Financial Data and Key Metrics Changes - For the quarter ended June 30, net investment income was approximately $4.3 million or $0.09 per share, unchanged from the prior quarter [6] - Net asset value per share decreased to $3.67 from $4.65 in the prior quarter [6] - Total investment income for the second quarter was approximately $9.9 million, unchanged from the prior quarter [7] - Net unrealized depreciation on investments was approximately $46.2 million or $0.93 per share, compared to $13.5 million or $0.27 per share in the prior quarter [7] - Realized losses on investments were approximately $1.5 million or $0.03 per share, compared to realized gains of $1 million or $0.02 per share in the prior quarter [8] - Cash and cash equivalents as of June 30 were approximately $23.2 million [9] Business Line Data and Key Metrics Changes - The U.S. loan market exhibited weakness, with loan prices decreasing from 97.60% of par as of March 31 to 92.16% of par as of June 30 [10] - Pricing dispersion related to credit quality showed BB-rated loan prices decreased by 4.06%, B-rated by 6.08%, and CCC-rated by 8.37% on average [11] - The distress ratio, defined as the percentage of loans with a price below 80% of par, increased to approximately 3.65% from 1.55% at the end of March 2022 [12] - Primary market issuance was approximately $56 billion, representing a 48% decline versus the same quarter in the previous year [12] Market Data and Key Metrics Changes - U.S. loan fund outflows were approximately $2.9 billion for the quarter ended June 30 [13] Company Strategy and Development Direction - The company focuses on portfolio management strategies designed to maximize long-term total return, taking a longer-term view towards investment strategy [13] - The company is monitoring both the loan market and CLO equity for investment opportunities [25] Management's Comments on Operating Environment and Future Outlook - Management noted that borrowers reported stable earnings, but there has been weaker guidance for later in the year [20] - The company does not have a specific view on loan prices or default rates but acknowledges the market is trading at a discount to par [24] - Management expressed optimism about the potential for loans to repay at par, despite acknowledging the economic dislocation [30] Other Important Information - The Board of Directors declared monthly distributions of $0.035 per share for the months ending October, November, and December of 2022 [9] Q&A Session Summary Question: Trends in Borrowers and Collateral Obligors - Management indicated that earnings have been stable, but weaker guidance is expected for later this year [20][21] Question: Outlook for Loan and CLO Markets - Management does not have a stated target for loan prices or default rates but is assessing the market's discount relative to economic variables [23][24] Question: NAV Drop Explanation - Management agreed that economic dislocation can create opportunities for loan investors, and they expect the majority of loans to repay at par [29][30]

Financial Data and Key Metrics Changes - For Q1 2022, the company's net investment income was approximately $4.3 million or $0.09 per share, a slight decrease from $4.5 million or $0.09 per share in the prior quarter [6] - The net asset value per share decreased to $4.65 from $4.92 in the previous quarter [6] - Total investment income for Q1 2022 was approximately $9.9 million, down from $10.2 million in the prior quarter [7] - The company recorded net unrealized depreciation on investments of approximately $13.5 million or $0.27 per share, compared to $700,000 or $0.01 per share in the prior quarter [7] - Realized gains on investments were approximately $1 million or $0.02 per share, a recovery from realized losses of $3.7 million or $0.08 per share in the previous quarter [8] Business Line Data and Key Metrics Changes - Investment activity included purchases of approximately $47.4 million, sales of approximately $3.4 million, and repayments of approximately $38.6 million during the quarter [8] Market Data and Key Metrics Changes - The US loan market showed weakness, with loan prices decreasing from 98.64% of par at the end of Q4 2021 to 97.66% at the end of Q1 2022 [11] - The 12-month trailing default rate for the S&P/LSTA Leveraged Loan Index remained at a 10-year low of 0.19% by principal amount [13] - Primary market issuance was approximately $113.5 billion, representing a 39% decline compared to Q1 2021 [14] - US loan fund inflows were approximately $15.5 billion for the quarter [15] Company Strategy and Development Direction - The company is focusing on portfolio management strategies to maximize long-term total return and is taking a longer-term view towards its investment strategy [15] - The management is adjusting portfolio allocations based on market dynamics and is mindful of companies that may benefit or be harmed by inflation [25] Management's Comments on Operating Environment and Future Outlook - Management has not yet seen significant impacts from rising interest rates on borrowers in the portfolio, indicating that the situation is still developing [20] - Revenue trends among portfolio companies have been generally flat to improving, but margin pressures are expected due to inflation [21] - The company is observing opportunities in both primary and selective secondary markets for CLO investments [26] Other Important Information - As of March 31, the company held cash and cash equivalents of approximately $15.1 million [9] - Monthly distributions of $0.035 per share were declared for July, August, and September 2022 [9] Q&A Session Summary Question: Impact of rising loan spreads on borrowers - Management has not yet seen significant effects on borrowers' appetite for capital or their ability to service debt due to recent trends [20] Question: Trends in revenues and inflation impact - Revenues among portfolio companies have been flat to improving, but margin pressures are anticipated due to inflation-related costs [21] Question: Portfolio allocation adjustments - The company is considering market dynamics in its investment decisions, focusing on industries that may benefit from inflation [25] Question: Opportunities in CLO market - There are opportunities in both primary and secondary markets for CLO investments, especially as asset prices widen [26][27] Question: Current LIBOR and SOFR floors - The average LIBOR floor in the syndicated corporate loan portfolio is approximately 40 basis points, while the CLO portfolio is around 50 to 60 basis points [29]

Investment Portfolio - As of March 31, 2022, the fair value of the Company's investment portfolio was approximately $406.2 million[225] - The total fair value of the investment portfolio decreased to approximately $406.2 million as of March 31, 2022, down from $420.8 million as of December 31, 2021, primarily due to net unrealized depreciation of approximately $13.5 million[246] - As of March 31, 2022, the company had investments in debt securities or loans to 19 portfolio companies, with a fair value of approximately $269.7 million, and CLO equity investments of approximately $135.5 million[252] - During the three months ended March 31, 2022, the company purchased approximately $47.4 million in portfolio investments, including $27.7 million in existing portfolio companies and $19.7 million in new portfolio companies[249] - The company recognized proceeds from the sales of securities of approximately $3.4 million for the three months ended March 31, 2022, compared to $15.2 million for the year ended December 31, 2021[251] Debt Investments - The weighted average annualized yield on debt investments was approximately 8.01% as of March 31, 2022[220] - Debt investments had stated interest rates ranging from 4.21% to 10.50% with maturity dates between 3 and 95 months[220] - As of March 31, 2022, the total principal value of income-producing debt investments was approximately $280.1 million, up from $199.2 million as of March 31, 2021, representing a year-over-year increase of 40.6%[265] - The total principal outstanding on investments in CLOs as of March 31, 2022, was approximately $352.9 million, up from $311.4 million as of March 31, 2021, representing a growth of 13.4%[266] - As of March 31, 2022, senior secured notes represented 66.4% of the total portfolio, while CLO equity represented 33.4%[255] Financial Performance - Total investment income for the three months ended March 31, 2022, was approximately $9.9 million, compared to $9.4 million for the same period in 2021, reflecting an increase of 5.3%[264] - Net investment income for the three months ended March 31, 2022, was approximately $4.3 million, a decrease from $4.8 million for the same period in 2021[281] - The net decrease in net assets resulting from operations for the three months ended March 31, 2022, was approximately $8.2 million, compared to a net increase of $21.8 million for the same period in 2021[283] - Interest expense for the three months ended March 31, 2022, was approximately $3.1 million, compared to $1.9 million for the same period in 2021, indicating a significant increase due to the issuance of new unsecured notes[270] Expenses and Fees - Total expenses for the three months ended March 31, 2022, were approximately $5.6 million, an increase from $4.5 million in the same period of 2021, marking a rise of 24.4%[267] - The base management fee for the three months ended March 31, 2022, was approximately $1.6 million, an increase from $1.4 million in the same period of 2021, primarily due to an increase in weighted average gross assets[269] - The Company has received no fee income for managerial assistance to date[223] Risk and Leverage - The Company has historically borrowed funds to make investments, exposing it to leverage risks[222] - The asset coverage for borrowed amounts was approximately 220% as of March 31, 2022, compared to 227% as of December 31, 2021[289] - The company is subject to financial market risks, including changes in interest rates, which could impact investment performance[305] Interest Rate Sensitivity - A hypothetical increase of 300 basis points in base rates would result in a 23.6% increase in net investment income, while a decrease of 100 basis points would lead to a 1.9% decrease[309] - The company may hedge against interest rate fluctuations using standard hedging instruments such as futures, options, and forward contracts[306] - The transition from LIBOR to SOFR is being addressed, with legislation signed to facilitate the use of SOFR-based interest rates[307] - The company recognizes that actual results may differ materially from hypothetical analyses regarding interest rate sensitivity[308] Compliance and Governance - The Company operates as a closed-end, non-diversified management investment company regulated as a BDC under the Investment Company Act of 1940[217] - The company has implemented policies to screen transactions for potential conflicts of interest with related parties[299] - The company has adopted a Code of Business Conduct and Ethics to avoid conflicts of interest among its officers and directors[301] - The management evaluated the effectiveness of disclosure controls and procedures and concluded they were effective as of March 31, 2022[310] - The company has not made any changes to its internal control over financial reporting that would materially affect its operations during the quarter ended March 31, 2022[311] Cash and Distributions - As of March 31, 2022, cash and cash equivalents were approximately $15.1 million, an increase from $9.0 million as of December 31, 2021[285] - The company is required to distribute at least 90% of its ordinary income and short-term capital gains to avoid corporate level tax[293] - Total cash distributions declared per share since the beginning of 2021 amount to $0.420, with $0.32 classified as GAAP net investment income[296] - The company has declared distributions of $0.035 per share on multiple occasions in 2022, totaling $0.105 for the third quarter[303]

| --- | --- | |------------------------------|-------| | | | | Oxford Square Capital Corp. | | | Investor Presentation | | | Quarter Ended March 31, 2022 | | Disclaimer This presentation is neither an offer to sell, nor a solicitation of an offer to purchase, any securities of Oxford Square Capital Corp. ("OXSQ" or the "Company"). This presentation and the summaries contained herein do not purport to be complete and no obligation to update or otherwise revise such information is being assumed. Nothing shall ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 _______________________________ FORM 10-K _______________________________ ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE FISCAL YEAR ENDED DECEMBER 31, 2021 OR ☐ 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 c ...

Financial Data and Key Metrics Changes - For Q4 2021, the company's net investment income was approximately $4.5 million or $0.09 per share, an increase from $4 million or $0.08 per share in the prior quarter [7] - The net asset value per share decreased to $4.92 from $5.03 in the previous quarter [7] - Total investment income for Q4 2021 was approximately $10.2 million, up from approximately $9.8 million in the prior quarter [8] - The company recorded net unrealized depreciation on investments of approximately $700,000 or $0.01 per share, compared to net unrealized appreciation of approximately $5.6 million or $0.11 per share in the prior quarter [8] - Realized losses on investments were approximately $3.7 million or $0.08 per share, compared to realized gains of $1.7 million or $0.03 per share in the prior quarter [9] Business Line Data and Key Metrics Changes - Investment activity included purchases of approximately $23.3 million, sales of approximately $10.3 million, and repayments of approximately $1.6 million during the quarter [9] - As of December 31, the company held cash and equivalents of approximately $9 million [9] Market Data and Key Metrics Changes - The U.S. loan market showed stability, with loan prices slightly increasing from 98.62% of par to 98.64% of par [11] - The 12-month trailing default rate for the S&P/LSTA Leveraged Loan Index decreased to 0.29% by principal amount, down from 0.35% at the start of the quarter [12] - The distress ratio ended the quarter at approximately 0.99%, significantly lower than 2.7% at the end of December 2020 [13] - Primary market issuance reached approximately $113 billion for the quarter, bringing the total for 2021 to an all-time high of approximately $598 billion [13] - U.S. loan funds saw inflows of approximately $7.9 billion for the quarter, totaling approximately $33.8 billion for 2021 [14] Company Strategy and Development Direction - The company focuses on portfolio management strategies aimed at maximizing long-term total return, leveraging its status as a permanent capital vehicle to adopt a long-term investment view [14] Management's Comments on Operating Environment and Future Outlook - Management noted that the current environment of rising interest rates and commodity prices is relatively new, making it difficult to assess its impact on borrowers' revenue and margin growth [25] - The average LIBOR floors transitioning to SOFR floors are estimated to be around 50 to 75 basis points [26] Other Important Information - The Board of Directors declared monthly distributions of $0.035 per share for April, May, and June of 2022 [10] Q&A Session Summary Question: How have CLO equity cash flows historically behaved in periods of rising interest rates? - Management indicated that initially, the benefit of LIBOR floors diminishes, but over time, higher rates typically lead to higher returns on the equity component [20] Question: Have there been any stresses in borrowers' abilities to service their debt during past rate increases? - Management noted that in past instances, rising rates could lead to a decrease in the coupon or spread above the index, potentially affecting borrowers' financing decisions [24] Question: What are the average floors in the loan and CLO portfolios? - The average floors are estimated to be around 50 to 75 basis points [26] Question: Why is the effective yield in the CLO book significantly lower than cash yields? - Management explained that differences in portfolio characteristics, such as inception dates and aging, contribute to the disparity in yields [28] Question: Does the lower effective yield imply that cash yields are likely to come down in the future? - Management advised against drawing a linear implication from the effective yield being lower than cash yield [30]

| --- | --- | |---------------------------------|-------| | | | | Oxford Square Capital Corp. | | | Investor Presentation | | | Quarter Ended December 31, 2021 | | Disclaimer This presentation is neither an offer to sell, nor a solicitation of an offer to purchase, any securities of Oxford Square Capital Corp. ("OXSQ" or the "Company"). This presentation and the summaries contained herein do not purport to be complete and no obligation to update or otherwise revise such information is being assumed. Nothing ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 _______________________________ FORM 10-Q _______________________________ (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED SEPTEMBER 30, 2021 ☐ 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 s ...

Financial Data and Key Metrics Changes - For Q3 2021, the company's net investment income was approximately $4 million or $0.08 per share, an increase from $2.8 million or $0.06 per share in the prior quarter [6] - The net asset value per share rose to $5.03 from $4.91 in the previous quarter [6] - Total investment income for Q3 was approximately $9.8 million, up from $7.8 million in the prior quarter [7] - Net unrealized appreciation on investments was approximately $5.6 million or $0.11 per share, compared to $2.5 million or $0.05 per share in the prior quarter [7] - Realized gains on investments increased to approximately $1.7 million or $0.03 per share from $1.2 million or $0.02 per share in the prior quarter [8] - The net increase in net assets from operations was approximately $11.3 million or $0.23 per share, compared to $6.5 million or $0.13 per share in the prior quarter [9] Business Line Data and Key Metrics Changes - Investment activity included purchases of approximately $23.1 million and repayments of approximately $5.7 million during the quarter [10] - As of September 30, the company held cash and cash equivalents of approximately $19.5 million, with unsettled purchases of approximately $6.5 million [10] Market Data and Key Metrics Changes - The U.S. loan market modestly strengthened, with bond prices increasing from 98.37% of par to 98.62% of par [13] - BB rated loan prices increased by 13 basis points, B rated loan prices by 4 basis points, and CCC rated loan prices by 26 basis points on average [14] - The 12-month trailing default rate for the S&P/LSTA Leveraged Loan Index decreased to 0.35% from 1.25% at the beginning of the quarter [14] - The distress ratio was approximately 0.72%, the lowest level in nearly seven years [14] - Primary market issuance was approximately $161 billion for the quarter, bringing year-to-date issuance to approximately $485 billion [15] - U.S. loan fund inflows were approximately $5.6 billion for the quarter, totaling approximately $25.9 billion year-to-date [16] Company Strategy and Development Direction - The company focuses on portfolio management strategies designed to maximize long-term total return, taking a longer-term view towards investment strategy [16] Management's Comments on Operating Environment and Future Outlook - Management acknowledged the impact of inflation on the economy and the loan market, noting that all loans are floating rate and expressed as LIBOR plus [21] - The company is aware of inflationary trends and considers them in investment decisions, but there is no specific solution to address inflationary impacts [22] - The current debt to equity ratio stands at 0.76, which management is comfortable with given the economic environment and the cost of leverage [25] Other Important Information - The Board of Directors declared monthly distributions of $0.035 per share for January, February, and March of 2022 [11] Q&A Session Summary Question: How should assets perform during inflation periods? - Management indicated that inflation affects various sectors differently and that all loans are floating rate, which may provide some protection, but the impact depends on how inflation manifests [21][22] Question: Why did the effective yield in the CLO equity portfolio decline while cash yields increased? - Management explained that effective yield captures total expected returns, which may vary across positions, leading to a decline despite increased cash yields [23][24] Question: What is the target leverage ratio for the fund? - The current debt to equity ratio is 0.76, which management finds comfortable given the current economic conditions [25] Question: Plans to reduce the non-qualified asset ratio? - Management stated that non-qualified assets are primarily CLO tranche positions, which will roll off over time, and they will consider opportunistic sales as appropriate [26][30]

| --- | --- | |----------------------------------|-------| | | | | Oxford Square Capital Corp. | | | Investor Presentation | | | Quarter Ended September 30, 2021 | | Disclaimer This presentation is neither an offer to sell, nor a solicitation of an offer to purchase, any securities of Oxford Square Capital Corp. ("OXSQ" or the "Company"). This presentation and the summaries contained herein do not purport to be complete and no obligation to update or otherwise revise such information is being assumed. Nothi ...