| --- | --- | |------------------------------|-------| | | | | 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 ...

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 June 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 specif ...

| --- | --- | |-----------------------------|-------| | | | | Oxford Square Capital Corp. | | | Investor Presentation | | | Quarter Ended June 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. Nothing shall b ...

Oxford Square Capital Corp. (NASDAQ:OXSQ) Q2 2021 Earnings Conference Call July 27, 2021 9:00 AM ET Company Participants Jonathan Cohen – Chief Executive Officer Bruce Rubin – Chief Financial Officer Deep Maji – Senior Managing Director and Portfolio Manager Conference Call Participants Mickey Schleien – Ladenburg Operator Good day, and welcome to the Oxford Square Capital Corp. Second Quarter 2021 Earnings Conference Call. [Operator Instructions] Please note, this event is being recorded. I would now like ...