Oxford Square Capital Corp. (NASDAQ:OXSQ) Q2 2020 Results Conference Call July 28, 2020 9:00 AM ET Company Participants Jonathan Cohen - Chief Executive Officer Bruce Rubin - Chief Financial Officer Kevin Yonon - Managing Director & Portfolio Manager Debdeep Maji - Senior Managing Director & Portfolio Manager Conference Call Participants Mickey Schleien - Ladenburg Operator Good day and welcome to the Oxford Square Capital Corp Second Quarter 2020 Earnings Release and Conference Call. All participants will ...

| --- | --- | |-----------------------------|-------| | | | | Oxford Square Capital Corp. | | | Investor Presentation | | | Quarter Ended June 30, 2020 | | 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 ...

Financial Data and Key Metrics Changes - For Q1 2020, the company's net investment income was $0.13 per share, down from $0.18 per share in the prior quarter [7] - The net asset value per share decreased to $3.32 from $5.12 in the previous quarter [7] - Total investment income for Q1 2020 was approximately $10.8 million, compared to $13.4 million in the prior quarter [8] - Unrealized depreciation on investments was approximately $85.4 million, or $1.74 per share, compared to $13.3 million or $0.28 per share in the prior quarter [8] - The net decrease in net assets from operations was approximately $79.4 million, or $1.62 per share, compared to a net decrease of $4.9 million, or $0.10 per share, in the prior quarter [10] Business Line Data and Key Metrics Changes - The company made a new investment of $7.4 million during the first quarter and had principal repayments and sales totaling $23 million [11] Market Data and Key Metrics Changes - The U.S. loan market experienced heightened volatility, with loan prices initially increasing but then declining significantly due to COVID-19 [14][15] - The S&P/LSTA leveraged loan index dropped to a low of 76.23% on March 23rd and ended March at 82.85% [15] - Pricing dispersion related to credit quality showed BB-rated loans declining by 11.1%, B-rated loans by 15.1%, and CCC-rated loans by 22.4% on average [16] - The 12-month trailing default rate for the S&P/LSTA leveraged loan index increased to 1.84% by principal amount by the end of the quarter [16] - The distress ratio peaked at 57% on March 23rd and ended the quarter at 24% compared to 3.9% at the end of 2019 [17] Company Strategy and Development Direction - The company continues to focus on portfolio management strategies designed to maximize long-term total return, taking a longer-term view towards investment strategy [17] - The Board of Directors declared monthly common stock distributions through June 30th, 2020, but indicated a likelihood of reducing or suspending distributions for July, August, and September due to current economic conditions [18][19] Management's Comments on Operating Environment and Future Outlook - Management emphasized the uncertainty in the current environment due to COVID-19 and the need for caution regarding future distributions [19][34] - The company is actively looking for investment opportunities in the syndicated corporate loan market and CLO asset class, despite the current economic dislocation [32] Other Important Information - The company held two debt investments on non-accrual status with a combined fair value of $5.2 million as of March 31st [10] - Preferred equity investments in one portfolio company were also on non-accrual status with an aggregate fair value of $400,000 [10] Q&A Session Summary Question: Breakdown of senior secured notes and CLO equity portfolio's reference LIBOR rate - Management indicated a historical split of approximately 60-40 between one month and three months LIBOR, with exact splits to be provided later [25] Question: Cash flow diversion from CLO equity investments - Two positions diverted cash flows during the first quarter, but the magnitude was minimal [26] Question: Expectations for CLO equity GAAP and cash yields - No projections were published for the remainder of the year regarding CLO equity yields [30] Question: Comparison of current environment to previous cycles - Management refrained from direct comparisons, citing too many unknowns in the current environment [31] Question: Concerns regarding potential suspension of dividends - The decision to defer setting a distribution for July, August, and September was deemed reasonable given the current environment [34] Question: Timing for announcement of July dividend - The timing for the announcement is at the Board's discretion, potentially in May or June [37]

| --- | --- | |------------------------------|-------| | | | | Oxford Square Capital Corp. | | | Investor Presentation | | | Quarter Ended March 31, 2020 | | 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 shal ...

| --- | --- | |---------------------------------|-------| | | | | Oxford Square Capital Corp. | | | Investor Presentation | | | Quarter Ended December 31, 2019 | | 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. Nothin ...

Oxford Square Capital Corp. (NASDAQ:OXSQ) Q4 2019 Earnings Conference Call February 26, 2020 9:00 AM ET Company Participants Jonathan Cohen - CEO Saul Rosenthal - President Bruce Rubin - CFO Kevin Young - Managing Director and Portfolio Manager Conference Call Participants Mickey Schleien - Ladenburg Operator Good day and welcome to the Oxford Square Capital Corp. Fourth Quarter 2019 Earnings Conference Call. All participants will be in listen only mode. [Operator Instructions] After today's presentation th ...

Oxford Square Capital Corp. (NASDAQ:OXSQ) Q3 2019 Results Conference Call October 30, 0000 9:00 AM ET Company Participants Jonathan Cohen - Chief Executive Officer Saul Rosenthal - President Bruce Rubin - Chief Financial Officer Kevin Young - Managing Director and Portfolio Manager Operator Good day and welcome to the Oxford Square Capital Corp. Third Quarter 2019 Earnings Release and Conference Call. All participants will be in a listen only mode, [Operator Instructions]after today's presentation there wil ...

Oxford Square Capital Corp. Investor Presentation Quarter Ended June 30, 2019 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 be relied upon as a promise or representation as to the future performance of ...

Oxford Square Capital Corp. (NASDAQ:OXSQ) Q2 2019 Earnings Conference Call July 30, 2019 9:00 AM ET Executives Jonathan Cohen - CEO Saul Rosenthal - President Bruce Rubin - CFO Kevin Yonon - MD of Portfolio Manager Analysts Mickey Schleien - Ladenburg Operator Good day, and welcome to the Oxford Square Capital Corp Second Quarter 2019 Earnings release and Conference Call for today July 30, 2019. All participants will be in listen-only mode. [Operator Instructions] Please note this event is being recorded. I ...