I Ltd.
CLO subordinated notes, estimated yield 24.71% due April 15, 2031(9)(11)(12)(14)(18)(26)	April 11, 2019		23,500,000		19,265,413		16,450,000
Octagon Investment Partners 38, Ltd.
CLO subordinated notes, estimated yield 14.27% due July 20, 2030(9)(11)(12)(18)(26)	July 12, 2018		5,000,000		4,174,948		3,500,000
Regatta XV Funding, Ltd.
CLO subordinated notes, estimated yield 0.00% due October 25, 2026(9)(10)(11)(12)(18)	October 19, 2016		3,000,000		—		75,000
Sound Point CLO XVI, Ltd.
CLO subordinated notes, estimated yield 8.86% due July 25, 2030(9)(11)(12)(14)(18)	August 1, 2018		45,500,000		41,750,653		23,660,000
Telos CLO 2013-3, Ltd.
CLO subordinated notes, estimated yield -4.23% due July 17, 2026(9)(11)(12)(18)(26)	January 25, 2013		14,447,790		6,575,881		2,022,691
Telos CLO 2013-4, Ltd.
CLO subordinated notes, estimated yield 17.00% due January 17, 2030(9)(11)(12)(18)(26)	May 20, 2015		11,350,000		7,018,355		3,110,420
Telos CLO 2014-5, Ltd.
CLO subordinated notes, estimated yield 17.92% due April 17, 2028(9)(11)(12)(18)	April 11, 2014		28,500,000		17,600,832		6,575,476

(continued on next page)

See Accompanying Notes.

17

OXFORD SQUARE CAPITAL CORP.

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

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT		COST		FAIR VALUE(2)		% OF NET ASSETS
Collateralized Loan Obligation – Equity Investments – (continued)
Structured Finance – (continued)
Venture XIV, Ltd.
CLO subordinated notes, estimated yield 4.94% due August 28, 2029(9)(11)(12)(18)(26)	January 12, 2017	$	2,500,000	$	1,452,738	$	450,000
Venture XVII, Ltd.
CLO subordinated notes, estimated yield 11.53% due April 15, 2027(9)(11)(12)(18)(26)	January 27, 2017		6,200,000		3,614,197		1,514,369
Venture XX, Ltd.
CLO subordinated notes, estimated yield -53.93% due April 15, 2027(9)(11)(12)(18)(26)	July 27, 2018		3,000,000		1,347,763		930,000
Vibrant CLO V, Ltd.
CLO subordinated notes, estimated yield 3.90% due January 20, 2029(9)(11)(12)(18)	April 27, 2017		13,475,000		11,197,902		6,198,500
West CLO 2014-1, Ltd.
CLO subordinated notes, estimated yield -0.01% due July 18, 2026(9)(11)(12)(18)(26)	May 12, 2017		9,250,000		5,435,293		3,330,000
Windriver 2012-1 CLO, Ltd.
CLO subordinated notes, estimated yield 6.73% due January 15, 2026(9)(11)(12)(18)	June 11, 2015		7,500,000		3,571,607		959,980
Zais CLO 6, Ltd.
CLO subordinated notes, estimated yield 13.15% due July 15, 2029(9)(11)(12)(18)	May 3, 2017		10,500,000		7,663,559		3,780,001
CLO Equity Side Letter Related Investments(11)(12)(13)					1,378,224		1,316,505
Total Structured Finance				$	197,622,167	$	120,597,108	48.6	%
Total Collateralized Loan Obligation – Equity Investments				$	197,622,167	$	120,597,108	48.6	%

(continued on next page)

See Accompanying Notes.

18

OXFORD SQUARE CAPITAL CORP.

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

COMPANY/INVESTMENT(1)(20)	ACQUISITION DATE	PRINCIPAL AMOUNT/ SHARES	COST		FAIR VALUE(2)		% OF NET ASSETS
Common Stock
IT Consulting
Unitek Global Services, Inc.
common equity(7)	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)(22)(25)	June 26, 2019	11,032,025	$	9,002,159	$	—
Series B Senior Preferred Stock(3)(23)(25)	June 26, 2019	4,775,477		4,535,443		620,812
Series B Super Senior Preferred Stock(3)(24)(25)	June 26, 2019	2,614,260		2,614,260		2,195,978
Total IT Consulting			$	16,151,862	$	2,816,790	1.1	%
Total Preferred Equity			$	16,151,862	$	2,816,790	1.1	%
Total Investments in Securities(8)			$	484,665,729	$	364,801,993	147.0	%
Cash Equivalents
First American Government Obligations Fund(19)			$	14,410,486	$	14,410,486
Total Cash Equivalents			$	14,410,486	$	14,410,486	5.8	%
Total Investments in Securities and Cash Equivalents			$	499,076,215	$	379,212,479	152.8	%

____________

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

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

(3)      Portfolio includes $16,312,482 of principal and 18,421,762shares of preferred stock investments which contain a PIK provision as of December 31, 2019.

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

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

(6)      Cost value reflects repayment of principal.

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

(8)      Aggregate gross unrealized appreciation for federal income tax purposes is $754,844; aggregate gross unrealized depreciation for federal income tax purposes is $135,892,337. Net unrealized depreciation is $135,137,493 based upon a tax cost basis of $499,939,486.

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

(continued on next page)

See Accompanying Notes.

19

OXFORD SQUARE CAPITAL CORP.

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

(10)    This investment represents our percent ownership in certain equity securities transferred to OXSQ upon the redemption of this investment on October 25, 2018.

(11)    Indicates assets that the Company believes do not represent “qualifying assets” under Section 55(a) of the 1940 Act. Qualifying assets must represent at least 70% of the Company’s total assets at the time of acquisition of any additional non-qualifying assets. As of December 31, 2019, the Company held qualifying assets that represented 68.4% of its total assets.

(12)    Investment not domiciled in the United States.

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

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

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

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

(17)    As of December 31, 2019, this debt investment was on non-accrual status. The aggregate fair value of these investments was approximately $5.8 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 quarter’s 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 December 31, 2019.

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

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

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

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

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

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

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

(continued on next page)

See Accompanying Notes.

20

OXFORD SQUARE CAPITAL CORP.

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

(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 more than 25% of its voting securities and would be an “affiliate” of a portfolio company if we owned between 5% and 25% of its voting securities. We do not “control” any of our portfolio companies. Fair value as of December 31, 2019 and December 31, 2018 along with transactions during the year ended December 31, 2019 in these affiliated investments are as follows:

Name of Issuer	Title of Issue	Amount of Interest or Dividends Credited to Income(a)		Fair Value as of December 31, 2018		Gross Additions(b)		Gross Reductions(c)		Net Change in Unrealized Depreciation			Fair Value as of December 31, 2019
AFFILIATED INVESTMENTS:
Unitek Global Systems, Inc.	Common Stock	$	—	$	149,303	$	—	$	—	$	(149,303	)	$	—
	Series B Preferred Stock		5,325,159		8,217,887		5,325,159		—		(13,543,046	)		—
	Series B Senior Preferred Stock		1,773,022		3,963,240		1,773,022		—		(5,115,450	)		620,812
	Series B Super Senior Preferred Stock		612,624		2,161,767		612,624		—		(578,413	)		2,195,978
Total Affiliated Investments			7,710,805		14,492,197		7,710,805		—		(19,386,212	)		2,816,790
Total Control Investments			—		—		—		—		—			—
TOTAL CONTROL AND AFFILIATED INVESTMENTS		$	7,710,805	$	14,492,197	$	7,710,805	$	—	$	(19,386,212	)	$	2,816,790

____________

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

(b)      Gross additions include increases in investments resulting from new portfolio investments, paid-in-kind interest or dividends, the amortization of discounts and fees.

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

See Accompanying Notes.

21

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)

	Three Months Ended September 30, 2020			Three Months Ended September 30, 2019			Nine Months Ended September 30, 2020			Nine Months Ended September 30, 2019
INVESTMENT INCOME
From non-affiliated/non-control investments:
Interest income – debt investments	$	4,492,647		$	7,114,678		$	15,020,284		$	21,695,535
Income from securitization vehicles and investments		3,568,516			6,131,870			11,545,539			19,628,276
Other income		163,976			162,796			738,625			887,662
Total investment income from non-affiliated/non-control investments		8,225,139			13,409,344			27,304,448			42,211,473
From affiliated investments:
Dividend income – non-cash		—			673,706			—			7,009,592
Total investment income from affiliated investments		—			673,706			—			7,009,592
Total investment income		8,225,139			14,083,050			27,304,448			49,221,065
EXPENSES
Interest expense		1,908,206			2,522,451			5,988,116			7,478,451
Base management fees		1,123,450			1,729,152			3,365,332			5,223,813
Professional fees		321,059			349,564			1,228,794			1,071,633
Compensation expense		185,659			195,034			554,288			622,937
General and administrative		416,486			349,662			1,195,166			1,232,254
Total expenses before incentive fees		3,954,860			5,145,863			12,331,696			15,629,088
Net investment income incentive fees		—			—			—			3,511,493
Total expenses		3,954,860			5,145,863			12,331,696			19,140,581
Net investment income		4,270,279			8,937,187			14,972,752			30,080,484
Net change in unrealized appreciation/(depreciation) on investments:
Non-affiliated/non-control investments		21,580,813			(34,478,523	)		(42,698,711	)		(42,201,632	)
Affiliated investments		(634,089	)		(7,131,376	)		(2,816,790	)		(14,009,646	)
Total net change in unrealized appreciation/(depreciation) on investments		20,946,724			(41,609,899	)		(45,515,501	)		(56,211,278	)
Net realized gains/(losses):
Non-affiliated/non-control investments		(4,368,235	)		(432,246	)		(7,405,716	)		(1,709,816	)
Extinguishment of debt		—			(5,506	)		(5,211	)		(56,592	)
Total net realized losses		(4,368,235	)		(437,752	)		(7,410,927	)		(1,766,408	)
Net increase/(decrease) in net assets resulting from operations	$	20,848,768		$	(33,110,464	)	$	(37,953,676	)	$	(27,897,202	)
Net increase in net assets resulting from net investment income per common share (Basic and Diluted)	$	0.09		$	0.19		$	0.30		$	0.63
Net increase/(decrease) in net assets resulting from operations per common share (Basic and Diluted)	$	0.42		$	(0.69	)	$	(0.77	)	$	(0.59	)
Weighted average shares of common stock outstanding (Basic and Diluted)		49,589,607			47,740,799			49,439,478			47,681,235
Distributions per share	$	0.105		$	0.201		$	0.507		$	0.602

See Accompanying Notes.

22

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)

	Three Months Ended September 30, 2020			Three Months Ended September 30, 2019			Nine Months Ended September 30, 2020			Nine Months Ended September 30, 2019
Increase/(decrease) in net assets from operations:
Net investment income	$	4,270,279		$	8,937,187		$	14,972,752		$	30,080,484
Net change in unrealized appreciation/(depreciation) on investments		20,946,724			(41,609,899	)		(45,515,501	)		(56,211,278	)
Net realized losses		(4,368,235	)		(437,752	)		(7,410,927	)		(1,766,408	)
Net increase/(decrease) in net assets resulting from operations		20,848,768			(33,110,464	)		(37,953,676)			(27,897,202	)
Distributions to stockholders:
Distributions from net investment income		(4,321,734	)		(8,092,973	)		(20,798,823	)		(24,334,803	)
Tax return of capital distributions		(885,174	)		(1,503,511	)		(4,260,000	)		(4,369,716	)
Total distributions to stockholders		(5,206,908	)		(9,596,484	)		(25,058,823	)		(28,704,519	)
Capital share transactions:
Issuance of common stock (net of underwriting fees and offering costs of $0, $74,064, $51,779, and $74,064, respectively)		—			689,445			5,821,240			689,445
Reinvestment of distributions		—			147,827			161,186			147,827
Net increase in net assets from capital share transactions		—			837,272			5,982,426			837,272
Total increase/(decrease) in net assets		15,641,860			(41,869,676	)		(57,030,073	)		(55,764,449	)
Net assets at beginning of period		175,326,609			300,829,474			247,998,542			314,724,247
Net assets at end of period	$	190,968,469		$	258,959,798		$	190,968,469		$	258,959,798
Capital share activity:
Shares issued		—			115,887			1,098,277			115,887
Shares issued from reinvestment of distributions		—			23,225			42,343			23,225
Net increase in capital share activity		—			139,112			1,140,620			139,112

See Accompanying Notes.

23

OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED STATEMENTS OF CASH FLOWS
(unaudited)

	Nine Months Ended September 30, 2020			Nine Months Ended September 30, 2019
CASH FLOWS FROM OPERATING ACTIVITIES
Net (decrease)/increase in net assets resulting from operations	$	(37,953,676	)	$	(27,897,202	)
Adjustments to reconcile net (decrease)/increase in net assets resulting from operations to net cash provided by operating activities:
Accretion of discounts on investments		(985,420	)		(595,386	)
Amortization of deferred debt issuance costs		428,825			475,517
Non-cash interest and dividend income due to PIK		(187,080	)		(7,219,430	)
Purchases of investments		(46,937,026	)		(50,821,290	)
Repayments of principal		29,270,739			24,195,650
Proceeds from the sale of investments		28,857,740			15,919,269
Net realized losses on investments		7,405,716			1,709,816
Reductions to CLO equity cost value		6,594,188			7,213,832
Net change in unrealized (appreciation)/depreciation on investments		45,515,501			56,211,278
Decrease/(increase) in interest and distributions receivable		1,940,879			(607,360	)
Increase in other assets		(166,842	)		(240,682	)
(Decrease)/increase in accrued interest payable		(150,974	)		177,745
Decrease in base management fee and net investment income incentive fee payable		(357,204	)		(1,498,304	)
Decrease in accrued expenses		(348,346	)		(72,650	)
Net cash provided by operating activities		32,927,020			16,950,803
CASH FLOWS FROM FINANCING ACTIVITIES
Distributions paid (net of stock issued under distribution reinvestment plan of $161,186 and $147,827, respectively)		(24,897,637	)		(28,556,692	)
Repayment of notes payable – Credit Facility		(28,090,601	)		(37,832,943	)
Proceeds from the issuance of common stock		5,873,019			763,508
Underwriting fees and offering costs for the issuance of common stock		(51,779	)		(74,064	)
Proceeds from the issuance of notes payable – 6.25% Unsecured Notes		—			44,790,750
Debt issuance costs		—			(1,648,887	)
Net cash used in financing activities		(47,166,998	)		(22,558,328	)
Net decrease in cash equivalents and restricted cash		(14,239,978	)		(5,607,525	)
Cash equivalents and restricted cash, beginning of period		16,460,938			17,080,864
Cash equivalents and restricted cash, end of period	$	2,220,960		$	11,473,339
NON-CASH ACTIVITIES
Value of shares issued in connection with distribution reinvestment plan	$	161,186		$	147,827
SUPPLEMENTAL DISCLOSURES
Cash paid for interest	$	5,715,475		$	6,881,781

See Accompanying Notes.

24

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020
(unaudited)

NOTE 1. UNAUDITED INTERIM FINANCIAL STATEMENTS

Interim consolidated financial statements of Oxford Square Capital Corp. (“OXSQ” and, together with its subsidiary, the “Company”), are prepared in accordance with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Articles6, 10 and 12 of Regulation S-X. Accordingly, certain disclosures accompanying annual financial statements prepared in accordance with GAAP are omitted. In the opinion of management, the unaudited financial results included herein contain all adjustments, consisting solely of normal accruals, considered necessary for the fair statement of the results for the interim period included herein. The current period’s consolidated results of operations are not necessarily indicative of results that may be achieved for the year. The interim consolidated financial statements and notes thereto should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December31, 2019, as filed with the Securities and Exchange Commission (“SEC”).

NOTE 2. ORGANIZATION

OXSQ was incorporated under the General Corporation Laws of the State of Maryland on July21, 2003, and is a non-diversified, closed-end investment company. The Company has elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). In addition, the Company has elected to be treated for tax purposes as a regulated investment company (“RIC”), under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Company’s investment objective is to maximize its total return, by investing primarily in corporate debt securities and collateralized loan obligations (“CLO”), which are structured finance investments that own corporate debt securities.

The Company’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. Oxford Square Management is owned by Oxford Funds, LLC (“Oxford Funds”), its managing member and a related party, Charles M. Royce, a member of the Company’s Board of Directors (the “Board”) who holds a minority, non-controlling interest in Oxford Square Management. Under the investment advisory agreement with Oxford Square Management (the “Investment Advisory Agreement”), the Company has agreed to pay Oxford Square Management an annual base management fee based on its gross assets as well as an incentive fee based on its performance. For further details please refer to “Note 7. Related Party Transactions.”

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

NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

BASIS OF PRESENTATION

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

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

25

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

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

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

USE OF ESTIMATES

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

CONSOLIDATION

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

CASH, CASH EQUIVALENTS AND RESTRICTED CASH

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

Restricted cash represents the cash held by the trustee of OXSQ Funding. The amount is held by the trustee for payment of interest expense and operating expenses of the entity, principal repayments on borrowings, or new investments, based upon the terms of the respective indenture, and are not available for general corporate purposes. As of September30, 2020, there was no restricted cash due to the full repayment of the Credit Facility on March24, 2020. As of December31, 2019, there was approximately $2.1million of restricted cash.

INVESTMENT VALUATION

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

ASC 820-10 clarified the definition of fair value and requires companies to expand their disclosure about the use of fair value to measure assets and liabilities in interim and annual periods subsequent to initial recognition. ASC 820-10 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820-10 also establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. These tiers include: Level1, defined as observable inputs such as quoted prices in active markets; Level2, which includes inputs such as quoted prices

26

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

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

for similar securities in active markets and quoted prices for identical securities in markets that are not active; and Level3, defined as unobservable inputs for which little or no market data exists, therefore requiring an entity to develop its own assumptions. The Company considers the attributes of current market conditions on an on-going basis and has determined that due to the general illiquidity of the market for its investment portfolio, whereby little or no market data exists, all of OXSQ’s investments are based upon “Level 3” inputs as of September30, 2020.

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

Syndicated Loans

In accordance with ASC 820-10, the Company’s valuation procedures specifically provide for the review of indicative quotes supplied by the large agent banks that make a market for each security. However, the marketplace from which the Company obtains indicative bid quotes for purposes of determining the fair value of its syndicated loan investments has shown attributes of illiquidity as described by ASC 820-10. During such periods of illiquidity, when the Company believes that the non-binding indicative bids received from agent banks for certain syndicated loan investments that it owns may not be determinative of their fair value, or when no market indicative quote is available, the Company may engage third-party valuation firms to provide assistance in valuing certain syndicated investments that OXSQ owns. In addition, Oxford Square Management analyzes each syndicated loan by reviewing the portfolio company’s financial statements, covenant compliance and recent trading activity in the security, if known, and other business developments related to the portfolio company. All available information, including non-binding indicative bids which may not be determinative of fair value, is presented to the Valuation Committee to consider in its determination of fair value. In some instances, there may be limited trading activity in a security even though the market for the security is considered not active. In such cases the Valuation Committee will consider the number of trades, the size and timing of each trade, and other circumstances around such trades, to the extent such information is available, in its determination of fair value. The Valuation Committee will evaluate the impact of such additional information, and factor it into its consideration of the fair value that is indicated by the analysis provided by third-party valuation firms, if any. All information is presented to the Board for its determination of fair value of these investments.

Collateralized Loan Obligations — Debt and Equity

The Company holds a number of debt and equity positions in CLO investment vehicles and CLO warehouse investments. These investments are special purpose financing vehicles. In valuing such investments, the Company considers the indicative prices provided by a recognized industry pricing service as a primary source, and the implied yield of such prices, supplemented by actual trades executed in the market at or around period-end, as well as the indicative prices provided by the broker who arranges transactions in such investment vehicles. The Company also considers those instances in which the record date for an equity distribution payment falls on or before the last day of the period, and the likelihood that a prospective purchaser would require a downward adjustment to the indicative price representing substantially all of the pending distribution. Additional factors include any available information on other relevant transactions including firm bids and offers in the market and information resulting from bids-wanted-in-competition. In addition, the Company considers the operating metrics of the specific investment vehicle, including compliance with collateralization tests, defaulted and restructured securities, and payment defaults, if any. In periods of illiquidity and volatility, the Company may rely more heavily on other metrics, including but not limited to, the collateral manager, time left in the reinvestment period, expected cash flows and

27

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

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

overcollateralization ratios, instead of the Company’s generated valuation yields. Oxford Square Management or the Valuation Committee may request an additional analysis by a third-party firm to assist in the valuation process of CLO investment vehicles. All information is presented to the Board for its determination of fair value of these investments.

Bilateral Investments (Including Equity)

Bilateral investments for which market quotations are readily available are valued by an independent pricing agent or market maker. If such market quotations are not readily available, under the valuation procedures approved by the Board, upon the recommendation of the Valuation Committee, a third-party valuation firm will prepare valuations for each of OXSQ’s bilateral investments that, when combined with all other investments in the same portfolio company, (i) have a value as of the previous quarter of greater than or equal to 2.5% of its total assets as of the previous quarter, and (ii) have a value as of the current quarter of greater than or equal to 2.5% of its total assets as of the current quarter, after taking into account any repayment of principal during the current quarter. In addition, in those instances where a third-party valuation is prepared for a portfolio investment which meets the parameters noted in (i) and (ii) above, the frequency of those third-party valuations is based upon the grade assigned to each such security under its credit grading system as follows: Grade1, at least annually; Grade2, at least semi-annually; Grades3,4, and5, at least quarterly. Bilateral investments which do not meet the parameters in (i) and (ii) above are not required to have a third-party valuation and, in those instances, a valuation analysis will be prepared by Oxford Square Management. All information is presented to the Board for its determination of fair value of these investments.

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 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 September30, 2020 and December31, 2019, the Company had two debt investments that were on non-accrual status.

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

Payment-In-Kind

The Company has debt and preferred equity investments in its portfolio which contain a contractual PIK provision. Certain PIK investments offer issuers the option at each payment date of making payments in cash or additional securities. PIK interest and preferred equity dividends are computed at the contractual rate and are accrued into income and recorded as interest and dividend income, respectively. The PIK amounts are added to the principal balance on the capitalization date. Upon capitalization, the PIK component is subject to the fair value estimates associated with their related investments. At the point the Company believes PIK is not fully expected

28

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

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

to be realized, the PIK investment will be placed on non-accrual status. When a PIK investment is placed on non-accrual status, the accrued, uncapitalized interest or dividends are 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 PIK will be realized. For the three and nine months ended September30, 2020, no PIK preferred equity dividends were recognized as dividend income as they were not expected to be fully realized.

Income from Securitization Vehicles and Investments

Income from investments in the equity class securities of CLO vehicles (typically income notes or subordinated notes) is recorded using the effective interest method in accordance with the provisions of ASC 325-40, based upon estimated cash flows, their expected timing and expected redemption, including those CLO equity investments that have not made their inaugural distribution for the relevant period end. The Company monitors the expected residual payments, and effective yield is determined and updated periodically, as needed. Accordingly, investment income recognized on CLO equity securities in the consolidated statement of operations differs from both the tax-basis investment income and from the cash distributions actually received by the Company during the period.

Other Income

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

DEFERRED DEBT ISSUANCE COSTS

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

EQUITY OFFERING COSTS

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

SHARE REPURCHASES

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

29

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

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

SECURITIES TRANSACTIONS

Securities transactions are recorded on the trade date. Realized gains and losses on investments sold are recorded on the basis of specific identification. Distributions received on CLO equity investments which were optionally redeemed are first applied to the remaining cost basis until it is reduced to zero, after which distributions are recorded as realized gains. An optional redemption feature of a CLO allows a majority of the holders of the equity securities issued by the CLO issuer, after the end of a specified non-call period, to cause the redemption of the secured notes issued by the CLO with proceeds of either the liquidation of the CLO’s assets or through a refinancing with new debt. The optional redemption is effectively a voluntary prepayment of the secured debt issued by the CLO prior to the stated maturity of such debt.

SECURITIES SOLD UNDER AGREEMENT TO REPURCHASE

The Company has entered into an agreement whereby it may sell securities to be repurchased at an agreed-upon price and date. Under this agreement, the Company will account for these transactions as collateralized financing transactions which are recorded at the contracted repurchase amount plus interest. The Company’s securities sold under the agreement to repurchase are carried at cost. As of September30, 2020, there was no outstanding principal, or securities sold under the repurchase facility. Refer to “Note 6. Borrowings” for further details.

U.S. FEDERAL INCOME TAXES

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

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

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 September30, 2020, management has analyzed the Company’s tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions expected to be taken in the Company’s 2020 tax returns. The Company identifies its major tax jurisdictions as U.S Federal and Connecticut State; however, the Company is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12months. For tax purposes, the cost basis of the portfolio investments as of September30, 2020 and December31, 2019, was approximately $492.3million and $499.9million, respectively.

RECENT ACCOUNTING PRONOUNCEMENTS

In June 2016, the FASB issued ASU 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments (“ASU 2016-13”), which amends the financial instruments impairment guidance so that an entity is required to measure expected credit losses for financial assets based on historical experience, current conditions and reasonable and supportable forecasts. As such, an entity will use forward-looking information to estimate credit losses. ASU 2016-13 also amends the guidance in FASB ASC Subtopic No. 325-40,

30

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

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

Investments-Other, Beneficial Interests in Securitized Financial Assets, related to the subsequent measurement of accretable yield recognized as interest income over the life of a beneficial interest in securitized financial assets under the effective yield method. ASU 2016-13 is effective for financial statements issued for fiscal years beginning after December15, 2019, including interim periods within those fiscal years. Management has adopted the amendments in ASU 2016-13 as of January1, 2020. The impact of the adoption would have resulted in an increase in total investment income of approximately $0.8million and $1.8million for the three and nine months ended September30, 2019, respectively.

NOTE 4. FAIR VALUE

The Company’s assets measured at fair value by investment type on a recurring basis as of September30, 2020 were as follows:

	Fair Value Measurements at Reporting Date Using
Assets ($ in millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Senior Secured Notes	$	—	$	—	$	198.5	$	198.5
CLO Debt		—		—		9.7		9.7
CLO Equity		—		—		87.0		87.0
Equity and Other Investments		—		—		—		—
Total Investments at fair value(1)		—		—		295.3		295.3
Cash equivalents		2.2		—		—		2.2
Total assets at fair value	$	2.2	$	—	$	295.3	$	297.5

____________

(1)      Totals may not sum due to rounding.

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

	Fair Value Measurements at Reporting Date Using
Assets ($ in millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Senior Secured Notes	$	—	$	—	$	240.5	$	240.5
CLO Debt		—		—		0.8		0.8
CLO Equity		—		—		120.6		120.6
Equity and Other Investments		—		—		2.8		2.8
Total Investments at fair value(1)		—		—		364.8		364.8
Cash equivalents		14.4		—		—		14.4
Total assets at fair value	$	14.4	$	—	$	364.8	$	379.2

____________

(1)      Totals may not sum due to rounding.

31

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(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 September30, 2020 and December31, 2019, respectively. The Company’s valuation policy, as described above, establishes parameters for the sources and types of valuation analysis, as well as the methodologies and inputs that the Company uses in determining fair value. If the Valuation Committee or Oxford Square Management determines that additional techniques, sources or inputs are appropriate or necessary in a given situation, such additional work will be undertaken. The tables, therefore, are not all-inclusive, but provide information on the significant Level 3 inputs that are pertinent to the Company’s fair value measurements. The weighted average calculations in the table below are based on principal balances for all debt related calculations and CLO equity.

	Quantitative Information about Level 3 Fair Value Measurements					Impact to Fair Value from an Increase in Input(2)
Assets ($ in millions)	Fair Value as of September 30, 2020		Valuation Techniques/ Methodologies	Unobservable Input	Range/Weighted Average(1)
Senior Secured Notes	$	143.5	Market quotes	NBIB(3)	1.1% – 99.4%/78.2%	NA
		55.0	Recent transactions	Actual trade/payoff(4)	83.0% – 98.3%/93.4%	NA
CLO Debt		8.3	Recent transactions	Actual trade/payoff(4)	83.2%/ncm(5)	NA
		1.4	Market quotes	NBIB(3)	67.8% – 72.4%/70.1%	NA
CLO Equity		74.4	Market quotes	NBIB(3)	0.0% – 72.0%/26.5%	NA
		8.8	Recent transactions	Actual trade/payoff(4)	3.3%/ncm(5)	NA
		2.7	Yield Analysis	Yield	19.8%/ncm(5)	Decrease
		1.1	Discounted cash flow(6)	Discount rate(7)	13.1% – 28.1%/18.0%	Decrease
Equity and Other Investments		—	Enterprise value(8)	EBITDA/Market multiples(9)	22.7million/ncm(5) 5.0x – 5.7x/ncm(5)	Increase
Total Fair Value for Level 3 Investments(10)	$	295.3

____________

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

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

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

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

32

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 4. FAIR VALUE(cont.)

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

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

(8)      For 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.

(10)    Totals may not sum due to rounding.

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

____________

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

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

(3)      The Company generally uses prices provided by an independent pricing service, or broker or agent bank non-binding indicative bid prices (“NBIB”), on or near the valuation date as the primary basis for the fair value determinations for syndicated notes, and CLO debt and equity investments, which may be adjusted for pending equity distributions as of valuation date. These bid prices are non-binding, and may not be determinative of fair value. Each bid price is evaluated by

33

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 4. FAIR VALUE(cont.)

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

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

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

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

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

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

(11)    Total may not sum due to rounding.

Financial Instruments Disclosed, But Not Carried, At Fair Value

The following table presents the carrying value and fair value of the Company’s financial liabilities disclosed, but not carried, at fair value as of September30, 2020, 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	$	63.2	$	63.8	$	—	$	63.8	$	—
6.25% Unsecured Notes		43.5		44.8		—		44.8		—
Total	$	106.7	$	108.6	$	—	$	108.6	$	—

____________

(1)      Carrying value is net of unamortized deferred debt issuance costs. Unamortized deferred debt issuance costs associated with the 6.50% Unsecured Notes totaled approximately $1.1million as of September 30, 2020. Unamortized deferred debt issuance costs associated with the 6.25% Unsecured Notes totaled approximately $1.3 million as of September 30, 2020.

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

34

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 4. FAIR VALUE(cont.)

The following table presents the carrying value and fair value of the Company’s financial liabilities disclosed, but not carried, at fair value as of December31, 2019, and the level of each financial liability within the fair value hierarchy:

($ in millions)	Carrying Value(1)		Fair Value(2)		Level 1		Level 2		Level 3
6.50% Unsecured Notes	$	63.0	$	65.6	$	—	$	65.6	$	—
6.25% Unsecured Notes		43.3		45.6		—		45.6		—
Credit Facility(2)		28.1		28.1		—		—		28.1
Total(3)	$	134.4	$	139.3	$	—	$	111.2	$	28.1

____________

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

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

(3)      Totals may not sum due to rounding.

A reconciliation of the fair value of investments for the three months ended September30, 2020, utilizing significant unobservable inputs, is as follows:

($ in millions)	Senior Secured Notes			CLO Debt		CLO Equity			Equity and Other Investments			Total(2)
Balance as of June 30, 2020	$	188.6		$	0.6	$	81.0		$	0.6		$	270.8
Realized losses included in earnings		—			—		(4.4	)		—			(4.4	)
Unrealized appreciation/(depreciation) included in earnings		8.8			0.9		12.0			(0.6	)		20.9
Accretion of discount		0.3			0.1		—			—			0.4
Purchases		1.4			8.2		8.7			—			18.3
Repayments and Sales		(0.6	)		—		(8.3	)		—			(8.9	)
Reductions to CLO equity cost value(1)		—			—		(2.0	)		—			(2.0	)
Payment in Kind income		0.1			—		—			—			0.1
Transfers in and/or (out) of Level 3		—			—		—			—			—
Balance as of September 30, 2020(2)	$	198.5		$	9.7	$	87.0		$	—		$	295.3
Net change in unrealized appreciation/depreciation on Level 3 investments still held as of September 30, 2020(2)	$	8.8		$	0.9	$	5.8		$	(0.6	)	$	14.9

____________

(1)      Reduction to cost value on the Company’s CLO equity investments represents the difference between distributions received, or entitled to be received, of approximately $5.5million and the effective yield interest income of approximately $3.6million.

(2)      Totals may not sum due to rounding.

35

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 4. FAIR VALUE(cont.)

A reconciliation of the fair value of investments for the nine months ended September30, 2020, utilizing significant unobservable inputs, is as follows:

($ in millions)	Senior Secured Notes			CLO Debt		CLO Equity			Equity and Other Investments			Total(2)
Balance as of December 31, 2019	$	240.5		$	0.8	$	120.6		$	2.8		$	364.8
Realized losses included in earnings		(2.1	)		—		(5.3	)		—			(7.4	)
Unrealized (depreciation)/appreciation included in earnings		(9.2	)		0.6		(34.1	)		(2.8	)		(45.5	)
Accretion of discount		0.9			0.1		—			—			1.0
Purchases		17.6			8.2		21.2			—			47.0
Repayments and Sales		(49.3	)		—		(8.8	)		—			(58.1	)
Reductions to CLO equity cost value(1)		—			—		(6.6	)		—			(6.6	)
Payment in Kind income		0.2			—		—			—			0.2
Transfers in and/or (out) of Level 3		—			—		—			—			—
Balance as of September 30, 2020(2)	$	198.5		$	9.7	$	87.0		$	—		$	295.3
Net change in unrealized appreciation/depreciation on Level 3 investments still held as of September 30, 2020(2)	$	(9.3	)	$	0.6	$	(38.5	)	$	(2.8	)	$	(50.0	)

____________

(1)      Reduction to cost value on the Company’s CLO equity investments represents the difference between distributions received, or entitled to be received, of approximately $18.1million and the effective yield interest income of approximately $11.5million.

(2)      Totals may not sum due to rounding.

A reconciliation of the fair value of investments for the year ended December31, 2019, utilizing significant unobservable inputs, is as follows:

($ in millions)	Senior Secured Notes			CLO Debt			CLO Equity			Equity and Other Investments			Total(2)
Balance as of December 31, 2018	$	282.7		$	0.9		$	146.8		$	14.5		$	445.0
Realized losses included in earnings		—			—			(1.2	)		(0.5	)		(1.7	)
Unrealized depreciation included in earnings		(18.1	)		(0.1	)		(32.4	)		(18.9	)		(69.5	)
Accretion of discount		0.8			—			—			—			0.8
Purchases		28.9			—			25.8			—			54.8
Repayments and Sales		(54.2	)		—			(5.6	)		—			(59.8	)
Reductions to CLO equity cost value(1)		—			—			(12.8	)		—			(12.8	)
Non-cash interest and dividend income due to PIK		0.4			—			—			7.7			8.0
Transfers in and/or (out) of Level 3		—			—			—			—			—
Balance as of December 31, 2019(2)	$	240.5		$	0.8		$	120.6		$	2.8		$	364.8
Net change in unrealized appreciation/depreciation on Level 3 investments still held as of December 31, 2019(2)	$	(19.1	)	$	(0.1	)	$	(34.0	)	$	(19.3	)	$	(72.5	)

____________

(1)      Reduction to cost value on the Company’s CLO equity investments represents the difference between distributions received, or entitled to be received, of approximately $38.0million and the effective yield interest income of approximately $25.2million.

(2)      Totals may not sum due to rounding.

36

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 4. FAIR VALUE(cont.)

The following table shows the fair value of the Company’s portfolio of investments by asset class as of September30, 2020 and December31, 2019:

	September 30, 2020				December 31, 2019
($ in millions)	Investments at Fair Value		Percentage of Total Portfolio		Investments at Fair Value		Percentage of Total Portfolio
Senior Secured Notes	$	198.5	67.2	%	$	240.5	65.9	%
CLO Debt		9.7	3.3	%		0.8	0.2	%
CLO Equity		87.0	29.5	%		120.6	33.1	%
Equity and Other Investments		—	—	%		2.8	0.8	%
Total(1)	$	295.3	100.0	%	$	364.8	100.0	%

____________

(1)      Totals may not sum due to rounding.

NOTE 5. CASH, CASH EQUIVALENTS AND RESTRICTED CASH

As of September30, 2020 and December31, 2019, respectively, cash, cash equivalents and restricted cash were as follows:

($ in millions)	September 30, 2020		December 31, 2019
Cash	$	—	$	—
Cash Equivalents		2.2		14.4
Restricted Cash		—		2.1
Total Cash, Cash Equivalents and Restricted Cash	$	2.2	$	16.5

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

NOTE 6. BORROWINGS

In accordance with the 1940 Act, with certain limited exceptions, the Company is only allowed to borrow amounts such that its asset coverage, as defined in the 1940 Act, is at least 150%, immediately after such borrowing. As of September30, 2020 and December31, 2019, the Company’s asset coverage for borrowed amounts was 272.7% and 278.6%, respectively.

The following are the Company’s outstanding principal amounts, carrying values and fair values of the Company’s borrowings as of September30, 2020 and December31, 2019. The fair value of the 6.50% Unsecured Notes and 6.25% Unsecured Notes are based upon the closing price on the last day of the period and are listed on the NASDAQ Global Select Market (trading symbol OXSQL and OXSQZ, respectively). The Credit Facility was fully repaid on March24, 2020. The Credit Facility fair value represents the par amount of the debt obligation as of December31, 2019.

	As of
	September 30, 2020						December 31, 2019
($ in millions)	Principal Amount		Carrying Value(1)		Fair Value		Principal Amount		Carrying Value(1)		Fair Value
6.50% Unsecured Notes	$	64.4	$	63.2	$	63.8	$	64.4	$	63.0	$	65.6
Credit Facility(2)		—		—		—		28.1		28.1		28.1
6.25% Unsecured Notes		44.8		43.5		44.8		44.8		43.3		45.6
Total	$	109.2	$	106.7	$	108.6	$	137.3	$	134.4	$	139.3

37

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 6. BORROWINGS(cont.)

____________

(1)      The Carrying Value represents the aggregate principal amount outstanding less the unamortized deferred issuance costs. As of September 30, 2020, the total unamortized deferred issuance costs for the 6.25% Unsecured Notes and 6.50% Unsecured Notes was approximately $1.3 million and $1.1 million, respectively. As of December 31, 2019, the total unamortized deferred issuance costs for the Credit Facility, 6.25% Unsecured Noted, and 6.50% Unsecured Notes was approximately $10,000, $1.5 million, and $1.4 million, respectively.

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

The weighted average stated interest rate and weighted average maturity on the Company’s borrowings as of September30, 2020 were 6.40% and 4.4 years, respectively, and as of December31, 2019 were 5.94% and 4.2 years, respectively.

The tables below summarize the components of interest expense for the three and nine months ended September30, 2020 and September30, 2019, respectively:

	Three Months Ended September 30, 2020						Nine Months Ended September 30, 2020
($ in thousands)	Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total		Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total
6.50% Unsecured Notes	$	1,046.0	$	81.8	$	1,127.8	$	3,138.0	$	243.8	$	3,381.8
6.25% Unsecured Notes		699.9		58.8		758.7		2,099.6		175.0		2,274.6
Credit Facility(1)		—		—		—		262.2		4.8		267.0
Repo Facility		21.7		—		21.7		64.7		—		64.7
Total	$	1,767.6	$	140.6	$	1,908.2	$	5,564.5	$	423.6	$	5,988.1

____________

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

	Three Months Ended September 30, 2019						Nine Months Ended September 30, 2019
($ in thousands)	Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total		Stated Interest Expense		Amortization of Deferred Debt Issuance Costs		Total
6.50% Unsecured Notes	$	1,046.0	$	81.9	$	1,127.9	$	3,138.0	$	242.9	$	3,380.9
Credit Facility		622.5		13.5		636.0		2,537.3		61.3		2,598.6
6.25% Unsecured Notes		699.9		58.7		758.6		1,384.2		114.8		1,499.0
Total	$	2,368.4	$	154.1	$	2,522.5	$	7,059.5	$	419.0	$	7,478.5

Notes Payable — 6.50% Unsecured Notes Due 2024

On April12, 2017, the Company completed an underwritten public offering of approximately $64.4million in aggregate principal amount of 6.50% Unsecured Notes. The 6.50% Unsecured Notes will mature on March30, 2024, and may be redeemed in whole or in part at any time or from time to time at the Company’s option on or after March30, 2020. The 6.50% Unsecured Notes bear interest at a rate of 6.50% per year payable quarterly on March30, June30, September30, and December 30 of each year.

The aggregate accrued interest payable on the 6.50% Unsecured Notes as of September30, 2020 was approximately $12,000. As of September30, 2020, the Company had unamortized deferred debt issuance costs of approximately $1.1million relating to the 6.50% Unsecured Notes. The deferred debt issuance costs are being amortized over the term of the 6.50% Unsecured Notes and are included in interest expense in the consolidated statements of operations. The cash paid and the effective annualized interest rate for the three months ended September30, 2020 were approximately $1.0million and 6.95%, respectively. The cash paid and the effective annualized interest rate for the nine months ended September30, 2020 were approximately $3.1million and 7.00%, respectively.

38

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 6. BORROWINGS(cont.)

Notes Payable — 6.25% Unsecured Notes Due 2026

On April3, 2019, the Company completed an underwritten public offering of approximately $44.8million in aggregate principal amount of 6.25% Unsecured Notes. The 6.25% Unsecured Notes will mature on April30, 2026, and may be redeemed in whole or in part at any time or from time to time at the Company’s option on or after April30, 2022. The 6.25% Unsecured Notes bear interest at a rate of 6.25% per year payable quarterly on January31, April30, July31, and October31, of each year.

The aggregate accrued interest payable on the 6.25% Unsecured Notes as of September30, 2020 was approximately $0.5million. As of September30, 2020, the Company had unamortized deferred debt issuance costs of approximately $1.3million relating to the 6.25% Unsecured Notes. The deferred debt issuance costs are being amortized over the term of the 6.25% Unsecured Notes and are included in interest expense in the consolidated statements of operations. The cash paid and the effective annualized interest rate for the three months ended September30, 2020 were approximately $0.7million and 6.72%, respectively. The cash paid and the effective annualized interest rate for the nine months ended September30, 2020 were approximately $2.1million and 6.77%, respectively.

Repurchase Transaction Facility

On October18, 2019, the Company entered into a $10million repurchase transaction facility (the “Repo Facility”) with Nomura Securities International, Inc. (“Nomura”). Pursuant to the Master Repurchase Agreement (“MRA”) and a transaction facility confirmation, the Company may sell securities to Nomura from time to time with a corresponding repurchase obligation at an agreed-upon price 30 to 60 days after the sale date (“Reverse Repo”). The Repo Facility has a funding cost of 1-month LIBOR plus 2.05% per annum for each Reverse Repo transaction and is subject to a facility fee of 0.85% per annum on the full $10million facility amount. The Repo Facility expired without extension by the Company on October18, 2020. The Company accounts for these Reverse Repo transactions as secured financings for financial reporting purposes in accordance with GAAP.

As of September30, 2020, there was no outstanding principal, or securities sold under the Repo Facility. The Company accrued approximately $22,000 in undrawn fees for the three months ended September30, 2020, which is classified as interest expense on the consolidated statement of operations. The cash paid for undrawn fees for the three and nine months ended September30, 2020 was approximately $22,000 and $65,000, respectively.

Notes Payable — Credit Facility

On June21, 2018, OXSQ Funding entered into the Credit Facility with Citibank, N.A. Subject to certain exceptions, pricing under the Credit Facility was based on the London Interbank Offered Rate for an interest period equal to three months plus a spread of 2.25% per annum payable quarterly on March21, June21, September 21 and December 21. Pursuant to the terms of the credit agreement governing the Credit Facility, OXSQ Funding borrowed approximately $95.2million. The Credit Facility had a mandatory amortization schedule such that 15.0% of the principal amount outstanding as of June21, 2018 was due and payable on June21, 2019. On each payment date occurring thereafter, an additional 6.25% of the remaining principal amount outstanding was due and payable. All remaining principal and accrued and unpaid interest was due and payable on the final maturity date, June21, 2020.

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

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

39

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 6. BORROWINGS(cont.)

The partial principal repayments made by the Company for the year ended December31, 2019 and December31, 2018 were approximately $57.6million and $46.8million, respectively. For the year ended December31, 2019 and December31, 2018, the Company recognized a net extinguishment loss of approximately $73,000 and $61,000, respectively, which consisted of unamortized deferred debt issuance costs. These costs are recorded within realized losses on extinguishment of debt in the consolidated statements of operations.

The Company prepaid the remaining outstanding principal on March24, 2020 of approximately $17.1million and did not extend the maturity of the Credit Facility. The Company recognized a net extinguishment loss of approximately $5,000 for the nine months ended September30, 2020, which consisted of unamortized deferred debt issuance costs. These costs are recorded within realized losses on extinguishment of debt in the consolidated statements of operations.

NOTE 7. RELATED PARTY TRANSACTIONS

The Company pays Oxford Square Management a fee for its services under the Investment Advisory Agreement consisting of two components — a base management fee (the “Base Fee”) based on its gross assets, as described below, and an incentive fee based on its performance. 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.

Base Management Fee

Through March31, 2016, the Base Fee was calculated at an annual rate of 2.00%. Effective April1, 2016, the Base Fee is calculated at an annual rate of 1.50%. The Base Fee is payable quarterly in arrears, and is calculated based on the average value of the Company’s gross assets at the end of the two most recently completed calendar quarters, and appropriately adjusted for any equity or debt capital raises, repurchases or redemptions during the current calendar quarter (however, no Base Fee will be payable on the cash proceeds received by the Company in connection with any share or debt issuances until such proceeds have been invested in accordance with the Company’s investment objective). Accordingly, the Base Fee will be payable regardless of whether the value of the Company’s gross assets has decreased during the quarter. The Base Fee for any partial quarter will be appropriately prorated.

The following table represents the Base Fee for the three and nine months ended September30, 2020 and September30, 2019, respectively:

($ in millions)	Three Months Ended September 30, 2020		Three Months Ended September 30, 2019		Nine Months Ended September 30, 2020		Nine Months Ended September 30, 2019
Base Fee	$	1.1	$	1.7	$	3.4	$	5.2

The Base Fee payable to Oxford Square Management as of September30, 2020 and December31, 2019, was approximately $1.1million and $1.5million, respectively.

Incentive Fee

The incentive fee has two parts: the “Net Investment Income Incentive Fee” and the “Capital Gains Incentive Fee”. 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 current calendar quarter. For this purpose, Pre-Incentive Fee Net Investment Income means interest income, dividend income and any other income (including any accrued income that we have not yet received in cash and any other fees such as commitment, origination, structuring, diligence and consulting fees or other fees that we receive from portfolio companies) accrued during the calendar quarter, minus

40

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS(cont.)

the Company’s operating expenses accrued during the calendar quarter (including the Base Fee, expenses payable under a separate agreement with Oxford Funds (the “Administration Agreement”), and any interest expense and dividends paid on any issued and outstanding preferred stock, but excluding the incentive fee).

Pre-Incentive Fee Net Investment Income includes, in the case of investments with a deferred interest feature (such as OID, debt instruments with PIK interest and zero coupon securities), accrued income that the Company has not yet received in cash. Oxford Square Management is not under any obligation to reimburse the Company for any part of the incentive fee it received that was based on accrued income that it never received as a result of a default by an entity on the obligation that resulted in the accrual of such income. Pre-Incentive Fee Net Investment Income does not include any realized gains, realized losses or unrealized appreciation or depreciation. Given that this portion of the incentive fee is payable without regard to any gain, loss or unrealized depreciation that may occur during the quarter, this portion of Oxford Square Management’s incentive fee may also be payable notwithstanding a decline in net asset value that quarter.

Effective April1, 2016, a Preferred Return Amount is calculated on a quarterly basis by multiplying 1.75% by the Company’s net asset value at the end of the immediately preceding calendar quarter. The Net Investment Income Incentive Fee is then calculated as follows: (a) no Net Investment Income Incentive Fee is payable to Oxford Square Management in any calendar quarter in which the Pre-Incentive Fee Net Investment Income does not exceed the Preferred Return Amount; (b) 100% of the Pre-Incentive Fee Net Investment Income for such quarter, if any, that exceeds the Preferred Return Amount but is less than or equal to a “Catch-Up Amount” determined on a quarterly basis by multiplying 2.1875% by the Company’s net asset value at the end of such calendar quarter; and (c) for any quarter in which the Pre-Incentive Fee Net Investment Income exceeds the Catch-Up Amount, the Net Investment Income Incentive Fee will be 20% of the amount of the Pre-Incentive Fee Net Investment Income for such quarter. There is no accumulation of amounts from quarter to quarter for the Preferred Return Amount, and accordingly there is no claw back of amounts previously paid to Oxford Square Management if the Pre-Incentive Fee Net Investment Income for subsequent quarters is below the quarterly Preferred Return Amount, and there is no delay of payment of incentive fees to Oxford Square Management if the Pre-Incentive Fee Net Investment Income for prior quarters is below the quarterly Preferred Return Amount for the quarter for which the calculation is being made.

In addition, effective April1, 2016, the calculation of the Company’s Net Investment Income Incentive Fee is subject to a “Total Return Requirement”, which provides that a net investment income incentive fee will not be payable to Oxford Square Management, except to the extent 20% of the cumulative net increase in net assets resulting from operations (which is the amount, if positive, of the sum of the Pre-Incentive Fee Net Investment Income, realized gains and losses and unrealized appreciation and depreciation on investments) during the calendar quarter for which such fees are being calculated and the eleven (11) preceding quarters (or if shorter, the number of quarters since April1, 2016) exceeds the cumulative Net Investment Income Incentive Fees accrued and/or paid for such eleven (11) preceding quarters (or if shorter, the number of quarters since April1, 2016). Under the revised fee structure, under no circumstances will the aggregate fees earned from April1, 2016 by Oxford Square Management in any quarterly period be higher than the aggregate fees that would have been earned prior to the adoption of these changes.

From January1, 2005 through March31, 2016, the Pre-Incentive Fee Net Investment Income, which was expressed as a rate of return on the value of our net assets at the end of the immediately preceding calendar quarter, was compared to one-fourth of an annual hurdle rate that was determined as of the immediately preceding December 31st by adding 5.00% to the interest rate then payable on the most recently issued five-year U.S. Treasury Notes, up to a maximum annual hurdle rate of 10.00%. The annual hurdle used to calculate the Pre-Incentive Fee Net Investment Income for the quarters ended September30, 2020 and September30, 2019, were 6.69% and 7.51%, respectively.

41

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS(cont.)

The following table represents the Net Investment Income Incentive Fees for each of the three and nine months ended September30, 2020 and 2019, respectively:

($ in millions)	Three Months Ended September 30, 2020		Three Months Ended September 30, 2019		Nine Months Ended September 30, 2020		Nine Months Ended September 30, 2019
Net Investment Income Incentive Fee	$	—	$	—	$	—	$	3.5

There was no Net Investment Income Incentive Fee payable to Oxford Square Management as of September30, 2020 and December31, 2019.

The Capital Gains Incentive Fee 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 gains on investments for each calendar year, computed net of all realized losses on investments and unrealized capital depreciation on investments for that calendar year. However, for accounting purposes only, in order to reflect the theoretical Capital Gains Incentive Fee that would be payable for a given period as if all unrealized gains on investments were realized, the Company will accrue a Capital Gains Incentive Fee based upon net realized gains/losses on investments and unrealized depreciation on investments for that calendar year (in accordance with the terms of the Investment Advisory Agreement), plus unrealized appreciation on investments held at the end of the period. It should be noted that a fee so calculated and accrued for accounting purposes would not necessarily be payable under the Investment Advisory Agreement, and may never be paid based upon the computation of Capital Gains Incentive Fees in subsequent periods. Amounts paid under the Investment Advisory Agreement will be consistent with the formula reflected in the Investment Advisory Agreement.

The amount of Capital Gains Incentive Fee expense related to the hypothetical liquidation of the portfolio (and assuming no other changes in realized or unrealized gains and losses on investments) 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, the Capital Gains Incentive Fee expense fluctuates with the Company’s overall investment results.

There were no Capital Gains Incentive Fees incurred during the three and nine months ended September30, 2020 and 2019. There were no accrued Capital Gains Incentive Fees payable to Oxford Square Management as of September30, 2020, and December31, 2019.

Administration Agreement

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

Oxford Square 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 of Oxford Square Management and a member of Oxford Funds.

42

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 7. RELATED PARTY TRANSACTIONS(cont.)

For the three months ended September30, 2020 and 2019, the Company incurred approximately $186,000 and $195,000, 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. For the nine months ended September30, 2020 and 2019, the Company incurred approximately $554,000 and $623,000, respectively, in compensation expenses. Further, the Company incurred approximately $14,000 and $16,000 for facility costs allocated under the Administration Agreement for the three months ended September30, 2020 and 2019, respectively. For the nine months ended September30, 2020 and 2019, the Company incurred approximately $43,000 and $47,000 for facility costs allocated under the Administration Agreement, respectively. As of September30, 2020, there was approximately $28,000 payable under the Administration Agreement. As of December31, 2019, there were no amounts payable under the Administration Agreement.

Co-Investment Exemptive Relief

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

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.

NOTE 8. EARNINGS PER SHARE

The following table sets forth the computation of basic and diluted net increase/(decrease) in net assets resulting from net investment income and operations per share for the three and nine months ended September30, 2020 and 2019, respectively:

	Three Months Ended September 30, 2020		Three Months Ended September 30, 2019			Nine Months Ended September 30, 2020			Nine Months Ended September 30, 2019
Net investment income	$	4,270,279	$	8,937,187		$	14,972,752		$	30,080,484
Weighted average common shares outstanding		49,589,607		47,740,799			49,439,478			47,681,235
Net increase in net assets resulting from net investment income per common share	$	0.09	$	0.19		$	0.30		$	0.63
Net increase/(decrease) in net assets resulting from operations	$	20,848,768	$	(33,110,464	)	$	(37,953,676	)	$	(27,897,202	)
Net increase/(decrease) in net assets resulting from operations per common share	$	0.42	$	(0.69	)	$	(0.77	)	$	(0.59	)

43

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

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 the Company’s common stock, unless they specifically “opt out” of the distribution reinvestment plan so as to receive cash distributions. During the three months ended September30, 2020, the Company did not issue any shares of common stock to stockholders in connection with the distribution reinvestment plan. During the nine months ended September30, 2020, the Company issued 42,343shares of common stock for approximately $0.2million, in connection with the distribution reinvestment plan. During the three and nine months ended September30, 2019, the Company issued 23,225shares of common stock for approximately $0.1million, in connection with the distribution reinvestment plan. During the three months ended September30, 2020 and 2019, as part of the Company’s dividend reinvestment plan for its common stockholders, the Company’s dividend reinvestment administrator purchased 41,198shares and 25,203shares, respectively, of common stock for approximately $0.1million and $0.2million, respectively, in the open market to satisfy the reinvestment portion of the Company’s dividends. During the nine months ended September30, 2020 and 2019, as part of the Company’s dividend reinvestment plan for its common stockholders, the Company’s dividend reinvestment administrator purchased 129,370shares and 65,778shares, respectively, of common stock for approximately $0.4million and $0.4million, respectively, in the open market to satisfy the reinvestment portion of the Company’s dividends. On each of July31, August 31 and September30, 2020, the Company paid monthly distributions of approximately $1.7million, or $0.035 per share.

On December22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted which changed various technical rules governing the tax treatment of RICs. The changes are generally effective for taxable years beginning after the date of enactment. Under the Act, the Company will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law.

The tax character of distributions for the three months ended September30, 2020, represented, on an estimated basis, $0.087 per share from ordinary income and $0.018 per share as a tax return of capital. For the three months ended September30, 2020, the amounts and sources of distributions reported are only estimates (based on an average of the reported tax character historically) and are not being provided for U.S. tax reporting purposes. Because the Company believes the historical tax characteristics of distributions is the most useful information which is readily available, the Company has used the average of all years from inception of the Company in providing the estimates herein. However, the timing and character of distributions for federal income tax purposes (which are determined in accordance with the U.S. federal tax rules which may differ from GAAP) may be materially different than the historical information the Company used in providing the estimates herein. The final determination of the source of all distributions in 2020 will

44

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 9. DISTRIBUTIONS (cont.)

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 September30, 2020, and December31, 2019, was $3.85 and $5.12, 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. SHARE ISSUANCE PROGRAM

On August1, 2019, the Company entered into an Equity Distribution Agreement with Ladenburg Thalmann & Co. through which the Company may offer for sale, from time to time, up to $150.0million of the Company’s common stock through an At-the-Market (“ATM”) offering. For the three months ended September30, 2020, the Company did not sell any shares of common stock pursuant to the ATM offering. The Company sold a total of 115,887shares of common stock pursuant to the ATM during the three and nine months ended September30, 2019. For the nine months ended September30, 2020, the Company sold a total of 1,098,277shares of common stock pursuant to the ATM offering. The total amount of capital raised net of underwriting fees and offering costs was approximately $5.8million during the nine months ended September30, 2020.

NOTE 12. INVESTMENT INCOME

The following table sets forth the components of investment income for the three and nine months ended September30, 2020 and 2019, respectively:

	Three Months Ended September 30, 2020		Three Months Ended September 30, 2019		Nine Months Ended September 30, 2020		Nine Months Ended September 30, 2019
Interest income
Stated interest income	$	4,019,584	$	6,812,244	$	13,583,930	$	20,698,677
Original issue discount and market discount income		402,314		235,999		985,420		595,409
Payment-in-kind interest income		63,775		61,466		187,080		209,838
Discount income derived from unscheduled remittances at par		6,974		4,969		263,854		191,611
Total interest income	$	4,492,647	$	7,114,678	$	15,020,284	$	21,695,535
Income from securitization vehicles	$	3,568,516	$	6,131,870	$	11,545,539	$	19,628,276
Dividend income – non-cash	$	—	$	673,706	$	—	$	7,009,592
Other income
Fee letters	$	162,782	$	99,444	$	489,291	$	300,574
Loan prepayment and bond call fees		—		—		200,000		160,000
All other fees		1,194		63,352		49,334		427,088
Total other income	$	163,976	$	162,796	$	738,625	$	887,662
Total investment income	$	8,225,139	$	14,083,050	$	27,304,448	$	49,221,065

The 1940 Act requires that a BDC offer significant managerial assistance to its portfolio companies. The Company may receive fee income for managerial assistance it renders to portfolio companies in connection with its investments. For the three and nine months ended September30, 2020 and 2019, respectively, the Company received no fee income for managerial assistance.

45

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 13. COMMITMENTS AND CONTINGENCIES

In the normal course of business, the Company enters into a variety of undertakings containing a variety of warranties and indemnifications that may expose the Company to some risk of loss. The risk of future loss arising from such undertakings, while not quantifiable, is expected to be remote. As of September30, 2020, the Company had one commitment to purchase an additional debt investment of approximately $14.6million.

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

NOTE 14. FINANCIAL HIGHLIGHTS

Financial highlights for the three and nine months ended September30, 2020 and 2019, respectively, are as follows:

Per Share Data	Three Months Ended September 30, 2020			Three Months Ended September 30, 2019			Nine Months Ended September 30, 2020			Nine Months Ended September 30, 2019
Net asset value as of beginning of period	$	3.54		$	6.31		$	5.12		$	6.60
Net investment income(1)		0.09			0.19			0.30			0.63
Net realized and unrealized gains/(losses)(2)		0.33			(0.88	)		(1.06	)		(1.21	)
Net increase/(decrease) in net asset value from operations		0.42			(0.69	)		(0.76	)		(0.58	)
Distributions per share from net investment income		(0.09	)		(0.17	)		(0.42	)		(0.51	)
Tax return of capital distributions(3)		(0.02	)		(0.03	)		(0.09	)		(0.09	)
Total distributions		(0.11	)		(0.20	)		(0.51	)		(0.60	)
Effect of shares issued/repurchased, gross		—			—			—			—
Net asset value at end of period	$	3.85		$	5.42		$	3.85		$	5.42
Per share market value at beginning of period	$	2.80		$	6.40		$	5.44		$	6.47
Per share market value at end of period	$	2.47		$	6.23		$	2.47		$	6.23
Total return based on Market Value(4)		(8.22	)%		0.46	%		(46.71	)%		5.69	%
Total return based on Net Asset Value(5)		11.72	%		(10.92	)%		(14.90	)%		(8.76	)%
Shares outstanding at end of period		49,589,607			47,790,071			49,589,607			47,790,071
Ratios/Supplemental Data(8)
Net assets at end of period (000’s)	$	190,968		$	258,960		$	190,968		$	258,960
Average net assets (000’s)		183,148			279,978			186,744			301,766
Ratio of operating expenses to average net assets(6)		8.64	%		7.35	%		8.80	%		8.46	%
Ratio of net investment income to average net assets(6)		9.33	%		12.77	%		10.69	%		13.29	%
Portfolio turnover rate(7)		3.22	%		1.18	%		15.71	%		9.07	%

____________

(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.

46

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 14. FINANCIAL HIGHLIGHTS(cont.)

(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.

(8)      The following table provides supplemental performance ratios (annualized) measured for the three and nine months ended September 30, 2020 and 2019:

	Three Months Ended September 30, 2020		Three Months Ended September 30, 2019		Nine Months Ended September 30, 2020		Nine Months Ended September 30, 2019
Ratio of operating expenses to average net assets:
Operating expenses before incentive fees	8.64	%	7.35	%	8.80	%	6.91	%
Net investment income incentive fees	—	%	—	%	—	%	1.55	%
Ratio of expenses, excluding interest expense	4.47	%	3.75	%	4.53	%	5.15	%

NOTE 15. RISKS AND UNCERTAINTIES

The U.S. capital markets are experiencing a period of extreme volatility and disruption. In December 2019, a novel strain of coronavirus (also known as “COVID-19”) surfaced in China and has since been detected in numerous countries, including the United States. COVID-19 spread quickly and has been identified as a global pandemic by the World Health Organization. In response, governmental authorities have imposed restrictions on travel and the temporary closure of many corporate offices, retail stores, restaurants and manufacturing facilities and factories in affected jurisdictions, including, beginning in March 2020, in the United States. While several countries, as well as certain states in the United States, have begun to lift public health restrictions with the view to reopening their economies, recurring COVID-19 outbreaks have led to the re-introduction of such restrictions in certain states in the United States and globally and could continue to lead to the re-introduction of such restrictions elsewhere. The pandemic and the resulting economic dislocations have had adverse consequences for the business operations of some of the Company’s portfolio companies and CLO investments and have adversely affected, and will likely continue to adversely affect, the Company’s operations. The operational and financial performance of the portfolio companies in which the Company makes investments depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn impact the valuation of its investments.

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

47

OXFORD SQUARE CAPITAL CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2020

(unaudited)

NOTE 15. RISKS AND UNCERTAINTIES(cont.)

As a BDC, the Company is required to carry its investments at fair value as determined in good faith by or under the direction of its Board. Decreases in fair values of the Company’s investments are recorded as unrealized depreciation. Depending on market conditions, the Company could incur substantial losses in future periods, which could have a material adverse impact on its business, financial condition and results of operations.

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

The Company places its cash in an overnight money market account and, at times, cash and cash equivalents may exceed the Federal Deposit Insurance Corporation insured limit. In addition, the Company’s portfolio may be concentrated in a limited number of portfolio companies, which will subject the Company to a risk of significant loss if any of these companies defaults on its obligations under any of its debt securities that the Company holds or if those sectors experience a market downturn.

NOTE 16. SUBSEQUENT EVENTS

The following distributions payable to stockholders are shown below:

Per Share Distribution Amount Declared	Record Dates	Payable Dates	Date Declared
$    0.035	October 16, 2020	October 30, 2020	September 11, 2020
$    0.035	November 13, 2020	November 30, 2020	September 11, 2020
$    0.035	December 16, 2020	December 31, 2020	September 11, 2020
$    0.035	January 15, 2021	January 29, 2021	October 22, 2020
$    0.035	February 12, 2021	February 26, 2021	October 22, 2020
$    0.035	March 17, 2021	March 31, 2021	October 22, 2020

On October18, 2020, the Repo Facility expired without extension by the Company. The Company’s management evaluated subsequent events through the date of issuance of these consolidated financial statements and noted no other events that necessitate adjustments to or disclosure in the financial statements.

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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 as a result of the current COVID-19 pandemic;

•        our business prospects and the prospects of our portfolio companies;

•        the impact of investments that we expect to make;

•        our contractual arrangements and relationships with third parties;

•        the dependence of our future success on the general economy and its impact on the industries in which we invest and the impact of the COVID-19 pandemic thereon;

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

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

•        the ability of our portfolio companies and CLO investments to achieve their objectives, including as a result of the current COVID-19 pandemic;

•        the valuation of our investments in portfolio companies and CLOs, particularly those having no liquid trading market, and the impact of the COVID-19 pandemic thereon;

•        market conditions and our ability to access alternative debt markets and additional debt and equity capital, and the impact of the COVID-19 pandemic thereon;

•        our expected financings and investments;

•        the adequacy of our cash resources and working capital;

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

•        the ability of our investment adviser to locate suitable investments for us and to monitor and administer our investments and the impacts of the COVID-19 pandemic thereon.

These statements are not guarantees of future performance and are subject to risks, uncertainties, and other factors, some of which are beyond our control and difficult to predict and could cause actual results to differ materially from those expressed or forecasted in the forward-looking statements, including without limitation:

•        an economic downturn, including as a result of the current COVID-19 pandemic, could impair our portfolio companies’ and CLO investments ability to continue to operate, which could lead to the loss of some or all of our investments in such portfolio companies and CLO investments;

•        a contraction of available credit and/or an inability to access the equity markets, including as a result of the current COVID-19 pandemic, could impair our lending and investment activities;

•        interest rate volatility could adversely affect our results, particularly because we use leverage as part of our investment strategy;

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•        currency fluctuations could adversely affect the results of our investments in foreign companies, particularly to the extent that we receive payments denominated in foreign currency rather than U.S. dollars; and

•        the risks, uncertainties and other factors we identify in Item 1A. — Risk Factors contained in our Annual Report on Form 10-K for the year ended December31, 2019, 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 December31, 2019, and elsewhere in this Quarterly Report on Form 10-Q. You should not place undue reliance on these forward-looking statements, which apply only as of the date of this Quarterly Report on Form 10-Q.

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

The following analysis of our financial condition and results of operations should be read in conjunction with our consolidated financial statements and the related notes thereto contained elsewhere in this Quarterly Report on Form 10-Q.

OVERVIEW

Our investment objective is to maximize our portfolio’s total return. Our primary focus is to seek an attractive risk-adjusted total return by investing primarily in corporate debt securities and in collateralized loan obligation (“CLO”), which are structured finance investments that own corporate debt securities. CLO investments may also include warehouse facilities, which are early-stage CLO vehicles intended to aggregate loans that may be used to form the basis of a traditional CLO vehicle. We operate as a closed-end, non-diversified management investment company and have elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). We have elected to be treated for tax purposes as a regulated investment company (“RIC”), under the Internal Revenue Code of 1986, as amended (the “Code”), beginning with our 2003 taxable year.

Our investment activities are managed by Oxford Square Management, LLC (“Oxford Square Management”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. Oxford Square Management is owned by Oxford Funds, LLC (“Oxford Funds”), its managing member and a related party, Charles M. Royce, a member of Oxford Square Capital Corp.’s Board of Directors (the “Board”) who holds a minority, non-controlling interest in Oxford Square Management. Jonathan H. Cohen, our Chief Executive Officer, and Saul B. Rosenthal, our President, are the controlling members of Oxford Funds. Under an investment advisory agreement (the “Investment Advisory Agreement”), we have agreed to pay Oxford Square Management an annual base fee calculated on gross assets, and an incentive fee based upon our performance. Under an amended and restated administration agreement (the “Administration Agreement”), we have agreed to pay or reimburse Oxford Funds, as administrator, for certain expenses incurred in operating the Company. Our executive officers and directors, and the executive officers of Oxford Square Management and Oxford Funds, serve or may serve as officers and directors of entities that operate in a line of business similar to our own. Accordingly, they may have obligations to investors in those entities, the fulfillment of which might not be in the best interests of us or our stockholders.

We generally expect to invest between $5million and $50million 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 September30, 2020, our debt investments had stated interest rates of between 3.91% and 10.25% and maturity dates of between 8 and 130months. In addition, our portfolio had a weighted average annualized yield on debt investments of approximately 8.35% as of September30, 2020.

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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 September30, 2020, including accretion of original issue discount (“OID”). There can be no assurance that the weighted average annualized yield will remain at its current level.

We have historically borrowed funds to make investments and may continue to borrow funds to make investments. As a result, we are exposed to the risks of leverage, which may be considered a speculative investment technique. Borrowings, also known as leverage, magnify the potential for gain and loss on amounts invested and therefore increase the risks associated with investing in our securities. In addition, the costs associated with our borrowings, including any increase in the management fee payable to Oxford Square Management, will be borne by our common stockholders.

In addition, as a BDC under the 1940 Act, we are required to make available significant managerial assistance, for which we may receive fees, to our portfolio companies. This assistance could involve, among other things, monitoring the operations of our portfolio companies, participating in board and management meetings, consulting with and advising officers of portfolio companies and providing other organizational and financial guidance. These fees would be generally non-recurring, however in some instances they may have a recurring component. We have received no fee income for managerial assistance to date.

To the extent possible, we will generally seek to invest in loans that are collateralized by a security interest in the borrower’s assets or guaranteed by a principal to the transaction. Interest payments, if not deferred, are normally payable quarterly with most debt investments having scheduled principal payments on a monthly or quarterly basis. When we receive a warrant to purchase stock in a portfolio company, the warrant will typically have a nominal strike price, and will entitle us to purchase a modest percentage of the borrower’s stock.

During the quarter ended September30, 2020, the U.S. loan market strengthened versus the quarter ended June30, 2020. U.S. loan prices, as defined by the S&P / LSTA Leveraged Loan Index, increased from 89.88% of par value as of June30, 2020 to a quarterly high of 93.96% of par value on September16, 2020, before declining to 93.18% of par value on September30, 2020. As of September30, 2020, the Company’s Board of Directors approved the fair value of the Company’s investment portfolio of approximately $295.3million in good faith in accordance with the Company’s valuation procedures. We believe that the COVID-19 pandemic represents an extraordinary circumstance that materially impacts the fair value of the Company’s investments. As a result, the fair value of the Company’s portfolio investments may be further negatively impacted after September30, 2020 by circumstances and events that are not yet known.

CRITICAL ACCOUNTING POLICIES

The preparation of consolidated financial statements and related disclosures in conformity with generally accepted accounting principles in the United States (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the consolidated financial statements, and revenues and expenses during the periods reported. Actual results could materially differ from those estimates. We have identified investment valuation and investment income as critical accounting policies.

Investment Valuation

We measure our investment portfolio at fair value in accordance with the provisions of ASC 820, Fair Value Measurement and Disclosure. Estimates made in the preparation of our consolidated financial statements include the valuation of investments and the related amounts of unrealized appreciation and depreciation of investments recorded. We believe that there is no single definitive method for determining fair value in good faith. As a result, determining fair value requires that judgment be applied to the specific facts and circumstances of each portfolio investment while employing a consistently applied valuation process for the types of investments we make.

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

51

establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. These tiers include: Level1, defined as observable inputs such as quoted prices in active markets; Level2, 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 Level3, defined as unobservable inputs for which little or no market data exists, therefore requiring an entity to develop its own assumptions. We consider the attributes of current market conditions on an ongoing basis and have determined that due to the general illiquidity of the market for our investment portfolio, whereby little or no market data exists, all of our investments are based upon “Level 3” inputs as of September30, 2020.

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

Syndicated Loans

In accordance with ASC 820-10, our valuation procedures specifically provide for the review of indicative quotes supplied by the large agent banks that make a market for each security. However, the marketplace from which we obtain indicative bid quotes for purposes of determining the fair value of its syndicated loan investments has shown attributes of illiquidity as described by ASC-820-10. During such periods of illiquidity, when we believe that the non-binding indicative bids received from agent banks for certain syndicated investments that it owns 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. In addition, Oxford Square Management prepares an analysis of each syndicated loan, financial summary, covenant compliance review, recent trading activity in the security, if known, and other business developments related to the portfolio company. All available information, including non-binding indicative bids which may not be determinative of fair value, is presented to the Valuation Committee to consider in its determination of fair value. In some instances, there may be limited trading activity in a security even though the market for the security is considered not active. In such cases the Valuation Committee will consider the number of trades, the size and timing of each trade, and other circumstances around such trades, to the extent such information is available, in its determination of fair value. The Valuation Committee will evaluate the impact of such additional information, and factor it into its consideration of the fair value that is indicated by the analysis provided by third-party valuation firms, if any. All information is presented to the Board for its determination of fair value of these investments.

Collateralized Loan Obligations — Debt and Equity

We have acquired a number of debt and equity positions in CLO investment vehicles and CLO warehouse investments. These investments are special purpose financing vehicles. In valuing such investments, we consider the indicative prices provided by a recognized industry pricing service as a primary source, and the implied yield of such prices, supplemented by actual trades executed in the market at or around period-end, as well as the indicative prices provided by the broker who arranges transactions in such investment vehicles. We also consider those instances in which the record date for an equity distribution payment falls on the last day of the period, and the likelihood that a prospective purchaser would require a downward adjustment to the indicative price representing substantially all of the pending distribution. Additional factors include any available information on other relevant transactions including firm bids and offers in the market and information resulting from bids-wanted-in-competition. In addition, we consider the operating metrics of the specific investment vehicle, including compliance with collateralization tests, defaulted and restructured securities, and payment defaults, if any. In periods of illiquidity and volatility, we may rely more heavily on other metrics, including but not limited to, the collateral manager, time left in the reinvestment period, expected cash flows and overcollateralization ratios, instead of the Company’s generated valuation yields. Oxford Square Management or the Valuation Committee may request an additional analysis by a third-party firm to assist in the valuation process of CLO investment vehicles. All information is presented to our Board for its determination of fair value of these investments.

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Bilateral Investments (Including Equity)

Bilateral investments for which market quotations are readily available are valued by an independent pricing agent or market maker. If such market quotations are not readily available, under the valuation procedures approved by our Board, upon the recommendation of the Valuation Committee, a third-party valuation firm will prepare valuations for each of our bilateral investments that, when combined with all other investments in the same portfolio company, (i) have a value as of the previous quarter of greater than or equal to 2.5% of its total assets as of the previous quarter, and (ii) have a value as of the current quarter of greater than or equal to 2.5% of its total assets as of the current quarter, after taking into account any repayment of principal during the current quarter. In addition, in those instances where a third-party valuation is prepared for a portfolio investment which meets the parameters noted in (i) and (ii) above, the frequency of those third-party valuations is based upon the grade assigned to each such security under its credit grading system as follows: Grade1, at least annually; Grade2, at least semi-annually; Grades3,4, and5, at least quarterly. Bilateral investments which do not meet the parameters in (i) and (ii) above are not required to have a third-party valuation and, in those instances, a valuation analysis will be prepared by Oxford Square Management. All information is presented to our Board for its determination of fair value of these investments.

Investment Income

Interest Income

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

Generally, when interest and/or principal payments on a loan become past due, or if we otherwise do not expect the borrower to be able to service its debt and other obligations, we will place the loan on non-accrual status and will generally cease recognizing interest income on that loan for financial reporting purposes until all principal and interest have been brought current through payment or due to restructuring such that the interest income is deemed to be collectible. We generally restore non-accrual loans to accrual status when past due principal and interest is paid and, in our judgment, is likely to remain current. As of September30, 2020 and December31, 2019, we had two debt investments that were on non-accrual status.

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

Payment-In-Kind

We have debt and preferred equity investments in our portfolio which contain a contractual PIK provision. Certain PIK investments offer issuers the option at each payment date of making payments in cash or additional securities. PIK interest and preferred equity dividends are computed at the contractual rate and are accrued into income and recorded as interest and dividend income, respectively. The PIK amounts are added to the principal balance on the capitalization date. Upon capitalization, the PIK component is subject to the fair value estimates associated with their related investments. At the point we believe the PIK is not fully expected to be realized, the PIK investment will be placed on non-accrual status. When a PIK investment is placed on non-accrual status, the accrued, uncapitalized interest or dividends are 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 PIK will be realized. For the quarter ended September30, 2020, no PIK preferred equity dividends were recognized as dividend income as they were not expected to be fully realized.

Income from Securitization Vehicles and Investments

Income from investments in the equity class securities of CLO vehicles (typically income notes or subordinated notes) is recorded using the effective interest method in accordance with the provisions of ASC 325-40, based upon estimated cash flows, their expected timing and expected redemption, including those CLO equity investments that have not made their inaugural distribution for the relevant period end. We monitor the expected residual payments, and effective yield is determined and updated periodically, as needed. Accordingly, investment income recognized on CLO equity securities in the consolidated statement of operations differs from both the tax-basis investment income and from the cash distributions actually received by us during the period.

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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, 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 securitization structure; such fees are earned and recognized when the repayment is completed.

Recently Issued Accounting Standards

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

PORTFOLIO COMPOSITION AND INVESTMENT ACTIVITY

The total fair value of our investment portfolio was approximately $295.3million and $364.8million as of September30, 2020, and December31, 2019, respectively. The decrease in the value of investments during the nine month period ended September30, 2020, was due primarily to net unrealized depreciation on our investment portfolio of approximately $45.5million (which incorporates reductions to CLO equity cost value of $6.6million), $29.3million of debt repayments, $28.9million of sales of investments and realized losses of $7.4million, which was partially offset by $47.0million of investments acquired.

A reconciliation of the investment portfolio for the nine months ended September30, 2020 and the year ended December31, 2019 follows:

($ in millions)	September 30, 2020			December 31, 2019
Beginning investment portfolio	$	364.8		$	445.0
Portfolio investments acquired		47.0			54.8
Debt repayments		(29.3	)		(43.9	)
Sales of investments		(28.9	)		(15.9	)
Reductions to CLO equity cost value(1)		(6.6	)		(12.8	)
Non-cash interest income due to PIK		0.2			8.0
Accretion of discounts on investments(2)		1.0			0.8
Net change in unrealized appreciation/(depreciation) on investments		(45.5	)		(69.5	)
Net realized losses on investments		(7.4	)		(1.7	)
Ending investment portfolio	$	295.3		$	364.8

____________

(1)      For the nine months ended September 30, 2020, reduction to cost value on our CLO equity investments represents the difference between distributions received, or entitled to be received for the nine months ended September 30, 2020, of approximately $18.1 million and the effective yield interest income of approximately $11.5 million. For the year ended December 31, 2019, reduction to cost value on our CLO equity investments represents the difference between distributions received, or entitled to be received, for the year ended December 31, 2019, of approximately $38.0 million and the effective yield interest income of approximately $25.2 million.

(2)      Includes rounding adjustment to reconcile ending investment portfolio as of September 30, 2020 and December 31, 2019.

During the nine months ended September30, 2020 we purchased approximately $47.0million in portfolio investments, which includes additional investments of approximately $18.3million in existing portfolio companies. During the year ended December31, 2019, we purchased approximately $54.8million in portfolio investments, which includes additional investments of approximately $14.3million in existing 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.

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For the nine months ended September30, 2020 and the year ended December31, 2019, we recognized proceeds from the sales of securities of approximately $28.9million and $15.9million, respectively. Also, during the nine months ended September30, 2020 and the year ended December31, 2019, we had debt repayments of approximately $29.3million and $43.9million, respectively.

As of September30, 2020, we had investments in debt securities of, or loans to, 22 portfolio companies, with a fair value of approximately $208.2million, and equity investments of approximately $87.0million. Our debt and preferred equity investments included approximately $0.2million in capitalized PIK interest during the nine months ended September30, 2020, which, as described in “— Overview” section above, is added to the carrying value of our investments, reduced by repayments of principal.

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

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

Three Months Ended ($ in millions)	Purchases of Investments		Debt Repayments		Reductions to CLO Equity Cost(1)		Sales of Investments
September 30, 2020	$	18.3	$	0.6	$	2.0	$	8.3
June 30, 2020		21.3		16.7		2.6		9.5
March 31, 2020		7.4		12.0		2.0		11.1
Total(2)	$	47.0	$	29.3	$	6.6	$	28.9
December 31, 2019	$	3.9	$	19.7	$	5.5	$	—
September 31, 2019		—		0.2		3.2		4.9
June 30, 2019		46.4		23.5		2.6		7.4
March 31, 2019		4.4		0.4		1.4		3.6
Total(2)	$	54.8	$	43.9	$	12.8	$	15.9

____________

(1)      Represents reductions to CLO equity cost value (representing distributions received, or entitled to be received, in excess of effective yield interest income).

(2)      Totals may not sum due to rounding.

The following table shows the fair value of our portfolio of investments by asset class as of September30, 2020 and December31, 2019:

	September 30, 2020				December 31, 2019
($ in millions)	Investments at Fair Value		Percentage of Total Portfolio		Investments at Fair Value		Percentage of Total Portfolio
Senior Secured Notes	$	198.5	67.2	%	$	240.5	65.9	%
CLO Debt		9.7	3.3	%		0.8	0.2	%
CLO Equity		87.0	29.5	%		120.6	33.1	%
Equity and Other Investments		—	—	%		2.8	0.8	%
Total(1)	$	295.3	100.0	%	$	364.8	100.0	%

____________

(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 September30, 2020, we held qualifying assets that represented 67.6% of our total assets. No additional non-qualifying assets were acquired during the periods when qualifying assets were less than 70.0% of the total assets.

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The following table shows our portfolio of investments by industry at fair value, as of September30, 2020 and December31, 2019:

	September 30, 2020				December 31, 2019
	Investments at Fair Value		Percentage of Fair Value		Investments at Fair Value		Percentage of Fair Value
	($ in millions)				($ in millions)
Structured finance(1)	$	96.7	32.9	%	$	121.4	33.3	%
Healthcare		55.3	18.7	%		59.6	16.3	%
Business services		54.4	18.4	%		59.3	16.3	%
Software		32.3	10.9	%		40.2	11.0	%
Logistics		12.7	4.3	%		12.7	3.5	%
Telecommunication services		11.6	3.9	%		14.5	4.0	%
Diversified insurance		7.4	2.5	%		9.9	2.7	%
Utilities		6.9	2.3	%		12.2	3.3	%
Plastics Manufacturing		6.8	2.3	%		—	—	%
Education		5.8	2.0	%		5.6	1.5	%
Aerospace and defense		5.3	1.8	%		5.4	1.5	%
IT consulting		—	—	%		2.8	0.8	%
Financial intermediaries		—	—	%		21.2	5.8	%
Total(2)	$	295.3	100.0	%	$	364.8	100.0	%

____________

(1)      Reflects our debt and equity investments in CLOs as of September 30, 2020, and December 31, 2019, respectively.

(2)      Totals may not sum due to rounding.

PORTFOLIO GRADING

We have adopted a credit grading system to monitor the quality of our debt investment portfolio. As of September30, 2020 and December31, 2019, our portfolio had a weighted average grade of 2.3 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 September30, 2020 and December31, 2019, our debt investment portfolio was graded as follows:

		September 30, 2020
Grade	Summary Description	Principal Value		Percentage of Total Portfolio		Portfolio at Fair Value		Percentage of Total Portfolio
		($ in millions)				($ in millions)
1	Company is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and such trend is expected to continue.	$	—	—	%	$	—	—	%
2	Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		185.9	73.1	%		166.4	79.8	%
3	Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		42.4	16.7	%		36.1	17.3	%
4	A loss of interest income has occurred or is expected to occur and, in most cases, the investment is placed on non-accrual status. Full repayment of the outstanding amount of OXSQ’s cost basis is expected for the specific tranche.		—	—	%		—	—	%
5	Full repayment of the outstanding amount of OXSQ’s cost basis is not expected for the specific tranche and the investment is placed on non-accrual status.		26.1	10.3	%		5.7	2.7	%
	Total(1)	$	254.4	100.0	%	$	208.2	100.0	%

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		December 31, 2019
Grade	Summary Description	Principal Value		Percentage of Debt Portfolio		Portfolio at Fair Value		Percentage of Debt Portfolio
		($ in millions)				($ in millions)
1	Company is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and such trend is expected to continue.	$	—	—	%	$	—	—	%
2	Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		206.6	75.3	%		200.5	83.1	%
3	Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.		42.5	15.5	%		35.1	14.5	%
4	A loss of interest income has occurred or is expected to occur and, in most cases, the investment is placed on non-accrual status. Full repayment of the outstanding amount of OXSQ’s cost basis is expected for the specific tranche.		10.2	3.7	%		3.6	1.5	%
5	Full repayment of the outstanding amount of OXSQ’s cost basis is not expected for the specific tranche and the investment is placed on non-accrual status.		15.0	5.5	%		2.3	0.9	%
	Total(1)	$	274.2	100.0	%	$	241.4	100.0	%

____________

(1)      Totals may not sum due to rounding.

We expect that a portion of our investments will be in the grades3, 4 or 5 categories from time to time, and, as such, we will be required to work with troubled portfolio companies to improve their business and protect our investment. The number and amount of investments included in grades3, 4 or 5 may fluctuate from period to period.

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RESULTS OF OPERATIONS

Set forth below is a comparison of our results of operations for the three and nine months ended September30, 2020 to the three and nine months ended September30, 2019.

Investment Income

Investment income for the three months ended September30, 2020 and September30, 2019 was approximately $8.2million and $14.1million, respectively. Investment income for the nine months ended September30, 2020 and September30, 2019 was approximately $27.3million and $49.2million, respectively. The following tables set forth the components of investment income for the three and nine months ended September30, 2020 and September30, 2019:

	Three Months Ended September 30, 2020		Three Months Ended September 30, 2019		Nine Months Ended September 30, 2020		Nine Months Ended September 30, 2019
Interest income
Stated interest income	$	4,019,584	$	6,812,244	$	13,583,930	$	20,698,677
Original issue discount and market discount income		402,314		235,999		985,420		595,409
Payment-in-kind interest income		63,775		61,466		187,080		209,838
Discount income derived from unscheduled remittances at par		6,974		4,969		263,854		191,611
Total interest income	$	4,492,647	$	7,114,678	$	15,020,284	$	21,695,535
Income from securitization vehicles	$	3,568,516	$	6,131,870	$	11,545,539	$	19,628,276
Dividend income – non-cash	$	—	$	673,706	$	—	$	7,009,592
Other income
Fee letters	$	162,782	$	99,444	$	489,291	$	300,574
Loan prepayment and bond call fees		—		—		200,000		160,000
All other fees		1,194		63,352		49,334		427,088
Total other income	$	163,976	$	162,796	$	738,625	$	887,662
Total investment income	$	8,225,139	$	14,083,050	$	27,304,448	$	49,221,065

The decrease in total investment income for the three and nine months ended September30, 2020 was primarily due to decreases in interest income, income from securitization vehicles and dividend income – non-cash for the three and nine months ended September30, 2020.

The total principal value of income producing debt investments as of September30, 2020 and September30, 2019 was approximately $228.3million and $279.4million, respectively. As of September30, 2020, our debt investments had a range of stated interest rates of 3.91% and 10.25% and maturity dates of between 8 and 130months compared to a range of stated interest rates of 5.71% to 12.81% and maturity dates between 20 and 142months as of September30, 2019. In addition, our total debt portfolio had a weighted average yield on debt investments of approximately 8.3% as of September30, 2020, compared to approximately 9.7% as of September30, 2019.

Income from securitization vehicles for the three months ended September30, 2020 and September30, 2019, was approximately $ 3.6million and $6.1million, respectively. Income from securitization vehicles for the nine months ended September30, 2020 and September30, 2019, was approximately $11.5million and $19.6million, respectively. The total principal outstanding on our investments in CLOs as of September30, 2020, and September30, 2019, was approximately $306.6million and $ 282.8million, respectively. The weighted average yield on CLO equity investments as of September30, 2020, and September30, 2019, was approximately 7.73% and 11.87%, respectively.

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Operating Expenses

Total expenses for the three months ended September30, 2020 and 2019, were approximately $4.0million and $5.1million, respectively. Total expenses for the nine months ended September30, 2020 and 2019, were approximately $12.3million and $19.1million, respectively. These amounts consisted of base management fees, interest expense, professional fees, compensation expense, general and administrative expenses, and incentive fees.

Expenses before incentive fees for the three months ended September30, 2020 were approximately $4.0million, which decreased by approximately $1.2million from the quarter ended September30, 2019. Expenses before incentive fees for the nine months ended September30, 2020, were approximately $12.3million, which decreased by approximately $3.3million from the nine months ended September30, 2019. The decrease in expenses before incentive fees for the three and nine months ended September30, 2020 is largely due to decreases in interest expense and base management fees.

The base management fee for the three months ended September30, 2020, was approximately $1.1million compared with $1.7million for the three months ended September30, 2019. The base management fee for the nine months ended September30, 2020, was approximately $3.4million, compared with $5.2million for the nine months ended September30, 2019. The decrease for the three and nine months ended September30, 2020 was due largely to a decrease in the weighted average gross assets.

Interest expense for the three months ended September30, 2020, was approximately $1.9million, which primarily relates to our 6.25% unsecured notes due 2026 (the “6.25% Unsecured Notes”) and 6.50% unsecured notes due 2024 (the “6.50% Unsecured Notes”), compared to interest expense of approximately $2.5million for the three months ended September30, 2019, which relates to our 6.25% Unsecured Notes, 6.50% Unsecured Notes and the credit facility entered into between Oxford Square Funding 2018, LLC, a special purpose vehicle and wholly-owned subsidiary of OXSQ, and Citibank, N.A. (the “Credit Facility”). Interest expense for the nine months ended September30, 2020, was approximately $6.0million, compared to interest expense of approximately $7.5million for the nine months ended September30, 2019. The decrease for the three and nine months ended September30, 2020 was a result of repayments of the Credit Facility over the respective periods.

Professional fees, consisting of legal, consulting, valuation, audit and tax fees, were approximately $0.3million for the three months ended September30, 2020, which is approximately equal to the amount for the three months ended September30, 2019. Professional fees were approximately $1.2million and $1.1million for the nine months ended September30, 2020 and 2019, respectively. The increase for the nine months ended September30, 2020 was primarily due to higher legal and audit fees.

Compensation expense was approximately $0.2million for the three months ended September30, 2020, which is approximately equal to the amount for the three months ended September30, 2019. Compensation expense for the nine months ended September30, 2020 was approximately $0.6million, which is approximately equal to the amount for the nine months ended September30, 2019. Compensation expense reflects the allocation of compensation expenses for the services of our Chief Financial Officer, accounting personnel, and other administrative support staff.

General and administrative expenses, consisting primarily of directors’ fees, insurance, listing fees, transfer agent and custodian fees, office supplies, facilities costs and other expenses, were approximately $0.4million and $0.3million for the three months ended September30, 2020 and 2019, respectively. General and administrative expenses for the nine months ended September30, 2020 were approximately $1.2million which is approximately equal to the amount for the nine months ended September30, 2019. Office supplies, facilities costs and other expenses are allocated to us under the terms of the Administration Agreement.

Incentive Fees

There was no net investment income incentive fee recorded for the three and nine months ended September30, 2020 and the three months ended September30, 2019 due to the Total Return Requirement as described in “Note 7. Related Party Transactions” in the notes to our consolidated financial statements. The net investment income incentive fee recorded for the nine months ended September30, 2019 was approximately $3.5million.

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 calendar quarter (see “Note 7. Related Party Transactions” in the notes to

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our consolidated financial statements). 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).

The capital gains incentive fee expense, as reported under GAAP, is calculated on the basis of net realized and unrealized gains and losses at the end of each period. The 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 our investment adviser in the event of a complete liquidation of our portfolio as of period end and the termination of the Investment Advisory Agreement on such date. For the three and nine months ended September30, 2020, and September30, 2019, 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 for the calendar year. No effect is given to gross unrealized appreciation in this calculation. For the three and nine months ended September30, 2020 and September30, 2019, such an accrual was not required under the terms of the Investment Advisory Agreement.

Realized and Unrealized Gains/Losses on Investments

For the three months ended September30, 2020 we recognized net realized losses on investments of approximately $4.4million, which primarily reflects losses from the sale of several CLO equity investments during the period.

For the three months ended September30, 2020, our net change in unrealized appreciation was approximately $20.9million, composed of $17.9million in gross unrealized appreciation, $3.1million in gross unrealized depreciation and approximately $6.1million relating to the reversal of prior period net unrealized depreciation as investment gains and losses were realized. This includes net unrealized appreciation of approximately $2.0million as a result of reductions to the cost value of our CLO equity investments under the effective yield accounting methodology, whereby the cost value of the respective investments are reduced by the excess of actual cash received and record date distributions to be received over the calculated income using the effective yield. The increase in net unrealized appreciation for the three months ended September30, 2020 was due primarily to net unrealized appreciation in our syndicated loan investments, partially offset by the net unrealized depreciation in our CLO equity investments.

The most significant components of the net change in unrealized appreciation and depreciation during the three months ended September30, 2020, were as follows (in millions):

Portfolio Company	Net Change in Unrealized Appreciation (Depreciation)
Ivy Hill Middle Market Credit Fund VII, Ltd.	$	4.5
ECI Software Solutions, Inc.		2.6
Octagon Investment Partners 38, Ltd.		1.7
Access CIG, LLC		1.5
Global Tel Link Corp.		(1.2	)
Net all other		11.8
Total	$	20.9

For the nine months ended September30, 2020, we recognized net realized losses on investments of approximately $7.4million, which primarily reflects the net losses from the sale of several senior secured notes and CLO equity investments during the period.

For the nine months ended September30, 2020, our net change in unrealized depreciation was approximately $45.5million, composed of $11.0million in gross unrealized appreciation, $56.5million in gross unrealized depreciation and approximately $4.5million relating to the reversal of prior period net unrealized depreciation as investment gains and losses were realized. This includes net unrealized appreciation of approximately $6.6million as a result of reductions to the cost value of our CLO equity investments under the effective yield accounting

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methodology, whereby the cost value of the respective investments are reduced by the excess of actual cash received and record date distributions to be received over the calculated income using the effective yield.

The most significant components of the net change in unrealized appreciation and depreciation during the nine months ended September30, 2020 were as follows (in millions):

Portfolio Company	Net Change in Unrealized Appreciation (Depreciation)
Telos CLO 2014-5, Ltd.	$	(6.3	)
Sound Point CLO XVI, Ltd.		(6.1	)
Nassau 2019-I, Ltd.		(5.3	)
Global Tel Link Corp.		(2.9	)
Vibrant CLO V, Ltd.		(2.8	)
Zais CLO 6, Ltd.		(2.8	)
Cedar Funding II CLO, Ltd.		(2.8	)
Net all other		(16.5	)
Total	$	(45.5	)

Net Increase in Net Assets Resulting from Net Investment Income

Net investment income for the three months ended September30, 2020 and September30, 2019 was approximately $4.3million and $8.9million, respectively. The net investment income for the nine months ended September30, 2020 was approximately $15.0million, compared to $30.1million for the nine months ended September30, 2019. The decrease in total investment income was partially offset by a decrease in total expenses over the periods.

For the three and nine months ended September30, 2020, the net increase in net assets resulting from net investment income per common share was $0.09 and $0.30 (basic and diluted), respectively, compared to the net increase in net assets resulting from net investment income per share of $0.19 and $0.63 (basic and diluted) for the three and nine months ended September30, 2019, respectively. The per share decrease is due to lower net investment income for the three and nine months ended September30, 2020.

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

Net increase in net assets resulting from operations for the three months ended September30, 2020 was approximately $20.8million compared with a net decrease in net assets resulting from operations of approximately $33.1million for the three months ended September30, 2019. For the nine months ended September30, 2020, the net decrease in net assets resulting from operations was approximately $38.0million compared with a net decrease in net assets resulting from operations of approximately $27.9million for the nine months ended September30, 2019.

For the three months ended September30, 2020, the net increase in net assets resulting from operations per common share was $0.42 (basic and diluted), compared to a net decrease in net assets resulting from operations per share of $0.69 (basic and diluted) for the three months ended September30, 2019. For the nine months ended September30, 2020 the net decrease in net assets resulting from operations per common share was $0.77 (basic and diluted), compared to a net decrease in net assets resulting from operations per share of $0.59 (basic and diluted) for the nine months ended September30, 2019.

LIQUIDITY AND CAPITAL RESOURCES

As of September30, 2020, cash equivalents and restricted cash were approximately $2.2million as compared to approximately $16.5million as of December31, 2019. For the nine months ended September30, 2020, net cash provided by operating activities for the period, consisting primarily of the items described in “— Results of Operations,” was approximately $32.9million, largely reflecting proceeds from principal repayments and sales of investments of approximately $58.1million partially offset by purchases of investments of $46.9million. For the nine months ended September30, 2020, net cash used in financing activities was approximately $47.2million, reflecting the payment of distributions and the repayment of the Credit Facility, which was partially offset by the issuance of common stock.

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Contractual Obligations

A summary of our significant contractual payment obligations as of September30, 2020, 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
	$	109.2	$	—	$	—	$	64.4	$	44.8

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

Off-Balance Sheet Arrangements

In the normal course of business, we enter into a variety of undertakings containing a variety of warranties and indemnifications that may expose us to some risk of loss. The risk of future loss arising from such undertakings, while not quantifiable, is expected to be remote. As of September30, 2020, we had one commitment to purchase an additional debt investment of approximately $14.6million.

On October18, 2019, we entered into a $10million repurchase transaction facility (the “Repo Facility”) with Nomura Securities International, Inc. (“Nomura”). Pursuant to the Master Repurchase Agreement (“MRA”) and a transaction facility confirmation, we may sell securities to Nomura from time to time with a corresponding repurchase obligation at an agreed-upon price 30 to 60 days after the sale date (“Reverse Repo”). The Repo Facility has a funding cost of 1-month LIBOR plus 2.05% per annum for each Reverse Repo transaction and is subject to a facility fee of 0.85% per annum on the full $10million facility amount. The Repo Facility expired without extension by us on October18, 2020. We account for these Reverse Repo transactions as secured financings for financial reporting purposes in accordance with GAAP. As of September30, 2020, there was no outstanding principal, or securities sold under the Repo Facility.

Share Issuance Program

On August1, 2019, we entered into an Equity Distribution Agreement with Ladenburg Thalmann & Co. through which we may offer for sale, from time to time, up to $150.0million of the Company’s common stock through an At-the-Market (“ATM”) offering. For the three months ended September30, 2020, we did not sell any shares of common stock pursuant to the ATM offering. For the nine months ended September30, 2020, we sold a total of 1,098,277shares of common stock pursuant to the ATM offering. The total amount of capital raised net of underwriting fees and offering costs was approximately $5.8million during the nine months ended September30, 2020.

Borrowings

In accordance with the 1940 Act, with certain limited exceptions, as of September30, 2020, we were only allowed to borrow amounts such that our asset coverage, as defined in the 1940 Act, was at least 150%, immediately after such borrowing. As of September30, 2020 and December31, 2019, our asset coverage for borrowed amounts was 272.7% and 278.6%, respectively.

On April6, 2018, the Board, including a “required majority” (as such term is defined in Section 57(o) of the 1940 Act) of the Board, approved the modified asset coverage requirements set forth in Section 61(a)(2) of the 1940 Act, as amended by the Small Business Credit Availability Act. As a result, the Company’s asset coverage requirements for senior securities was changed from 200% to 150%, effective as of April6, 2019.

The weighted average stated interest rate and weighted average maturity on all of the Company’s debt outstanding as of September30, 2020, were 6.40% and 4.4 years, respectively, and as of December31, 2019, were 5.94% and 4.2 years, respectively.

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On April12, 2017, we completed an underwritten public offering of approximately $64.4million in aggregate principal amount of the 6.50% Unsecured Notes. The 6.50% Unsecured Notes will mature on March30, 2024, and may be redeemed in whole or in part at any time or from time to time at the Company’s option on or after March30, 2020. The 6.50% Unsecured Notes bear interest at a rate of 6.50% per year payable quarterly on March30, June30, September30, and December 30 of each year. The 6.50% Unsecured Notes are listed on the NASDAQ Global Select Market under the trading symbol “OXSQL.”

On June21, 2018, OXSQ Funding, a special purpose vehicle and wholly-owned subsidiary of OXSQ, entered into the Credit Facility with Citibank, N.A. Subject to certain exceptions, pricing under the Credit Facility was based on the London Interbank Offered Rate for an interest period equal to three months plus a spread of 2.25% per annum payable quarterly on March21, June21, September 21 and December 21. Pursuant to the terms of the credit agreement governing the Credit Facility, OXSQ Funding borrowed approximately $95.2million. The Credit Facility had a mandatory amortization schedule such that 15.0% of the principal amount outstanding as of June21, 2018 was due and payable on June21, 2019. On each payment date occurring thereafter, an additional 6.25% of the remaining principal amount outstanding was due and payable. On October12, 2018, OXSQ Funding amended the Credit Facility with Citibank, N.A., and an additional borrowing amount of approximately $37.3million was made under the same terms as the existing credit agreement. We made partial principal repayments under the Credit Facility for the year ended December31, 2019 and December31, 2018 of approximately $57.6million and $46.8million, respectively. We repaid the remaining outstanding principal on March24, 2020 of approximately $17.1million and did not extend the maturity of the Credit Facility.

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

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

Distributions

In order to qualify for tax treatment as a RIC, and to avoid corporate level tax on the income we distribute to our stockholders, we are required, under Subchapter M of the Code, to distribute at least 90% of our ordinary income and short-term capital gains to our stockholders on an annual basis.

To the extent our taxable earnings fall below the total amount of our distributions for that fiscal year, a portion of those distributions may be deemed a return of capital to our stockholders. Thus, the source of a distribution to our stockholders may be the original capital invested by the stockholder rather than our taxable ordinary income or capital gains. Stockholders should read any written disclosure accompanying a distribution payment carefully and should not assume that the source of any distribution is taxable ordinary income or capital gains. The final determination of the nature of our distributions can only be made upon the filing of our tax return. We have until October15, 2021, to file our federal income tax return for the year ended December31, 2020.

For the quarter ended September30, 2020, management estimated that a tax return of capital occurred of approximately $0.02 per share. We may not be able to achieve operating results that will allow us to make distributions at a specific level or to increase the amount of these distributions from time to time. In addition, we may be limited in our ability to make distributions due to the asset coverage requirements applicable to us as a BDC under the 1940 Act. If we do not distribute a certain percentage of our income annually, we will suffer adverse tax consequences, including possible loss of favorable regulated investment company tax treatment. We cannot assure stockholders that they will receive any distributions.

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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 2019:

Date Declared(3)	Record Date	Payment Date	Total Distributions		GAAP Net Investment Income			Distributions in excess of/(less than) GAAP Net Investment Income
Fiscal 2021(1)
October 22, 2020	March 17, 2021	March 31, 2021	$	0.035	$	N/A		$	—
October 22, 2020	February 12, 2021	February 26, 2021		0.035		N/A			—
October 22, 2020	January 15, 2021	January 29, 2021		0.035		N/A			—
Total (First Quarter 2021)				0.105		—	​(5)		—
Fiscal 2020(1)
September 11, 2020	December 16, 2020	December 31, 2020	$	0.035	$	N/A		$	—
September 11, 2020	November 13, 2020	November 30, 2020		0.035		N/A			—
September 11, 2020	October 16, 2020	October 30, 2020		0.035		N/A			—
Total (Fourth Quarter 2020)				0.105		—	​(5)		—
June 1, 2020	September 16, 2020	September 30, 2020	$	0.035	$	N/A		$	—
June 1, 2020	August 17, 2020	August 31, 2020		0.035		N/A			—
June 1, 2020	July 17, 2020	July 31, 2020		0.035		N/A			—
Total (Third Quarter 2020)				0.105		0.09			0.01
February 24, 2020	June 15, 2020	June 30, 2020		0.067		N/A			—
February 24, 2020	May 14, 2020	May 29, 2020		0.067		N/A			—
February 24, 2020	April 15, 2020	April 30, 2020		0.067		N/A			—
Total (Second Quarter 2020)				0.201		0.09			0.11
October 25, 2019	March 17, 2020	March 31, 2020		0.067		N/A			—
October 25, 2019	February 14, 2020	February 28, 2020		0.067		N/A			—
October 25, 2019	January 17, 2020	January 31, 2020		0.067		N/A			—
Total (First Quarter 2020)				0.201		0.13			0.07
Fiscal 2019(2)
July 25, 2019	December 18, 2019	December 31, 2019	$	0.067	$	N/A		$	—
July 25, 2019	November 15, 2019	November 29, 2019		0.067		N/A			—
July 25, 2019	October 21, 2019	October 31, 2019		0.067		N/A			—
Total (Fourth Quarter 2019)				0.201		0.18			0.02
April 23, 2019	September 23, 2019	September 30, 2019		0.067		N/A			—
April 23, 2019	August 23, 2019	August 30, 2019		0.067		N/A			—
April 23, 2019	July 24, 2019	July 31, 2019		0.067		N/A			—
Total (Third Quarter 2019)				0.201		0.19			0.01
February 22, 2019	June 21, 2019	June 28, 2019		0.067		N/A			—
February 22, 2019	May 24, 2019	May 31, 2019		0.067		N/A			—
February 22, 2019	April 23, 2019	April 30, 2019		0.067		N/A			—
Total (Second Quarter 2019)				0.201		0.27			(0.07	)
February 22, 2019	March 15, 2019	March 29, 2019		0.200		0.18			0.02
Total (First Quarter 2019)				0.200		0.18			0.02
Total (2019)			$	0.803	$	0.81	​(4)	$	(0.01	)(4)

____________

(1)      The tax characterization of cash distributions for the years ending December 31, 2020 and December 31, 2021 will not be known until the tax return for such years are finalized. For the years ending December 31, 2020 and December 31, 2021,

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____________

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 2020 and 2021 will be made after year-end and the amounts represented may be materially different from the amounts disclosed in the final Form 1099-DIV notice. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Company’s investment performance and may be subject to change based on tax regulations.

(2)      Cash distributions for the year ended December 31, 2019, included a return of capital of approximately $0.11 per share for tax purposes.

(3)      For the months ended April 30, 2019 through December 31, 2020, the Board declared monthly distributions in lieu of quarterly distributions.

(4)      Totals may not sum due to rounding.

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

Related Parties

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, Charles M. Royce, a member of our Board of Directors, 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 Bridge Management, LLC, the investment adviser to Oxford Bridge, LLC and Oxford Bridge II, LLC (collectively, the “Oxford Bridge Funds”), and at Oxford Gate Management, LLC, the investment adviser to Oxford Gate Master Fund, LLC, Oxford Gate, LLC and Oxford Gate (Bermuda), LLC (collectively, the “Oxford Gate Funds”). Oxford Funds is the managing member of both Oxford Bridge Management, LLC and Oxford Gate Management, LLC. In addition, Bruce L. Rubin serves as the Chief Financial Officer and Secretary, and Gerald Cummins serves as the Chief Compliance Officer, respectively, of both Oxford Bridge Management, LLC and Oxford Gate Management, LLC.

Messrs. Cohen and Rosenthal currently serve as Chief Executive Officer and President, respectively, of Oxford Lane Capital Corp., a non-diversified closed-end 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.

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., the Oxford Bridge Funds and the Oxford Gate Funds, respectively, on the other hand.

Oxford Square Management, Oxford Lane Management, LLC, Oxford Bridge 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., the Oxford Bridge Funds and the Oxford Gate Funds. Where investments are suitable for more than one entity, the allocation policy generally provides that, depending on size and subject to current and anticipated cash availability, the absolute size of the investment as well as its relative size compared to the total assets of each entity, current and anticipated weighted average costs of capital, among other factors, an investment amount will be determined by the adviser to each entity. If the investment opportunity is sufficient for each entity to receive its investment amount, then each entity receives the investment amount; otherwise, the investment amount is reduced pro rata. On June14, 2017, the Securities and Exchange Commission issued an order permitting the Company and certain of its affiliates to complete negotiated co-investment transactions in portfolio companies, subject to certain conditions (the “Order”). Subject to satisfaction of certain conditions to the Order, the Company and certain of its affiliates are now permitted, together with any future BDCs, registered closed-end funds and certain private funds, each of whose investment adviser is the Company’s investment adviser or an investment adviser controlling, controlled by, or under common control with the Company’s investment adviser, to co-invest in negotiated investment opportunities where doing so would otherwise be prohibited under the 1940 Act, providing the Company’s stockholders with access to a broader array of investment opportunities. Pursuant to

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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, among others, our senior officers, including our Chief Executive Officer and Chief Financial Officer, as well as all of our officers, directors and employees. Our Code of Business Conduct and Ethics requires that all employees and directors avoid any conflict, or the appearance of a conflict, between an individual’s personal interests and our interests. Pursuant to our Code of Business Conduct and Ethics, each employee and director must disclose any conflicts of interest, or actions or relationships that might give rise to a conflict. Our Audit Committee is charged with approving any waivers under our Code of Business Conduct and Ethics. As required by the NASDAQ Global Select Market corporate governance listing standards, the Audit Committee of our Board is also required to review and approve any transactions with related parties (as such term is defined in Item 404 of Regulation S-K).

Information concerning related party transactions is included in the consolidated financial statements and related notes, appearing elsewhere in this quarterly report on Form 10-Q.

RECENT DEVELOPMENTS

The following distributions payable to stockholders are shown below:

Per Share Distribution Amount Declared	Record Dates	Payable Dates	Date Declared
$    0.035	October 16, 2020	October 30, 2020	September 11, 2020
$    0.035	November 13, 2020	November 30, 2020	September 11, 2020
$    0.035	December 16, 2020	December 31, 2020	September 11, 2020
$    0.035	January 15, 2021	January 29, 2021	October 22, 2020
$    0.035	February 12, 2021	February 26, 2021	October 22, 2020
$    0.035	March 17, 2021	March 31, 2021	October 22, 2020

On October18, 2020, the Repo Facility expired and was not extended.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

We are subject to financial market risks, including changes in interest rates. In addition, U.S. and global capital markets and credit markets have experienced a higher level of stress due to the global COVID-19 pandemic, which has resulted in an increase in the level of volatility across such markets and a general decline in value of the securities that we hold. As of September30, 2020, all of the debt investments in our portfolio were at variable rates. As of September30, 2020, we had two debt investments on non-accrual status. The variable rates are based upon the five-year Treasury note, the Prime rate or LIBOR, and, in the case of our bilateral investments, are generally reset annually, whereas our non-bilateral investments generally reset quarterly. We expect that future debt investments will generally be made at variable rates. Many of the variable rate investments contain floors. Our net investment income is affected by fluctuations in various interest rates, including LIBOR and prime rates. In connection with the COVID-19 pandemic, the U.S. Federal Reserve and other central banks have reduced certain interest rates and LIBOR has decreased. In a prolonged low interest rate environment, including a reduction of LIBOR to zero, the

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difference between the total interest income earned on interest earning assets and the total interest expense incurred on interest bearing liabilities may be compressed, reducing our net interest income and potentially adversely affecting our operating results.

Based on our consolidated statements of assets and liabilities as of September30, 2020, the following table shows the annualized impact on investment income of hypothetical base rate changes in interest rates for our settled investments (considering interest rate floors for floating rate instruments), excluding CLO equity investments. The base interest rate case assumes the rates on our portfolio investments remain unchanged from the actual effective interest rates as of September30, 2020. These hypothetical calculations are based on a model of the investments in our portfolio, held as of September30, 2020, and are only adjusted for assumed changes in the underlying base interest rates. Although management believes that this analysis is indicative of our existing interest rate sensitivity, it does not adjust for changes in the credit quality, size and composition of our portfolio, and other business developments, including a change in the level of our borrowings, that could affect the net increase (or decrease) in net assets resulting from operations. Accordingly, no assurances can be given that actual results would not differ materially from the results under this hypothetical analysis.

Hypothetical Change in Interest Rates	Estimated Percentage change in Investment Income
Up 100 basis points	6.9	%
Up 200 basis points	13.9	%
Up 300 basis points	20.8	%
Down 25 basis points	(0.8	)%
Down 50 basis points	(0.8	)%
Down 100 basis points	(0.8	)%

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.

ITEM 4. CONTROLS AND PROCEDURES.

(a) Evaluation of Disclosure Controls and Procedures

As of September30, 2020 (the end of the period covered by this report), we, including our Chief Executive Officer and Chief Financial Officer, evaluated the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13a-15(e) of the Securities Exchange Act of 1934, as amended). Based on that evaluation, our management, including the Chief Executive Officer and Chief Financial Officer, concluded that our disclosure controls and procedures were effective and provided reasonable assurance that information required to be disclosed in our periodic SEC filings is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure. However, in evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of such possible controls and procedures.

(b) Changes in Internal Control Over Financial Reporting

There have been no changes in the Company’s internal control over financial reporting (as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934, as amended) that occurred during the quarter ended September30, 2020, 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 December31, 2019. 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 nine months ended September30, 2020, to the risk factors discussed in Item 1A. Risk Factors in our Annual Report on Form 10-K for the year ended December31, 2019.

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

Periods of market volatility have occurred and could continue to occur in response to pandemics or other events outside of our control. These types of events have adversely affected and could continue to adversely affect operating results for us and for our portfolio companies. For example, in December 2019, a novel strain of coronavirus surfaced in China and has since spread to other countries, including the United States, which has resulted in restrictions on travel and the temporary closure of many corporate offices, retail stores, and manufacturing facilities and factories in the affected jurisdictions. While several countries, as well as certain states in the United States, have begun to lift public health restrictions with the view to reopening their economies, recurring COVID-19 outbreaks have led to the re-introduction of such restrictions in certain states in the United States and globally and could continue to lead to the re-introduction of such restrictions elsewhere. Additionally, the absence of viable treatment options or a vaccine could lead people to continue to self-isolate and not participate in the economy at pre-pandemic levels for a prolonged period of time. Even after the COVID-19 pandemic subsides, the U.S. economy and most other major global economies may continue to experience a recession, and we anticipate our business and operations could be materially adversely affected by a prolonged recession in the United States and other major markets.

In addition to these developments having adverse consequences for us, our portfolio companies and the portfolio companies held within our CLOs have been, and could continue to be, adversely impacted, including through quarantine measures and travel restrictions imposed on its personnel or service providers based or temporarily located in affected countries, or any related health issues of such personnel or service providers. As the potential impact of COVID-19 is difficult to predict, the extent to which COVID-19 could negatively affect our and our portfolio companies’ operating results or the duration of any potential business or supply-chain disruption, is uncertain. Any potential impact to our results of operations will depend to a large extent on future developments and new information that could emerge regarding the duration and severity of COVID-19 and the actions taken by authorities and other entities to contain COVID-19 or treat its impact, all of which are beyond our control. These potential impacts, while uncertain, could adversely affect our and our portfolio companies’ operating results.

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

The impact of COVID- 19 has led to significant volatility and declines in the global public equity markets and it is uncertain how long this volatility will continue. Health advisors warn that recurring COVID-19 outbreaks will continue if reopening is pursued too soon or in the wrong manner, which may lead to the re-introduction or continuation of certain public health restrictions (such as instituting quarantines, prohibitions on travel and the closure of offices, businesses, schools, retail stores and other public venues). As COVID-19 continues to spread, the potential impacts, including a global, regional or other economic recession, are increasingly uncertain and difficult to assess. Some economists and major investment banks have expressed concern that the continued spread of the virus globally could lead to a world-wide economic downturn.

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Disruptions in the capital markets have increased the spread between the yields realized on risk-free and higher risk securities, resulting in illiquidity in parts of the capital markets. These and future market disruptions and/or illiquidity would be expected to have an adverse effect on our business, financial condition, results of operations and cash flows. Unfavorable economic conditions also would be expected to increase our funding costs, limit our access to the capital markets or result in a decision by lenders not to extend credit to us. These events have limited and could continue to limit our investment originations, limit our ability to grow and have a material negative impact on our operating results and the fair values of our debt and equity investments.

Additionally, the recent disruption in economic activity caused by the COVID-19 pandemic has had, and may continue to have, a negative effect on the potential for liquidity events involving our investments. The illiquidity of our investments may make it difficult for us to sell such investments to access capital if required, and as a result, we could realize significantly less than the value at which we have recorded our investments if we were required to sell them for liquidity purposes. An inability to raise or access capital, and any required sale of all or a portion of our investments as a result, could have a material adverse effect on our business, financial condition or results of operations.

Any public health emergency, including the COVID-19 pandemic or any outbreak of other existing or new epidemic diseases, or the threat thereof, and the resulting financial and economic market uncertainty could have a significant adverse impact on the fair value of our investments and our portfolio companies.

Any public health emergency, including the COVID-19 pandemic, may cause the valuation of our investments to differ materially from the values that we may ultimately realize. Our valuations, and particularly valuations of private investments and private companies, are inherently uncertain, may fluctuate over short periods of time and are often based on estimates, comparisons and qualitative evaluations of private information that may not show the complete impact of the COVID-19 pandemic and the resulting measures taken in response thereto. As a result, our valuations may not show the complete or continuing impact of the COVID-19 pandemic and the resulting measures taken in response thereto. Any public health emergency, including the COVID-19 pandemic or any outbreak of other existing or new epidemic diseases, or the threat thereof, and the resulting financial and economic market uncertainty could have a significant adverse impact on us and the fair value of our investments and our portfolio companies.

The current period of capital markets disruption and economic uncertainty may make it difficult to extend the maturity of, or refinance, our existing indebtedness or obtain new indebtedness and any failure to do so could have a material adverse effect on our business, financial condition or results of operations.

Current market conditions may make it difficult to extend the maturity of or refinance our existing indebtedness or obtain new indebtedness with similar terms and any failure to do so could have a material adverse effect on our business. The debt capital that will be available to us in the future, if at all, may be at a higher cost and on less favorable terms and conditions than what we currently experience, including being at a higher cost in rising rate environments. If we are unable to raise or refinance debt, then our equity investors may not benefit from the potential for increased returns on equity resulting from leverage and we may be limited in our ability to make new commitments or to fund existing commitments to our portfolio companies. An inability to extend the maturity of, or refinance, our existing indebtedness or obtain new indebtedness could have a material adverse effect on our business, financial condition or results of operations.

Political, social and economic uncertainty, including uncertainty related to the COVID-19 pandemic, creates and exacerbates risks.

Although it is impossible to predict the precise nature and consequences of public health emergencies such as the outbreak of COVID-19, or of any political or policy decisions and regulatory changes occasioned by emerging events or uncertainty on applicable laws or regulations that impact us, our portfolio companies and our investments, it is clear that these types of events are impacting and will, for at least some time, continue to impact us and our portfolio companies and, in many instances, the impact will be adverse and profound. For example, middle-market companies in which we invest may be significantly impacted by these emerging events and the uncertainty caused by these events. The effects of a public health emergency may materially and adversely impact (i) the value and performance of us and our portfolio companies, (ii) the ability of our borrowers to continue to meet loan covenants or repay loans provided by us on a timely basis or at all, which may require us to restructure our investments or write down the value of our investments, (iii) our ability to repay debt obligations, on a timely basis or at all, or (iv) our ability to source, manage and divest investments and achieve our investment objectives, all of which could

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result in significant losses to us. We will also be negatively affected if the operations and effectiveness of Oxford Square Management or a portfolio company (or any of the key personnel or service providers of the foregoing) is compromised or if necessary or beneficial systems and processes are disrupted.

If the economy is unable to substantially reopen, and high levels of unemployment continue for an extended period of time, loan delinquencies, loan non-accruals, problem assets, and bankruptcies may increase. In addition, collateral for our loans may decline in value, which could cause loan losses to increase and the net worth and liquidity of loan guarantors could decline, impairing their ability to honor commitments to us. An increase in loan delinquencies and non-accruals or a decrease in loan collateral and guarantor net worth could result in increased costs and reduced income which would have a material adverse effect on our business, financial condition or results of operations.

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

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

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

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

Uncertainty relating to the LIBOR calculation process may adversely affect the value of our portfolio of the LIBOR-indexed, floating-rate debt securities.

LIBOR, the London Interbank Offered Rate, is the basic rate of interest used in lending transactions between banks on the London interbank market and is widely used as a reference for setting the interest rate on loans globally. We typically use LIBOR as a reference rate in floating-rate loans we extend to portfolio companies such that the interest due to us pursuant to a term loan extended to a portfolio company is calculated using LIBOR. The terms of our debt investments may include minimum interest rate floors which are calculated based on LIBOR.

Concerns have been publicized that some of the member banks surveyed by the British Bankers’ Association or the BBA in connection with the calculation of LIBOR across a range of maturities and currencies may have been under-reporting or otherwise manipulating the inter-bank lending rate applicable to them in order to profit on their derivatives positions or to avoid an appearance of capital insufficiency or adverse reputational or other consequences that may have resulted from reporting inter-bank lending rates higher than those they actually submitted. A number of BBA member banks have entered into settlements with their regulators and law enforcement agencies with respect to alleged manipulation of LIBOR, and investigations by regulators and governmental authorities in various jurisdictions are ongoing.

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On July27, 2017, the United Kingdom’s Financial Conduct Authority, which regulates LIBOR, announced that it intends to phase out LIBOR by the end of 2021. It is unclear if at that time LIBOR will cease to exist or if new methods of calculating LIBOR will be established such that it continues to exist after 2021. The future of LIBOR at this time is uncertain.

Additionally, on June12, 2019 the Staff of the SEC’s Division of Corporate Finance, Division of Investment Management, Division of Trading and Markets, and Office of the Chief Accountant issued a statement about the potentially significant effects on financial markets and market participants when LIBOR is discontinued in 2021 and no longer available as a reference benchmark rate. The Staff encouraged all market participants to identify contracts that reference LIBOR and begin transitions to alternative rates. On December30, 2019, the SEC’s Chairman, Division of Corporate Finance and Office of the Chief Accountant issued a statement to encourage audit committees in particular to understand management’s plans to identify and address the risks associated with the elimination of LIBOR, and, specifically, the impact on accounting and financial reporting and any related issues associated with financial products and contracts that reference LIBOR, as the risks associated with the discontinuation of LIBOR and transition to an alternative reference rate will be exacerbated if the work is not completed in a timely manner.

The elimination of LIBOR or any other changes or reforms to the determination or supervision of LIBOR could have an adverse impact on the market for or value of any LIBOR-linked securities, loans, and other financial obligations or extensions of credit held by or due to us, or on our overall financial condition or results of operations. If LIBOR ceases to exist, we may need to renegotiate the credit agreements extending beyond 2021 with our portfolio companies that utilize LIBOR as a factor in determining the interest rate to replace LIBOR with the new standard that is established. In addition, the cessation of LIBOR could:

•        Adversely impact the pricing, liquidity, value of, return on and trading for a broad array of financial products, including any LIBOR-linked securities, loans and derivatives that are included in our assets and liabilities;

•        Require extensive changes to documentation that governs or references LIBOR or LIBOR-based products, including, for example, pursuant to time-consuming renegotiations of existing documentation to modify the terms of outstanding investments;

•        Result in inquiries or other actions from regulators in respect of our preparation and readiness for the replacement of LIBOR with one or more alternative reference rates;

•        Result in disputes, litigation or other actions with portfolio companies, or other counterparties, regarding the interpretation and enforceability of provisions in our LIBOR-based investments, such as fallback language or other related provisions, including, in the case of fallbacks to the alternative reference rates, any economic, legal, operational or other impact resulting from the fundamental differences between LIBOR and the various alternative reference rates;

•        Require the transition and/or development of appropriate systems and analytics to effectively transition our risk management processes from LIBOR-based products to those based on one or more alternative reference rates, which may prove challenging given the limited history of the proposed alternative reference rates; and

•        Cause us to incur additional costs in relation to any of the above factors.

There is no guarantee that a transition from LIBOR to an alternative will not result in financial market disruptions, significant increases in benchmark rates, or borrowing costs to borrowers, any of which could have a material adverse effect on our business, result of operations, financial condition, and unit price.

To identify a successor rate for U.S. dollar LIBOR, the Alternative Reference Rates Committee (“ARRC”), a U.S.-based group convened by the Federal Reserve Board and the Federal Reserve Bank of New York, was formed. The ARRC has identified the Secured Overnight Financing Rate (“SOFR”) as its preferred alternative rate for LIBOR. SOFR is a measure of the cost of borrowing cash overnight, collateralized by U.S. Treasury securities, and is based on directly observable U.S. Treasury-backed repurchase transactions. The Federal Reserve Bank of New York began publishing SOFR in April 2018. Whether or not SOFR attains market traction as a LIBOR replacement remains a question and the future of LIBOR at this time is uncertain, including whether the COVID-19 pandemic will have further effect on LIBOR transition plans. In addition, on March25, 2020, the U.K. Financial Conduct Authority reaffirmed the central assumption that firms cannot rely on LIBOR being published after the end of 2021.

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However, the outbreak of COVID-19 may adversely impact the timing of many firms’ transition planning, and we continue to assess the potential impact of the COVID-19 outbreak on our transition plans. Although SOFR appears to be the preferred replacement rate for U.S. dollar LIBOR, at this time, it is not possible to predict the effect of any such changes, any establishment of alternative reference rates, whether the COVID-19 outbreak will have further effect on LIBOR transition timelines or plans, or other reforms to LIBOR that may be enacted in the United States, United Kingdom or elsewhere.

Adverse developments in the credit markets may impair our ability to secure debt financing.

In past economic downturns, such as the financial crisis in the United States that began in mid-2007 and during other times of extreme market volatility, many commercial banks and other financial institutions stopped lending or significantly curtailed their lending activity. In addition, in an effort to stem losses and reduce their exposure to segments of the economy deemed to be high risk, some financial institutions limited routine refinancing and loan modification transactions and even reviewed the terms of existing facilities to identify bases for accelerating the maturity of existing lending facilities. If these conditions recur, for example as a result of the COVID-19 pandemic, it may be difficult for us to obtain desired financing to finance the growth of our investments on acceptable economic terms, or at all.

So far, the COVID-19 pandemic has resulted in, and until fully resolved is likely to continue to result in, among other things, increased draws by borrowers on revolving lines of credit and increased requests by borrowers for amendments, modifications and waivers of their credit agreements to avoid default or change payment terms, increased defaults by such borrowers and/or increased difficulty in obtaining refinancing at the maturity dates of their loans. In addition, the duration and effectiveness of responsive measures implemented by governments and central banks cannot be predicted. The commencement, continuation, or cessation of government and central bank policies and economic stimulus programs, including changes in monetary policy involving interest rate adjustments or governmental policies, may contribute to the development of or result in an increase in market volatility, illiquidity and other adverse effects that could negatively impact the credit markets and the Company.

If we are unable to consummate credit facilities on commercially reasonable terms, our liquidity may be reduced significantly. If we are unable to repay amounts outstanding under any facility we may enter into and are declared in default or are unable to renew or refinance any such facility, it would limit our ability to initiate significant originations or to operate our business in the normal course. These situations may arise due to circumstances that we may be unable to control, such as inaccessibility of the credit markets, a severe decline in the value of the U.S. dollar, a further economic downturn or an operational problem that affects third parties or us, and could materially damage our business. Moreover, we are unable to predict when economic and market conditions may become more favorable. Even if such conditions improve broadly and significantly over the long term, adverse conditions in particular sectors of the financial markets could adversely impact our business.

There is uncertainty surrounding potential legal, regulatory and policy changes by new presidential administrations in the United States that may directly affect financial institutions and the global economy.

The presidential election will occur on November3, 2020. Changes in federal policy, including tax policies, and at regulatory agencies occur over time through policy and personnel changes following elections, which lead to changes involving the level of oversight and focus on the financial services industry or the tax rates paid by corporate entities. The nature, timing and economic and political effects of potential changes to the current legal and regulatory framework affecting financial institutions remain highly uncertain. Uncertainty surrounding future changes may adversely affect our operating environment and therefore our business, financial condition, results of operations and growth prospects.

Historical data regarding our business, results of operations, financial condition and liquidity does not reflect the impact of the COVID-19 pandemic and related containment measures and therefore does not purport to be representative of our future performance.

The information included in this Quarterly Report on Form 10-Q and our other reports filed with the SEC includes information regarding our business, results of operations, financial condition and liquidity as of dates and for periods before the impact of the COVID 19 pandemic and related containment measures (including quarantines and governmental orders requiring the closure of certain businesses, limiting travel, requiring that individuals stay at home or shelter in place and closing borders). This historical information therefore does not reflect the adverse

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impacts of the COVID-19 pandemic and the related containment measures. Accordingly, investors are cautioned not to unduly rely on historical information regarding our business, results of operations, financial condition or liquidity, as that data does not reflect the adverse impact of the COVID-19 pandemic and therefore does not purport to be representative of the future results of operations, financial condition, liquidity or other financial or operating results of us, or our business.

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

Sales of Unregistered Equity Securities

During the three months ended September30, 2020 and 2019, we did not engage in unregistered sales of equity securities and we did not issue shares of common stock under our distribution reinvestment plan. During the three months ended September30, 2020 and 2019, as part of our dividend reinvestment plan for our common stockholders, our dividend reinvestment administrator purchased 41,198shares and 25,203shares, respectively, of common stock for $111,550 and $156,221, respectively, in the open market to satisfy the reinvestment portion of our dividends.

Issuer Purchases of Equity Securities

During the nine months ended September30, 2020, 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.

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	Third Amended and Restated Bylaws (Incorporated by reference to Exhibit 3.3 to the Registrant’s report on Form 10-Q filed on November 7, 2016).
3.4	Articles of Amendment (Incorporated by reference to Exhibit 3.1 to the Registrant’s current report on Form 8-K filed March 20, 2018).
3.5	Articles of Amendment (Incorporated by reference to Exhibit 3.2 to the Registrant’s current report on Form 8-K filed March 20, 2018).
4.1	Form of Share Certificate (Incorporated by reference to Exhibit d. to the Registrant’s Registration Statement 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: October28, 2020	By:	/s/ Jonathan H. Cohen
		Jonathan H. Cohen
		Chief Executive Officer
		(Principal Executive Officer)
Date: October28, 2020	By:	/s/ Bruce L. Rubin
		Bruce L. Rubin
		Chief Financial Officer
		(Principal Accounting Officer)

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