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 ...

PART I. FINANCIAL INFORMATION [Financial Statements](index=4&type=section&id=Item%201.%20Financial%20Statements) H1 2021 unaudited financials show asset growth, increased NAV per share, and a positive net increase in net assets from operations [Consolidated Statements of Assets and Liabilities](index=4&type=section&id=Consolidated%20Statements%20of%20Assets%20and%20Liabilities) Total assets increased to **$472.5 million** by June 30, 2021, driven by investment fair value, boosting net assets and NAV per share Consolidated Statements of Assets and Liabilities Comparison | Metric | June 30, 2021 (unaudited) | December 31, 2020 (USD) | | :--- | :--- | :--- | | **Total Assets** | **$472,470,501** | **$357,657,781** | | Non-affiliated/non-control investments | $404,821,888 | $294,674,000 | | Cash equivalents | $63,592,092 | $59,137,284 | | **Total Liabilities** | **$229,007,565** | **$132,231,255** | | Notes payable (net) | $184,975,805 | $106,862,828 | | **Total Net Assets** | **$243,462,936** | **$225,426,526** | | **Net Asset Value per common share** | **$4.91** | **$4.55** | [Consolidated Schedule of Investments](index=5&type=section&id=Consolidated%20Schedule%20of%20Investments) The investment portfolio's fair value grew to **$404.8 million** by June 30, 2021, primarily in Senior Secured Notes and CLO Equity, all classified as Level 3 Portfolio Composition by Asset Class (June 30, 2021) | Asset Class | Fair Value (USD) | % of Net Assets | | :--- | :--- | :--- | | Senior Secured Notes | $242,024,124 | 99.4% | | CLO – Equity Investments | $162,797,764 | 66.9% | | Common Stock | $0 | 0.0% | | Preferred Stock | $0 | 0.0% | | **Total Investments** | **$404,821,888** | **166.3%** | - The company's qualifying assets under Section 55(a) of the 1940 Act represented **62.2%** of its total assets as of June 30, 2021, which is below the required **70%** threshold for acquiring new non-qualifying assets[26](index=26&type=chunk) - As of June 30, 2021, debt or preferred equity investments with an aggregate fair value of approximately **$7.8 million** were on non-accrual status[31](index=31&type=chunk) [Consolidated Statements of Operations](index=30&type=section&id=Consolidated%20Statements%20of%20Operations) For H1 2021, total investment income decreased, but a significant **$33.6 million** net unrealized appreciation led to a **$28.3 million** net increase in net assets from operations Statement of Operations Summary (Six Months Ended June 30) | Metric | 2021 (USD) | 2020 (USD) | | :--- | :--- | :--- | | Total Investment Income | $17,201,696 | $19,079,309 | | Total Expenses | $9,603,063 | $8,376,836 | | **Net Investment Income** | **$7,598,633** | **$10,702,473** | | Net change in unrealized appreciation/(depreciation) | $33,583,290 | $(66,462,225) | | Net realized gains/(losses) | $(12,890,651) | $(3,042,692) | | **Net Increase/(Decrease) in Net Assets from Operations** | **$28,291,272** | **$(58,802,444)** | | **EPS from Operations (Basic & Diluted)** | **$0.57** | **$(1.19)** | [Consolidated Statements of Changes in Net Assets](index=31&type=section&id=Consolidated%20Statements%20of%20Changes%20in%20Net%20Assets) Net assets increased by **$18.0 million** in H1 2021, driven by a **$28.3 million** net increase from operations, partially offset by stockholder distributions Reconciliation of Net Assets (Six Months Ended June 30, 2021) | Description | Amount (USD) | | :--- | :--- | | Net Assets at beginning of period | $225,426,526 | | Net increase from operations | $28,291,272 | | Total distributions to stockholders | $(10,415,632) | | Net increase from capital share transactions | $160,770 | | **Net Assets at end of period** | **$243,462,936** | [Consolidated Statements of Cash Flows](index=32&type=section&id=Consolidated%20Statements%20of%20Cash%20Flows) H1 2021 saw a **$63.1 million** net cash outflow from operations, primarily due to investment purchases, offset by financing activities, increasing cash equivalents to **$63.6 million** Cash Flow Summary (Six Months Ended June 30) | Activity | 2021 (USD) | 2020 (USD) | | :--- | :--- | :--- | | Net cash (used in)/provided by operating activities | $(63,084,470) | $45,560,965 | | Net cash provided by/(used in) financing activities | $67,539,278 | $(41,960,090) | | **Net increase in cash equivalents** | **$4,454,808** | **$3,600,875** | | Cash equivalents, end of period | $63,592,092 | $20,061,813 | [Notes to Consolidated Financial Statements](index=34&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) The notes detail accounting policies, BDC/RIC status, Level 3 investment valuation, **$185.0 million** in unsecured notes, and the investment adviser's fee structure - The company is a non-diversified, closed-end investment company regulated as a BDC and has elected to be treated as a RIC for tax purposes, investing in corporate debt and CLO structured finance investments[58](index=58&type=chunk) - All of the company's investments are classified as **Level 3** in the fair value hierarchy, relying on unobservable inputs and significant judgment from the Board of Directors[67](index=67&type=chunk) Borrowings as of June 30, 2021 | Security | Principal Amount (Millions USD) | Carrying Value (Millions USD) | Fair Value (Millions USD) | | :--- | :--- | :--- | :--- | | 6.50% Unsecured Notes due 2024 | $64.4M | $63.5M | $65.0M | | 6.25% Unsecured Notes due 2026 | $44.8M | $43.7M | $45.5M | | 5.50% Unsecured Notes due 2028 | $80.5M | $77.8M | $81.1M | | **Total** | **$189.7M** | **$185.0M** | **$191.6M** | - The company's asset coverage ratio for borrowed amounts was **226%** as of June 30, 2021, exceeding the regulatory minimum of **150%**[116](index=116&type=chunk) [Management's Discussion and Analysis of Financial Condition and Results of Operations](index=65&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses investment strategy, portfolio growth to **$404.8 million**, and the **$28.3 million** net increase in net assets from operations for H1 2021 - The company's primary focus is to seek an attractive risk-adjusted total return by investing primarily in corporate debt securities and CLO structured finance investments[182](index=182&type=chunk) Portfolio Reconciliation (Six Months Ended June 30, 2021) | Description | Amount ($ in millions) | | :--- | :--- | | Beginning investment portfolio | $294.7 | | Portfolio investments acquired | $132.4 | | Debt repayments & Sales of securities | $(21.9) | | Reductions to CLO equity cost value | $(21.4) | | Net change in unrealized appreciation | $33.6 | | Net realized losses on investments | $(12.9) | | **Ending investment portfolio** | **$404.8** | - The weighted average annualized yield on the company's debt investments was approximately **7.6%** as of June 30, 2021[184](index=184&type=chunk) - As of June 30, 2021, the debt portfolio had a weighted average credit grade of **2.1**, with **96.8%** of the portfolio at fair value graded as 2 ('Full repayment expected')[222](index=222&type=chunk) [Quantitative and Qualitative Disclosures About Market Risk](index=85&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) The company faces interest rate risk from variable-rate debt investments, with a **100 basis point LIBOR increase** potentially boosting investment income by **7.7%** Interest Rate Sensitivity Analysis | Hypothetical Change in LIBOR | Estimated Percentage change in Investment Income (%) | | :--- | :--- | | Up 300 basis points | 23.1% | | Up 200 basis points | 15.4% | | Up 100 basis points | 7.7% | | Down 25 basis points | (0.6)% | - The company is monitoring the planned cessation of LIBOR settings, with most U.S. dollar LIBOR settings scheduled to end after June 30, 2023[276](index=276&type=chunk) [Controls and Procedures](index=85&type=section&id=Item%204.%20Controls%20and%20Procedures) Management concluded that disclosure controls and procedures were effective as of June 30, 2021, with no material changes to internal control over financial reporting - The CEO and CFO concluded that the company's disclosure controls and procedures were effective as of the end of the period covered by the report[279](index=279&type=chunk) - No material changes to the internal control over financial reporting occurred during the quarter ended June 30, 2021[281](index=281&type=chunk) PART II. OTHER INFORMATION [Legal Proceedings](index=87&type=section&id=Item%201.%20Legal%20Proceedings) The company is not currently subject to any material legal proceedings, with no expected material effect on financial condition - As of the filing date, the company is not a party to any material legal proceedings[283](index=283&type=chunk) [Risk Factors](index=87&type=section&id=Item%201A.%20Risk%20Factors) No material changes to prior risk factors, but new emphasis on ESG scrutiny and heightened cybersecurity risks - The company identifies increasing public scrutiny related to environmental, social, and governance (ESG) activities as a business risk[285](index=285&type=chunk) - Cybersecurity risks and cyber incidents are highlighted as potential threats, with remote working conditions heightening this vulnerability[286](index=286&type=chunk) [Unregistered Sales of Equity Securities and Use of Proceeds](index=88&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) In Q2 2021, **26,458** common shares, valued at **$124,000**, were issued via the distribution reinvestment plan, with no repurchases - In Q2 2021, **26,458** shares of common stock were issued under the company's distribution reinvestment plan for a total value of approximately **$124,000**[287](index=287&type=chunk) - No common stock was repurchased by the company during the quarter ended June 30, 2021[288](index=288&type=chunk) [Defaults Upon Senior Securities](index=88&type=section&id=Item%203.%20Defaults%20Upon%20Senior%20Securities) The company reported no defaults upon its senior securities during the period - The company reported no defaults upon its senior securities during the period[289](index=289&type=chunk) [Mine Safety Disclosures](index=88&type=section&id=Item%204.%20Mine%20Safety%20Disclosures) This section is not applicable to the company's operations - This section is not applicable to the company[290](index=290&type=chunk) [Other Information](index=88&type=section&id=Item%205.%20Other%20Information) The company reported no other information required to be disclosed under this item - The company reported no other information required to be disclosed under this item[291](index=291&type=chunk) [Exhibits](index=88&type=section&id=Item%206.%20Exhibits) This section lists filed exhibits, including CEO and CFO certifications pursuant to the Sarbanes-Oxley Act of 2002 - The report includes required certifications from the CEO and CFO under Rules 13a-14 and Section 906 of the Sarbanes-Oxley Act[292](index=292&type=chunk)

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