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












FORM 10-Q












|(Mark One) |                                                                                         
|---------- | ----------------------------------------------------------------------------------------
|x          | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934 
|           |                                                                                         
|           | FOR THE QUARTERLY PERIOD ENDED SEPTEMBER 30, 2018                                       
|           |                                                                                         
| ̈          | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934



COMMISSION FILE NUMBER: 0-50398










OXFORD SQUARE CAPITAL CORP.

(Exact name of registrant as specified in
its charter)










|MARYLAND                                                      |  | 20-0188736                         
|------------------------------------------------------------- |  | -----------------------------------
|(State or other jurisdiction ofincorporation or organization) |  | (I.R.S. EmployerIdentification 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)










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
12 months (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 x 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 12 months (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, 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 x        
|------------------------- | ---------------------------
|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
x



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 October 30, 2018 was 48,499,816.




















OXFORD SQUARE CAPITAL CORP.



TABLE OF CONTENTS



|PART I. FINANCIAL INFORMATION | 1                                                                                                                                                 
|----------------------------- | --------------------------------------------------------------------------------------------------------------------------------------------------
|Item 1.                       | Financial Statements                                                                                                                              
|                              | Consolidated Statements of Assets and Liabilities
as of September 30, 2018 (unaudited) and December 31, 2017                                      
|                              | Consolidated Schedule of Investments as of September 30, 2018 (unaudited)                                                                         
|                              | Consolidated Schedule of Investments as of December 31, 2017                                                                                      
|                              | Consolidated Statements of Operations for the three and nine months ended September 30, 2018 and 2017 (unaudited)                                 
|                              | Consolidated Statements of Changes in Net Assets for the nine months ended September 30, 2018 (unaudited) and for the year ended December 31, 2017
|                              | Consolidated Statements of Cash Flows for the nine months ended September 30, 2018 and 2017 (unaudited)                                           
|                              | Notes to Consolidated Financial Statements (unaudited)                                                                                            
|Item 2.                       | Management’s Discussion and Analysis of Financial Condition and Results of Operations                                                             
|Item 3.                       | Quantitative and Qualitative Disclosures About Market Risk                                                                                        
|Item 4.                       | Controls and Procedures                                                                                                                           
|                              |                                                                                                                                                   
|PART II. OTHER INFORMATION    | 59                                                                                                                                                
|Item 1.                       | Legal Proceedings                                                                                                                                 
|Item 1A.                      | Risk Factors                                                                                                                                      
|Item 2.                       | Unregistered Sales of Equity Securities and Use of Proceeds                                                                                       
|Item 3.                       | Defaults Upon Senior Securities                                                                                                                   
|Item 4.                       | Mine Safety Disclosures                                                                                                                           
|Item 5.                       | Other Information                                                                                                                                 
|Item 6.                       | Exhibits                                                                                                                                          
|SIGNATURES                    | 63                                                                                                                                                



i







PART I — FINANCIAL INFORMATION



ITEM 1. FINANCIAL STATEMENTS



OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED STATEMENTS OF ASSETS AND
LIABILITIES



|                                                                                                                                    |  | September 30, 2018 |              |   | December 31, 2017 |  
|----------------------------------------------------------------------------------------------------------------------------------- |  | ------------------ | ------------ | - | ----------------- | -
|                                                                                                                                    |  | (unaudited)        |              |   |                   |  
|ASSETS                                                                                                                              |  |                    |              |   |                   |  
|Non-affiliated/non-control investments (cost of $506,898,656 and $418,990,080, respectively)                                        |  | $                  | 486,312,794  |   |                   | $
|Affiliated investments (cost of $9,126,017 and $10,528,740, respectively)                                                           |  |                    | 19,103,214   |   |                   |  
|Cash equivalents                                                                                                                    |  |                    | 8,636,939    |   |                   |  
|Restricted cash                                                                                                                     |  |                    | 3,450,325    |   |                   |  
|Interest and distributions receivable                                                                                               |  |                    | 4,706,982    |   |                   |  
|Other assets                                                                                                                        |  |                    | 508,139      |   |                   |  
|Total assets                                                                                                                        |  | $                  | 522,718,393  |   |                   | $
|LIABILITIES                                                                                                                         |  |                    |              |   |                   |  
|Notes payable – Credit Facility, net of deferred issuance costs                                                                     |  | $                  | 87,534,595   |   |                   | $
|Notes payable – 6.50% Unsecured Notes, net of deferred issuance costs                                                               |  |                    | 62,583,019   |   |                   |  
|Base management fee and net investment income incentive fee payable to affiliate                                                    |  |                    | 3,404,982    |   |                   |  
|Accrued interest payable                                                                                                            |  |                    | 364,738      |   |                   |  
|Accrued expenses                                                                                                                    |  |                    | 563,644      |   |                   |  
|Total liabilities                                                                                                                   |  |                    | 154,450,978  |   |                   |  
|COMMITMENTS AND CONTINGENCIES (Note 13)                                                                                             |  |                    |              |   |                   |  
|NET ASSETS                                                                                                                          |  |                    |              |   |                   |  
|Common stock, $0.01 par value, 100,000,000 shares authorized; 49,146,266 and 51,479,409 shares issued and outstanding, respectively |  |                    | 491,463      |   |                   |  
|Capital in excess of par value                                                                                                      |  |                    | 514,216,403  |   |                   |  
|Distributions in excess of net investment income                                                                                    |  |                    | (29,999,484  | ) |                   |  
|Net unrealized depreciation on investments                                                                                          |  |                    | (10,608,665  | ) |                   |  
|Accumulated net realized losses on investments                                                                                      |  |                    | (100,580,578 | ) |                   |  
|Accumulated realized losses on extinguishment of debt                                                                               |  |                    | (5,251,724   | ) |                   |  
|Total net assets                                                                                                                    |  |                    | 368,267,415  |   |                   |  
|Total liabilities and net assets                                                                                                    |  | $                  | 522,718,393  |   |                   | $
|Net asset value per common share                                                                                                    |  | $                  | 7.49         |   |                   | $



See Accompanying Notes.



1







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS
(unaudited)
September 30, 2018



|COMPANY/INVESTMENT(1)                                                                                                           |  | PRINCIPAL 
AMOUNT |            |  | COST |   |             | FAIR VALUE(2) |  |   | % of Net Assets | 
|------------------------------------------------------------------------------------------------------------------------------- |  | ----------------- | ---------- |  | ---- | - | ----------- | ------------- |  | - | --------------- | 
|Senior Secured Notes                                                                                                            |  |                   |            |  |      |   |             |               |  |   |                 | 
|Aerospace and Defense                                                                                                           |  |                   |            |  |      |   |             |               |  |   |                 | 
|Novetta, LLC                                                                                                                    |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 7.25%
    (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(16)(21)                 |  | $                 | 5,542,880  |  |      | $ | 5,493,464   |               |  | $ | 5,348,879       | 
|Total Aerospace and Defense                                                                                                     |  |                   |            |  |      | $ | 5,493,464   |               |  | $ | 5,348,879       | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Business Services                                                                                                               |  |                   |            |  |      |   |             |               |  |   |                 | 
|Access CIG                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|second lien senior secured notes, 9.99% (LIBOR + 7.75%), (0.00% floor)
    due February 27, 2026(4)(5)(14)(16)(21)              |  | $                 | 13,622,227 |  |      | $ | 13,707,698  |               |  | $ | 13,639,255      | 
|first lien incremental senior secured notes, 5.99% (LIBOR + 3.75%), (0.00%
    floor) due February 27, 2025(4)(5)(14)(16)       |  |                   | 497,500    |  |      |   | 497,500     |               |  |   | 499,988         | 
|second lien incremental senior secured notes, 9.99% (LIBOR + 7.75%), (0.00%
    floor) due February 27, 2026(4)(5)(14)(16)      |  |                   | 2,400,000  |  |      |   | 2,420,536   |               |  |   | 2,403,000       | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Convergint Technologies, LLC                                                                                                    |  |                   |            |  |      |   |             |               |  |   |                 | 
|second lien senior secured notes, 9.08% (LIBOR + 6.75%), (0.75% floor)
    due February 2, 2026(4)(5)(16)(21)                   |  |                   | 1,500,000  |  |      |   | 1,493,022   |               |  |   | 1,505,610       | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Imagine! Print Solutions                                                                                                        |  |                   |            |  |      |   |             |               |  |   |                 | 
|second lien senior secured notes, 11.00% (LIBOR + 8.75%), (1.00% floor)
    due June 21, 2023(4)(5)(16)(21)                     |  |                   | 15,000,000 |  |      |   | 14,834,659  |               |  |   | 12,787,500      | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Intralinks, Inc.                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.25% (LIBOR + 4.00%), (1.00% floor) due
    November 14, 2024 (4)(5)(6)(14)(16)(21)           |  |                   | 9,646,283  |  |      |   | 9,635,871   |               |  |   | 9,664,418       | 
|second lien senior secured notes, 10.25% (LIBOR + 8.00%), (1.00% floor)
    due November 14, 2025 (4)(5)(6)(14)(16)(21)         |  |                   | 7,989,915  |  |      |   | 7,973,013   |               |  |   | 8,069,814       | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|OMNIA Partners, Inc.                                                                                                            |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.14%  (LIBOR + 3.75%), (0.00%
    floor ) due May 23, 2025(4)(5)(14)(15)(21)                  |  |                   | 5,985,000  |  |      |   | 5,986,337   |               |  |   | 5,999,963       | 
|second lien senior secured notes, 9.89%  (LIBOR + 7.50%), (0.00%
    floor) due May 22, 2026(4)(5)(14)(15)(21)                  |  |                   | 14,000,000 |  |      |   | 13,934,339  |               |  |   | 13,755,000      | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Premiere Global Services, Inc.                                                                                                  |  |                   |            |  |      |   |             |               |  |   |                 | 
|senior secured notes, 8.84% (LIBOR + 6.50%), (1.00% floor) due December
    8, 2021(4)(5)(6)(14)(15)(21)                        |  |                   | 14,961,989 |  |      |   | 14,008,557  |               |  |   | 14,382,212      | 
|second lien senior secured notes, 11.83% (LIBOR + 9.50%), (1.00% floor)
    due June 6, 2022(4)(5)(14)(15)(21)                  |  |                   | 10,000,000 |  |      |   | 9,774,987   |               |  |   | 9,350,000       | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Verifone Systems, Inc.                                                                                                          |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.32% (LIBOR + 4.00%), (0.00% floor) due
    August 20, 2025(4)(5)(6)(15)                      |  |                   | 7,000,000  |  |      |   | 6,965,457   |               |  |   | 7,042,000       | 
|second lien senior secured notes, 10.32% (LIBOR +
    8.00%), (0.00% floor) due August 20, 2026(4)(5)(15)                       |  |                   | 8,000,000  |  |      |   | 7,921,203   |               |  |   | 7,970,000       | 
|Total Business Services                                                                                                         |  |                   |            |  |      | $ | 109,153,179 |               |  | $ | 107,068,760     | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Diversified Insurance                                                                                                           |  |                   |            |  |      |   |             |               |  |   |                 | 
|AmeriLife Group LLC                                                                                                             |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.99%  (LIBOR
    + 4.75%), (1.00% floor)  due July 10, 2022(4)(5)(6)(16)(21)                  |  | $                 | 15,023,320 |  |      | $ | 14,926,112  |               |  | $ | 14,985,762      | 
|Total Diversified Insurance                                                                                                     |  |                   |            |  |      | $ | 14,926,112  |               |  | $ | 14,985,762      | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Education                                                                                                                       |  |                   |            |  |      |   |             |               |  |   |                 | 
|Edmentum, Inc. (f/k/a Plato, Inc.)                                                                                              |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.84%  (LIBOR
    + 4.50%), (1.00% floor) Cash, 4.00% PIK due June 9, 2021(3)(4)(5)(6)(15)(21) |  | $                 | 5,861,343  |  |      | $ | 5,811,086   |               |  | $ | 4,776,995       | 
|Total Education                                                                                                                 |  |                   |            |  |      | $ | 5,811,086   |               |  | $ | 4,776,995       | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Financial Intermediaries                                                                                                        |  |                   |            |  |      |   |             |               |  |   |                 | 
|First American Payment Systems                                                                                                  |  |                   |            |  |      |   |             |               |  |   |                 | 
|second lien senior secured notes, 12.62%  (LIBOR + 10.50%), (1.00%
    floor) due July 5, 2024(4)(5)(16)(21)                    |  | $                 | 1,500,000  |  |      | $ | 1,462,147   |               |  | $ | 1,500,615       | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Lighthouse Network, LLC (f/k/a Harbortouch Payments, LLC)                                                                       |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.84%  (LIBOR + 4.50%), (1.00%
    floor) due November 30, 2024(4)(5)(6)(15)(21)               |  |                   | 3,473,750  |  |      |   | 3,458,132   |               |  |   | 3,497,649       | 
|second lien senior secured notes, 10.84%  (LIBOR
    + 8.50%), (1.00% floor) due November 30, 2025(4)(5)(15)(21)                |  |                   | 12,000,000 |  |      |   | 11,889,921  |               |  |   | 11,925,000      | 
|Total Financial Intermediaries                                                                                                  |  |                   |            |  |      | $ | 16,810,200  |               |  | $ | 16,923,264      | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Healthcare                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Keystone Acquisition Corp.                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 7.64%  (LIBOR + 5.25%), (1.00%
    floor) due May 1, 2024(4)(5)(6)(14)(15)(21)                 |  | $                 | 7,553,239  |  |      | $ | 7,519,346   |               |  | $ | 7,581,564       | 
|second lien senior secured notes, 11.64%  (LIBOR + 9.25%), (1.00%
    floor) due May 1, 2025(4)(5)(14)(15)(21)                  |  |                   | 13,000,000 |  |      |   | 12,850,521  |               |  |   | 13,000,000      | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|MedPlast Holdings Inc.                                                                                                          |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.09%  (LIBOR + 3.75%), (0.00%
    floor ) due July 2, 2025(4)(5)(15)                          |  |                   | 10,000,000 |  |      |   | 9,999,877   |               |  |   | 10,118,800      | 
|second lien senior secured notes, 10.09%  (LIBOR
    + 7.75%), (0.00% floor) due July 2, 2026(4)(5)(15)                         |  |                   | 5,000,000  |  |      |   | 4,952,041   |               |  |   | 5,062,500       | 
|Total Healthcare                                                                                                                |  |                   |            |  |      | $ | 35,321,785  |               |  | $ | 35,762,864      | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Logistics                                                                                                                       |  |                   |            |  |      |   |             |               |  |   |                 | 
|Capstone Logistics Acquisition, Inc.                                                                                            |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.74%  (LIBOR
    + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(16)(21)                 |  | $                 | 12,476,611 |  |      | $ | 12,452,805  |               |  | $ | 12,476,611      | 
|Total Logistics                                                                                                                 |  |                   |            |  |      | $ | 12,452,805  |               |  | $ | 12,476,611      | 
|                                                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|Printing and Publishing                                                                                                         |  |                   |            |  |      |   |             |               |  |   |                 | 
|Merrill Communications, LLC                                                                                                     |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 7.59%  (LIBOR
    + 5.25%), (1.00% floor ) due June 01, 2022(4)(5)(6)(15)(21)                  |  | $                 | 5,706,192  |  |      | $ | 5,691,183   |               |  | $ | 5,748,988       | 
|Total Printing and Publishing                                                                                                   |  |                   |            |  |      | $ | 5,691,183   |               |  | $ | 5,748,988       | 



(continued on next page)



See Accompanying Notes.



2







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS

September 30, 2018



|COMPANY/INVESTMENT(1)                                                                                                 |  | PRINCIPAL 
AMOUNT |            |  | COST |   |             | FAIR VALUE(2) |  |   | % of Net Assets | 
|--------------------------------------------------------------------------------------------------------------------- |  | ----------------- | ---------- |  | ---- | - | ----------- | ------------- |  | - | --------------- | 
|Senior Secured Notes - (continued)                                                                                    |  |                   |            |  |      |   |             |               |  |   |                 | 
|Software                                                                                                              |  |                   |            |  |      |   |             |               |  |   |                 | 
|ECI Software Solutions                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.64%  (LIBOR +
    4.25%), (0.00% floor ) due September 27, 2024(4)(5)(6)(14)(15)   |  | $                 | 4,974,874  |  |      | $ | 4,990,602   |               |  | $ | 5,018,404       | 
|second lien senior secured notes, 10.39%  (LIBOR + 8.00%), (1.00%
    floor) due September 29, 2025(4)(5)(14)(15)(21) |  |                   | 15,000,000 |  |      |   | 14,904,622  |               |  |   | 14,925,000      | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Help/Systems Holdings, Inc.                                                                                           |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 5.99%  (LIBOR + 3.75%), (0.00%
    floor) due March 28, 2025(4)(5)(14)(16)           |  |                   | 3,990,000  |  |      |   | 3,999,268   |               |  |   | 4,009,950       | 
|second lien senior secured notes, 9.99%  (LIBOR + 7.75%), (1.00%
    floor) due March 27, 2026(4)(5)(14)(16)(21)      |  |                   | 15,500,000 |  |      |   | 15,492,319  |               |  |   | 15,577,500      | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Quest Software                                                                                                        |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.57%  (LIBOR + 4.25%), (0.00%
    floor ) due May 16, 2025(4)(5)(14)(15)(21)        |  |                   | 6,000,000  |  |      |   | 5,970,434   |               |  |   | 6,045,000       | 
|second lien senior secured notes, 10.57%  (LIBOR
    + 8.25%), (0.00% floor) due May 18, 2026(4)(5)(14)(21)(22)       |  |                   | 15,000,000 |  |      |   | 14,852,080  |               |  |   | 14,859,450      | 
|Total Software                                                                                                        |  |                   |            |  |      | $ | 60,209,325  |               |  | $ | 60,435,304      | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Telecommunications Services                                                                                           |  |                   |            |  |      |   |             |               |  |   |                 | 
|Global Tel Link Corp                                                                                                  |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.39%  (LIBOR + 4.00%), (0.00%
    floor ) due May 22, 2020(4)(5)(6)(14)(15)         |  | $                 | 2,982,550  |  |      | $ | 3,004,099   |               |  | $ | 2,998,208       | 
|second lien senior secured notes, 10.64%  (LIBOR
    + 8.25%), (1.25% floor) due November 23, 2020(4)(5)(14)(15)(21)  |  |                   | 17,000,000 |  |      |   | 16,928,386  |               |  |   | 17,063,750      | 
|Total Telecommunication Services                                                                                      |  |                   |            |  |      | $ | 19,932,485  |               |  | $ | 20,061,958      | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Utilities                                                                                                             |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLEAResult Consulting, Inc.                                                                                           |  |                   |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 5.62%  (LIBOR + 3.50%), (0.00%
    floor ) due August 8, 2025(4)(5)(14)(16)          |  | $                 | 5,000,000  |  |      | $ | 4,975,408   |               |  | $ | 5,009,400       | 
|second lien senior secured notes, 9.37%  (LIBOR
    + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(14)(16)         |  |                   | 2,000,000  |  |      |   | 1,985,144   |               |  |   | 2,000,000       | 
|Total Utilities                                                                                                       |  |                   |            |  |      | $ | 6,960,552   |               |  | $ | 7,009,400       | 
|Total Senior Secured Notes                                                                                            |  |                   |            |  |      | $ | 292,762,176 |               |  | $ | 290,598,785     | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Collateralized Loan Obligation - Debt Investments                                                                     |  |                   |            |  |      |   |             |               |  |   |                 | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Structured Finance                                                                                                    |  |                   |            |  |      |   |             |               |  |   |                 | 
|Galaxy XXVIII CLO, Ltd.                                                                                               |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO secured class F notes, 12.95% (LIBOR + 8.48%), due July 15, 2031(4)(5)(11)(12)(15)                                |  | $                 | 1,000,000  |  |      | $ | 926,217     |               |  | $ | 998,100         | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Jamestown CLO V Ltd.                                                                                                  |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO secured class F notes, 7.58% (LIBOR + 5.85%),
    due January 17, 2027(4)(5)(11)(12)(15)                          |  |                   | 4,000,000  |  |      |   | 3,365,250   |               |  |   | 3,525,200       | 
|Total Structured Finance                                                                                              |  |                   |            |  |      | $ | 4,291,467   |               |  | $ | 4,523,300       | 
|Total Collateralized Loan Obligation - Debt Investments                                                               |  |                   |            |  |      | $ | 4,291,467   |               |  | $ | 4,523,300       | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Collateralized Loan Obligation - Equity Investments                                                                   |  |                   |            |  |      |   |             |               |  |   |                 | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Structured Finance                                                                                                    |  |                   |            |  |      |   |             |               |  |   |                 | 
|AMMC CLO XI, Ltd.                                                                                                     |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 13.27% due April 30, 2031(9)(11)(12)(17)                                      |  | $                 | 6,000,000  |  |      | $ | 3,730,925   |               |  | $ | 3,420,000       | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|AMMC CLO XII, Ltd.                                                                                                    |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 13.34% due November 10, 2030(9)(11)(12)(17)                                   |  |                   | 12,921,429 |  |      |   | 6,821,665   |               |  |   | 5,685,429       | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Babson CLO Ltd. 2015-I                                                                                                |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 18.52% due January 20, 2031(9)(11)(12)(17)                                    |  |                   | 2,840,000  |  |      |   | 1,903,467   |               |  |   | 1,817,600       | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Carlyle Global Market Strategies CLO 2013-2, Ltd.                                                                     |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 19.46% due January 18, 2029(9)(11)(12)(17)                                    |  |                   | 9,250,000  |  |      |   | 5,509,986   |               |  |   | 5,980,655       | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Catamaran CLO 2012-1 Ltd.                                                                                             |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 0.00% due December 20, 2023(9)(10)(11)(12)(17)                                |  |                   | 23,000,000 |  |      |   | 2,377,105   |               |  |   | -               | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Cedar Funding II CLO, Ltd.                                                                                            |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 12.89% due March 09, 2025(9)(11)(12)(17)                                      |  |                   | 18,000,000 |  |      |   | 13,646,899  |               |  |   | 12,060,000      | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Cedar Funding VI CLO, Ltd.                                                                                            |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 16.11% due October 20, 2028(9)(11)(12)(17)                                    |  |                   | 7,700,000  |  |      |   | 7,236,909   |               |  |   | 7,084,000       | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|CIFC Funding 2014-3, Ltd.                                                                                             |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 15.87% due July 22, 2026(9)(11)(12)(17)                                       |  |                   | 10,000,000 |  |      |   | 6,637,185   |               |  |   | 5,400,000       | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Galaxy XVII CLO, Ltd.                                                                                                 |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 17.92% due July 15, 2031(9)(11)(12)(17)                                       |  |                   | 2,000,000  |  |      |   | 980,869     |               |  |   | 860,000         | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|GoldenTree Loan Opportunities VII, Ltd.                                                                               |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 0.00% due April 25, 2025(9)(10)(11)(12)(17)                                   |  |                   | 4,670,000  |  |      |   | 152,864     |               |  |   | 70,050          | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Hull Street CLO Ltd.                                                                                                  |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield -27.92% due October 18, 2026(9)(11)(12)(17)                                   |  |                   | 5,000,000  |  |      |   | 1,977,131   |               |  |   | 1,000,000       | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Ivy Hill Middle Market Credit Fund VII, Ltd.                                                                          |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 15.30% due October 20, 2029(9)(11)(12)(17)                                    |  |                   | 10,800,000 |  |      |   | 9,260,308   |               |  |   | 7,518,847       | 
|                                                                                                                      |  |                   |            |  |      |   |             |               |  |   |                 | 
|Jamestown CLO V Ltd.                                                                                                  |  |                   |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield -12.53% due January 17, 2027(9)(11)(12)(17)                                   |  |                   | 8,000,000  |  |      |   | 4,267,718   |               |  |   | 2,560,000       | 



(Continued on next page)



See Accompanying Notes.



3







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS

September 30, 2018



|COMPANY/INVESTMENT(1)                                                                     |  | PRINCIPAL 
AMOUNT/SHARES |            |  | COST |   |             | FAIR VALUE(2) |  |   | % of Net Assets | 
|----------------------------------------------------------------------------------------- |  | ------------------------ | ---------- |  | ---- | - | ----------- | ------------- |  | - | --------------- | 
|Collateralized Loan Obligation - Equity Investments (continued)                           |  |                          |            |  |      |   |             |               |  |   |                 | 
|Structured Finance - (continued)                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|KVK CLO 2013-2, Ltd.                                                                      |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 7.56% due January 15,
    2026(9)(10)(11)(12)(17) |  | $                        | 14,200,000 |  |      | $ | 6,166,600   |               |  | $ | 4,686,000       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Madison Park Funding XIX, Ltd.                                                            |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 13.90% due January 22, 2028(9)(11)(12)(17)        |  |                          | 5,422,500  |  |      |   | 5,314,485   |               |  |   | 5,910,525       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Octagon Investment Partners 38, Ltd.                                                      |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 17.95% due July 20, 2030(9)(11)(12)(17)           |  |                          | 5,000,000  |  |      |   | 4,321,842   |               |  |   | 4,156,250       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Regatta V Funding, Ltd.                                                                   |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 10.74% due October 25, 2026(9)(10)(11)(12)(17)    |  |                          | 3,000,000  |  |      |   | 1,837,143   |               |  |   | 1,830,000       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Sound Point CLO XVI, Ltd.                                                                 |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 15.88% due July 25, 2030(9)(11)(12)(14)(17)       |  |                          | 45,500,000 |  |      |   | 43,903,316  |               |  |   | 42,770,000      | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Steele Creek CLO 2014-1, Ltd.                                                             |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 22.73% due August 21, 2031(9)(11)(12)(17)         |  |                          | 6,000,000  |  |      |   | 4,217,089   |               |  |   | 4,860,000       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Symphony CLO XVIII, Ltd.                                                                  |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 19.36% due January 23, 2028(9)(11)(12)(17)        |  |                          | 4,500,000  |  |      |   | 3,313,831   |               |  |   | 3,240,000       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Telos CLO 2013-3, Ltd.                                                                    |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 8.61% due July 17, 2026(9)(11)(12)(17)            |  |                          | 14,447,790 |  |      |   | 9,418,511   |               |  |   | 7,801,807       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Telos CLO 2013-4, Ltd.                                                                    |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 18.72% due January 17, 2030(9)(11)(12)(17)        |  |                          | 11,350,000 |  |      |   | 7,566,352   |               |  |   | 7,142,674       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Telos CLO 2014-5, Ltd.                                                                    |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 24.94% due April 17, 2028(9)(11)(12)(14)(17)      |  |                          | 28,500,000 |  |      |   | 19,364,262  |               |  |   | 18,289,695      | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Venture XIV, Ltd.                                                                         |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 15.64%  due August 28,
    2029(9)(11)(12)(17)    |  |                          | 2,500,000  |  |      |   | 1,552,569   |               |  |   | 1,350,000       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Venture XVII, Ltd.                                                                        |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 18.29% due April 15, 2027(9)(11)(12)(17)          |  |                          | 6,200,000  |  |      |   | 4,252,978   |               |  |   | 4,085,907       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Venture XX, Ltd.                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 12.06% due April 15, 2027(9)(11)(12)(17)          |  |                          | 3,000,000  |  |      |   | 2,272,253   |               |  |   | 2,190,000       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Vibrant CLO V, Ltd.                                                                       |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 16.19% due January 20, 2029(9)(11)(12)(17)        |  |                          | 13,475,000 |  |      |   | 11,946,280  |               |  |   | 10,780,000      | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|West CLO 2014-1, Ltd.                                                                     |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 12.31% due July 18, 2026(9)(11)(12)(17)           |  |                          | 9,250,000  |  |      |   | 6,448,382   |               |  |   | 5,550,000       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Windriver 2012-1 CLO, Ltd.                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 10.23% due January 15, 2024(9)(11)(12)(17)        |  |                          | 7,500,000  |  |      |   | 4,730,636   |               |  |   | 3,997,284       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Zais CLO 6, Ltd.                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 21.23% due July 15, 2029(9)(11)(12)(17)           |  |                          | 10,500,000 |  |      |   | 8,090,453   |               |  |   | 8,190,000       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO Equity Side Letter Related Investments(11)(12)(13)                                    |  |                          |            |  |      |   | 125,000     |               |  |   | 903,986         | 
|Total Structured Finance                                                                  |  |                          |            |  |      | $ | 209,345,013 |               |  | $ | 191,190,709     | 
|Total Collateralized Loan Obligation  - Equity Investments                                |  |                          |            |  |      | $ | 209,345,013 |               |  | $ | 191,190,709     | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Common Stock                                                                              |  |                          |            |  |      |   |             |               |  |   |                 | 
|IT Consulting                                                                             |  |                          |            |  |      |   |             |               |  |   |                 | 
|Unitek Global Services, Inc.                                                              |  |                          |            |  |      |   |             |               |  |   |                 | 
|common equity(7)(14)                                                                      |  |                          | 1,244,188  |  |      | $ | 684,960     |               |  | $ | 3,919,192       | 
|Total IT Consulting                                                                       |  |                          |            |  |      | $ | 684,960     |               |  | $ | 3,919,192       | 
|Total Common Stock                                                                        |  |                          |            |  |      | $ | 684,960     |               |  | $ | 3,919,192       | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Preferred Equity                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|IT Consulting                                                                             |  |                          |            |  |      |   |             |               |  |   |                 | 
|Unitek Global Services, Inc.                                                              |  |                          |            |  |      |   |             |               |  |   |                 | 
|Series A Super Senior Preferred Stock(7)(14)                                              |  |                          | 2,001,636  |  |      | $ | 2,001,636   |               |  | $ | 2,041,669       | 
|Series A Senior Preferred Equity(7)(14)                                                   |  |                          | 3,002,455  |  |      |   | 2,762,421   |               |  |   | 3,783,093       | 
|Series A Preferred Equity(7)(14)                                                          |  |                          | 5,706,866  |  |      |   | 3,677,000   |               |  |   | 9,359,260       | 
|Total IT Consulting                                                                       |  |                          |            |  |      | $ | 8,441,057   |               |  | $ | 15,184,022      | 
|Total Preferred Equity                                                                    |  |                          |            |  |      | $ | 8,441,057   |               |  | $ | 15,184,022      | 
|                                                                                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Warrants                                                                                  |  |                          |            |  |      |   |             |               |  |   |                 | 
|IT Consulting                                                                             |  |                          |            |  |      |   |             |               |  |   |                 | 
|Unitek Global Services, Inc.                                                              |  |                          |            |  |      |   |             |               |  |   |                 | 
|Warrants to purchase common stock(7)(14)                                                  |  |                          | 159,795    |  |      | $ | -           |               |  | $ | -               | 
|Total IT Consulting                                                                       |  |                          |            |  |      | $ | -           |               |  | $ | -               | 
|Total Warrants                                                                            |  |                          |            |  |      | $ | -           |               |  | $ | -               | 



(Continued on next page)



See Accompanying Notes.



4







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS

September 30, 2018



|COMPANY/INVESTMENT(1)                                  |  | PRINCIPAL
 AMOUNT |  |  | COST |   |             | FAIR VALUE(2) |  |   | % of Net Assets | 
|------------------------------------------------------ |  | ----------------- |  |  | ---- | - | ----------- | ------------- |  | - | --------------- | 
|                                                       |  |                   |  |  |      |   |             |               |  |   |                 | 
|Other Investments                                      |  |                   |  |  |      |   |             |               |  |   |                 | 
|Software                                               |  |                   |  |  |      |   |             |               |  |   |                 | 
|Algorithmic Implementations, Inc. (d/b/a "Ai Squared") |  |                   |  |  |      |   |             |               |  |   |                 | 
|Earnout payments(7)(18)                                |  |                   |  |  |      |   | 500,000     |               |  |   | -               | 
|Total Software                                         |  |                   |  |  |      | $ | 500,000     |               |  | $ | -               | 
|Total Other Investments                                |  |                   |  |  |      | $ | 500,000     |               |  | $ | -               | 
|                                                       |  |                   |  |  |      |   |             |               |  |   |                 | 
|Total Investments in Securities(8)                     |  |                   |  |  |      | $ | 516,024,673 |               |  | $ | 505,416,008     | 
|                                                       |  |                   |  |  |      |   |             |               |  |   |                 | 
|Cash Equivalents                                       |  |                   |  |  |      |   |             |               |  |   |                 | 
|First American Government Obligations Fund(19)         |  |                   |  |  |      | $ | 8,636,939   |               |  | $ | 8,636,939       | 
|Total Cash Equivalents                                 |  |                   |  |  |      | $ | 8,636,939   |               |  | $ | 8,636,939       | 
|Total Investments in Securities and Cash Equivalents   |  |                   |  |  |      | $ | 524,661,612 |               |  | $ | 514,052,947     | 








| | (1) | Other than Unitek Global Services, Inc., of which we are deemed to be an
                                                                              “affiliate,” we do not “control” and are not an“affiliate” of any of our
                                                                              portfolio companies, each 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 5% or more of its voting securities.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

| | (3) | Portfolio includes $5,861,343 of principal amount of debt
investments which contain a PIK provision at September 30, 2018.
| | --- | --------------------------------------------------------------------------------------------------------------------------

| | (4) | Notes bear interest at variable rates.
| | --- | --------------------------------------

| | (5) | Cost value reflects accretion of original issue discount
or market discount.
| | --- | ----------------------------------------------------------------------------

| | (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 $22,515,473;
                                                                              aggregate gross unrealized depreciation for federal income tax purposes is $64,535,609. Net unrealized depreciation is
                                                                              $42,020,136 based upon a tax cost basis of $547,436,144
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

| | (10) | The CLO equity investment was optionally redeemed. Refer
to “Note 3. Summary of Significant Accounting Policies.”
| | ---- | -----------------------------------------------------------------------------------------------------------------

| | (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, 2018, the Company held qualifying
assets that represented 63% 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 90-day LIBOR.
| | ---- | ------------------------------------------------------------------------------------------------------------

| | (16) | The principal balance outstanding for this debt investment,
in whole or in part, is indexed to 30-day LIBOR.
| | ---- | ------------------------------------------------------------------------------------------------------------

| | (17) | The CLO subordinated notes and income notes are considered
equity positions in the CLO funds. 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 upon a current projection of the amount and timing of these recurring distributions
and the estimated amount of repayment of principal upon expected redemption. Such projections are periodically reviewed and adjusted,
and the estimated yield may not ultimately be realized.
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (18) | Represents the earnout payments related to the sale of
Algorithmic Implementations, Inc. (d/b/a “Ai Squared”).
| | ---- | --------------------------------------------------------------------------------------------------------------

| | (19) | Represents cash equivalents held in money market accounts
as of September 30, 2018.
| | ---- | -----------------------------------------------------------------------------------

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

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

| | (22) | The principal balance outstanding for this debt investment,
in whole or in part, is indexed to 60-day LIBOR.
| | ---- | ------------------------------------------------------------------------------------------------------------



See Accompanying Notes.



5







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2017



|COMPANY/INVESTMENT(1)(20)                                                                                              |  | PRINCIPAL AMOUNT |            |  | COST |   |            | FAIR
VALUE(2) |  |   | % of Net Assets | 
|---------------------------------------------------------------------------------------------------------------------- |  | ---------------- | ---------- |  | ---- | - | ---------- | ------------- |  | - | --------------- | 
|Senior Secured Notes                                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Aerospace and Defense                                                                                                  |  |                  |            |  |      |   |            |               |  |   |                 | 
|Novetta, LLC                                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 6.70%  (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(15)               |  | $                | 5,586,000  |  |      | $ | 5,534,900  |               |  | $ | 5,399,819       | 
|Total Aerospace and Defense                                                                                            |  |                  |            |  |      | $ | 5,534,900  |               |  | $ | 5,399,819       | 
|                                                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|Business Services                                                                                                      |  |                  |            |  |      |   |            |               |  |   |                 | 
|Imagine! Print Solutions, LLC                                                                                          |  |                  |            |  |      |   |            |               |  |   |                 | 
|second lien senior secured notes, 10.45% (LIBOR + 8.75%), (1.00% floor) due June 21, 2023(4)(5)(15)                    |  | $                | 15,000,000 |  |      | $ | 14,815,027 |               |  | $ | 14,400,000      | 
|                                                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|Intralinks, Inc.                                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 5.70% (LIBOR + 4.00%), (1.00% floor) due November 14, 2024(4)(5)(15)                  |  |                  | 5,000,000  |  |      |   | 4,975,253  |               |  |   | 4,968,750       | 
|second lien senior secured notes, 9.70% (LIBOR + 8.00%), (1.00% floor) due November 14, 2025(4)(5)(6)(15)              |  |                  | 10,560,000 |  |      |   | 10,492,764 |               |  |   | 10,494,000      | 
|                                                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|Polycom, Inc.                                                                                                          |  |                  |            |  |      |   |            |               |  |   |                 | 
|second lien senior secured notes, 11.52% (LIBOR + 10.00%), (1.00% floor) due September 27, 2024(4)(5)(16)              |  |                  | 13,000,000 |  |      |   | 12,759,617 |               |  |   | 12,983,750      | 
|                                                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|Premiere Global Services, Inc.                                                                                         |  |                  |            |  |      |   |            |               |  |   |                 | 
|senior secured notes, 7.90% (LIBOR + 6.50%), (1.00% floor) due December 8, 2021(4)(5)(6)(14)(15)                       |  |                  | 15,605,055 |  |      |   | 14,450,063 |               |  |   | 15,312,460      | 
|second lien senior secured notes, 10.85% (LIBOR + 9.50%), (1.00% floor) due June 6, 2022(4)(5)(14)(16)                 |  |                  | 10,000,000 |  |      |   | 9,739,241  |               |  |   | 9,341,700       | 
|Total Business Services                                                                                                |  |                  |            |  |      | $ | 67,231,965 |               |  | $ | 67,500,660      | 
|                                                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|Consumer Services                                                                                                      |  |                  |            |  |      |   |            |               |  |   |                 | 
|Jackson Hewitt Tax Service, Inc.                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 8.38% (LIBOR + 7.00%), (1.00% floor) due July 30, 2020(4)(5)(6)(15)                   |  | $                | 19,601,471 |  |      | $ | 19,318,775 |               |  | $ | 19,282,947      | 
|Total Consumer Services                                                                                                |  |                  |            |  |      | $ | 19,318,775 |               |  | $ | 19,282,947      | 
|                                                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|Diversified Insurance                                                                                                  |  |                  |            |  |      |   |            |               |  |   |                 | 
|AmeriLife Group LLC                                                                                                    |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 6.32% (LIBOR + 4.75%), (1.00% floor) due July 10, 2022(4)(5)(6)(16)                   |  | $                | 15,408,145 |  |      | $ | 15,294,886 |               |  | $ | 15,177,023      | 
|Total Diversified Insurance                                                                                            |  |                  |            |  |      | $ | 15,294,886 |               |  | $ | 15,177,023      | 
|                                                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|Education                                                                                                              |  |                  |            |  |      |   |            |               |  |   |                 | 
|Edmentum, Inc. (f/k/a Plato, Inc.)                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 7.88% (LIBOR + 4.50%), (1.00% floor) Cash, 2.00% PIK dueJune 10, 2019(3)(4)(5)(6)(15) |  | $                | 5,765,441  |  |      | $ | 5,745,684  |               |  | $ | 4,473,002       | 
|Total Education                                                                                                        |  |                  |            |  |      | $ | 5,745,684  |               |  | $ | 4,473,002       | 



(continued on next page)

See Accompanying Notes.



6







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2017



|COMPANY/INVESTMENT(1)(20)                                                                                          |  | PRINCIPAL AMOUNT |            |  | COST |   |            | FAIR VALUE(2) |  |   | % of Net Assets | 
|------------------------------------------------------------------------------------------------------------------ |  | ---------------- | ---------- |  | ---- | - | ---------- | ------------- |  | - | --------------- | 
|Senior Secured
    Notes – (continued)                                                                             |  |                  |            |  |      |   |            |               |  |   |                 | 
|Financial Intermediaries                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|First American Payment Systems                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|second lien senior secured notes, 11.89% (LIBOR + 10.50%), (1.00% floor) due July 5, 2024(4)(5)(16)                |  | $                | 1,500,000  |  |      | $ | 1,458,866  |               |  | $ | 1,492,515       | 
|                                                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Lighthouse Network                                                                                                 |  |                  |            |  |      |   |            |               |  |   |                 | 
|senior secured notes, 6.07% (LIBOR + 4.50%), (1.00% floor) due November 30, 2024(4)(5)(16)                         |  |                  | 3,500,000  |  |      |   | 3,482,683  |               |  |   | 3,506,580       | 
|second lien senior secured notes, 10.07% (LIBOR + 8.50%), (1.00% floor) due November 30, 2025(4)(5)(16)            |  |                  | 12,000,000 |  |      |   | 11,880,523 |               |  |   | 11,940,000      | 
|Total Financial Intermediaries                                                                                     |  |                  |            |  |      | $ | 16,822,072 |               |  | $ | 16,939,095      | 
|                                                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Healthcare                                                                                                         |  |                  |            |  |      |   |            |               |  |   |                 | 
|Keystone Acquisition Corp.                                                                                         |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 6.94% (LIBOR + 5.25%), (1.00% floor) due May 1, 2024(4)(5)(6)(15)                 |  | $                | 2,992,500  |  |      | $ | 2,935,933  |               |  | $ | 3,003,722       | 
|second lien senior secured notes, 10.94% (LIBOR + 9.25%), (1.00% floor) due May 1, 2025(4)(5)(6)(15)               |  |                  | 10,000,000 |  |      |   | 9,805,957  |               |  |   | 9,950,000       | 
|Total Healthcare                                                                                                   |  |                  |            |  |      | $ | 12,741,890 |               |  | $ | 12,953,722      | 
|                                                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|IT Consulting                                                                                                      |  |                  |            |  |      |   |            |               |  |   |                 | 
|Unitek Global Services, Inc.                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured tranche B term loan, 10.20% (LIBOR + 8.50%), (1.00% floor) dueJanuary 13, 2019(4)(5)(15) |  | $                | 2,638,748  |  |      | $ | 2,627,442  |               |  | $ | 2,665,135       | 
|Total IT Consulting                                                                                                |  |                  |            |  |      | $ | 2,627,442  |               |  | $ | 2,665,135       | 
|                                                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Logistics                                                                                                          |  |                  |            |  |      |   |            |               |  |   |                 | 
|Capstone Logistics Acquisition, Inc.                                                                               |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 6.07% (LIBOR + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(16)             |  | $                | 10,573,496 |  |      | $ | 10,555,951 |               |  | $ | 10,406,118      | 
|Total Logistics                                                                                                    |  |                  |            |  |      | $ | 10,555,951 |               |  | $ | 10,406,118      | 
|                                                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Printing and Publishing                                                                                            |  |                  |            |  |      |   |            |               |  |   |                 | 
|Merrill Communications, LLC                                                                                        |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 6.63% (LIBOR + 5.25%), (1.00% floor) due June 01, 2022(4)(5)(6)(15)               |  | $                | 11,374,901 |  |      | $ | 11,300,971 |               |  | $ | 11,431,776      | 
|Total Printing and Publishing                                                                                      |  |                  |            |  |      | $ | 11,300,971 |               |  | $ | 11,431,776      | 
|                                                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Software                                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|ECI Software Solutions, Inc.                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|second lien senior secured notes, 9.69% (LIBOR + 8.00%), (1.00% floor) due September 29, 2025(4)(5)(15)            |  | $                | 15,000,000 |  |      | $ | 14,898,256 |               |  | $ | 14,925,000      | 
|Help/Systems Holdings, Inc.                                                                                        |  |                  |            |  |      |   |            |               |  |   |                 | 
|second lien senior secured notes, 11.19% (LIBOR + 9.50%), (1.00% floor) due October 8, 2022(4)(5)(15)              |  |                  | 10,000,000 |  |      |   | 9,719,036  |               |  |   | 9,841,700       | 
|Total Software                                                                                                     |  |                  |            |  |      | $ | 24,617,292 |               |  | $ | 24,766,700      | 



(continued on next page)

See Accompanying Notes.



7







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2017



|COMPANY/INVESTMENT(1)(20)                                                                                |  | PRINCIPAL AMOUNT |            |  | COST |   |             | FAIR VALUE(2) |  |   | % of Net Assets | 
|-------------------------------------------------------------------------------------------------------- |  | ---------------- | ---------- |  | ---- | - | ----------- | ------------- |  | - | --------------- | 
|Senior Secured Notes – (continued)                                                                       |  |                  |            |  |      |   |             |               |  |   |                 | 
|Telecommunications Services                                                                              |  |                  |            |  |      |   |             |               |  |   |                 | 
|Aricent Technologies, Inc.                                                                               |  |                  |            |  |      |   |             |               |  |   |                 | 
|second lien senior secured notes, 9.97% (LIBOR + 8.50%), (1.00% floor) due April 14, 2022(4)(5)(16)      |  | $                | 14,000,000 |  |      | $ | 14,007,813  |               |  | $ | 14,077,000      | 
|                                                                                                         |  |                  |            |  |      |   |             |               |  |   |                 | 
|Birch Communications, Inc.                                                                               |  |                  |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 8.60% (LIBOR + 7.25%), (1.00% floor) due July 17, 2020(4)(5)(6)(14)(15) |  |                  | 21,171,285 |  |      |   | 20,571,906  |               |  |   | 20,112,721      | 
|                                                                                                         |  |                  |            |  |      |   |             |               |  |   |                 | 
|Global Tel Link Corp                                                                                     |  |                  |            |  |      |   |             |               |  |   |                 | 
|second lien senior secured notes, 9.94% (LIBOR + 8.25%), (1.25% floor) due November 23, 2020(4)(5)(15)   |  |                  | 17,000,000 |  |      |   | 16,906,033  |               |  |   | 16,978,750      | 
|Total Telecommunication Services                                                                         |  |                  |            |  |      | $ | 51,485,752  |               |  | $ | 51,168,471      | 
|Total Senior Secured Notes                                                                               |  |                  |            |  |      | $ | 243,277,580 |               |  | $ | 242,164,468     | 
|                                                                                                         |  |                  |            |  |      |   |             |               |  |   |                 | 
|Subordinated Debt                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|IT Consulting                                                                                            |  |                  |            |  |      |   |             |               |  |   |                 | 
|Unitek Global Services, Inc.                                                                             |  |                  |            |  |      |   |             |               |  |   |                 | 
|Holdco PIK Debt Cash 0.00%, 15.00% PIK, due July 13, 2019(3)(5)                                          |  | $                | 778,766    |  |      | $ | 776,917     |               |  | $ | 786,554         | 
|Total IT Consulting                                                                                      |  |                  |            |  |      | $ | 776,917     |               |  | $ | 786,554         | 
|Total Subordinated Debt                                                                                  |  |                  |            |  |      | $ | 776,917     |               |  | $ | 786,554         | 
|                                                                                                         |  |                  |            |  |      |   |             |               |  |   |                 | 
|Collateralized Loan Obligation – Debt Investments                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|Structured Finance                                                                                       |  |                  |            |  |      |   |             |               |  |   |                 | 
|Catamaran CLO 2012-1 Ltd.                                                                                |  |                  |            |  |      |   |             |               |  |   |                 | 
|CLO secured class F notes, 7.88% (LIBOR + 6.25%), due December 20, 2023(4)(5)(11)(12)(15)                |  | $                | 1,250,000  |  |      | $ | 1,185,390   |               |  | $ | 1,250,000       | 
|                                                                                                         |  |                  |            |  |      |   |             |               |  |   |                 | 
|Jamestown CLO V Ltd.                                                                                     |  |                  |            |  |      |   |             |               |  |   |                 | 
|CLO secured class F notes, 7.20% (LIBOR + 5.85%), due January 17, 2027(4)(5)(11)(12)(15)                 |  |                  | 4,000,000  |  |      |   | 3,308,060   |               |  |   | 3,470,000       | 
|Total Structured Finance                                                                                 |  |                  |            |  |      | $ | 4,493,450   |               |  | $ | 4,720,000       | 
|Total Collateralized Loan Obligation – Debt Investments                                                  |  |                  |            |  |      | $ | 4,493,450   |               |  | $ | 4,720,000       | 
|                                                                                                         |  |                  |            |  |      |   |             |               |  |   |                 | 
|Collateralized Loan Obligation – Equity Investments                                                      |  |                  |            |  |      |   |             |               |  |   |                 | 
|Structured Finance                                                                                       |  |                  |            |  |      |   |             |               |  |   |                 | 
|AMMC CLO XI, Ltd.                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 5.02% dueOctober 30, 2023(9)(11)(12)(17)                         |  | $                | 6,000,000  |  |      | $ | 3,677,571   |               |  | $ | 3,180,000       | 
|                                                                                                         |  |                  |            |  |      |   |             |               |  |   |                 | 
|AMMC CLO XII, Ltd.                                                                                       |  |                  |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 15.85% due November 10, 2030(9)(11)(12)(17)                      |  |                  | 12,921,429 |  |      |   | 6,771,090   |               |  |   | 6,848,357       | 
|                                                                                                         |  |                  |            |  |      |   |             |               |  |   |                 | 
|Ares XXV CLO Ltd.                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 0.00% due January 17, 2024(9)(10)(11)(12)(17)                    |  |                  | 15,500,000 |  |      |   | 317,125     |               |  |   | —               | 



(continued on next page)

See Accompanying Notes.



8







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2017



|COMPANY/INVESTMENT(1)(20)                                                            |  | PRINCIPAL AMOUNT |            |  | COST |   |            | FAIR VALUE(2) |  |   | % of Net Assets | 
|------------------------------------------------------------------------------------ |  | ---------------- | ---------- |  | ---- | - | ---------- | ------------- |  | - | --------------- | 
|Collateralized Loan Obligation – Equity Investments – (continued)                    |  |                  |            |  |      |   |            |               |  |   |                 | 
|Structured Finance – (continued)                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|Ares XXVI CLO Ltd.                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 0.60% due April 15, 2025(9)(11)(12)(17)      |  | $                | 17,630,000 |  |      | $ | 3,939,835  |               |  | $ | 1,969,952       | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|Carlyle Global Market Strategies CLO 2013-2, Ltd.                                    |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 21.86% due January 18, 2029(9)(11)(12)(17)   |  |                  | 9,250,000  |  |      |   | 5,714,900  |               |  |   | 6,485,378       | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|Catamaran CLO 2012-1 Ltd.                                                            |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield -3.04% due December 20, 2023(9)(11)(12)(17)  |  |                  | 23,000,000 |  |      |   | 9,100,628  |               |  |   | 4,140,000       | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|Cedar Funding II CLO, Ltd.                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 14.01% due March 09, 2025(9)(11)(12)(17)     |  |                  | 18,000,000 |  |      |   | 13,720,760 |               |  |   | 13,320,000      | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|Cedar Funding VI CLO, Ltd.                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 13.91% due October 20, 2028(9)(11)(12)(17)   |  |                  | 7,700,000  |  |      |   | 6,979,156  |               |  |   | 6,776,000       | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|CIFC Funding 2012-1, Ltd.                                                            |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 0.00% due August 14, 2024(9)(10)(11)(12)(17) |  |                  | 12,750,000 |  |      |   | 213,307    |               |  |   | 223,125         | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|CIFC Funding 2014-3, Ltd.                                                            |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 11.67% due July 22, 2026(9)(11)(12)(17)      |  |                  | 10,000,000 |  |      |   | 6,865,057  |               |  |   | 6,200,000       | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|Galaxy XVII CLO, Ltd.                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 35.05% due July 15, 2026(9)(11)(12)(17)      |  |                  | 2,000,000  |  |      |   | 887,235    |               |  |   | 815,304         | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|GoldenTree Loan Opportunities VII, Ltd.                                              |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 12.95% due April 25, 2025(9)(11)(12)(17)     |  |                  | 4,670,000  |  |      |   | 2,567,366  |               |  |   | 2,521,800       | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|Hull Street CLO Ltd.                                                                 |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield -4.73% due October 18, 2026(9)(11)(12)(17)   |  |                  | 5,000,000  |  |      |   | 2,710,747  |               |  |   | 1,500,000       | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|Ivy Hill Middle Market Credit Fund VII, Ltd.                                         |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 17.49% due October 20, 2029(9)(11)(12)(17)   |  |                  | 10,800,000 |  |      |   | 8,973,086  |               |  |   | 8,053,212       | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|Jamestown CLO V Ltd.                                                                 |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 9.42% due January 17, 2027(9)(11)(12)(17)    |  |                  | 8,000,000  |  |      |   | 4,841,345  |               |  |   | 2,880,000       | 
|                                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|KVK CLO 2013-2, Ltd.                                                                 |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 19.78% due January 15, 2026(9)(11)(12)(17)   |  |                  | 14,200,000 |  |      |   | 6,731,819  |               |  |   | 5,254,000       | 



(continued on next page)

See Accompanying Notes.



9







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2017



|COMPANY/INVESTMENT(1)(20)                                                          |  | 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 13.35% due January 22, 2028(9)(11)(12)(17) |  | $                | 5,422,500  |  |      | $ | 5,300,799  |               |  | $ | 6,127,425       | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Mountain Hawk III CLO, Ltd.                                                        |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO M notes due April 18, 2025(11)(12)(13)                                         |  |                  | 2,389,676  |  |      |   | —          |               |  |   | 73,526          | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Regatta V Funding, Ltd.                                                            |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 20.45% due October 25, 2026(9)(11)(12)(17) |  |                  | 3,000,000  |  |      |   | 1,834,823  |               |  |   | 1,920,000       | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Steele Creek CLO 2014-1, Ltd.                                                      |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 21.88% due August 21, 2026(9)(11)(12)(17)  |  |                  | 6,000,000  |  |      |   | 4,309,580  |               |  |   | 4,320,000       | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Telos CLO 2013-3, Ltd.                                                             |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 17.45% due July 17, 2026(9)(11)(12)(17)    |  |                  | 14,447,790 |  |      |   | 9,548,557  |               |  |   | 8,090,762       | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Telos CLO 2013-4, Ltd.                                                             |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 30.14% due July 17, 2024(9)(11)(12)(17)    |  |                  | 11,350,000 |  |      |   | 7,468,980  |               |  |   | 6,810,000       | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Telos CLO 2014-5, Ltd.                                                             |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 19.95% due April 17, 2025(9)(11)(12)(17)   |  |                  | 28,500,000 |  |      |   | 18,258,468 |               |  |   | 16,267,667      | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Venture XIV, Ltd.                                                                  |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 17.23% due August 28, 2029(9)(11)(12)(17)  |  |                  | 5,250,000  |  |      |   | 3,324,796  |               |  |   | 2,835,000       | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Venture XVII, Ltd.                                                                 |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 19.92% due July 15, 2026(9)(11)(12)(17)    |  |                  | 6,200,000  |  |      |   | 4,196,382  |               |  |   | 3,919,298       | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Venture XXIV CLO, Ltd.                                                             |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 15.98% due October 20, 2028(9)(11)(12)(17) |  |                  | 3,750,000  |  |      |   | 3,331,706  |               |  |   | 3,375,000       | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Vibrant CLO V, Ltd.                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 17.01% due January 20, 2029(9)(11)(12)(17) |  |                  | 13,475,000 |  |      |   | 11,931,713 |               |  |   | 11,319,000      | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|West CLO 2014-1, Ltd.                                                              |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 27.80% due July 18, 2026(9)(11)(12)(17)    |  |                  | 9,250,000  |  |      |   | 6,472,541  |               |  |   | 6,290,000       | 
|                                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|Windriver 2012-1 CLO, Ltd.                                                         |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 13.19% due January 15, 2024(9)(11)(12)(17) |  |                  | 7,500,000  |  |      |   | 4,823,259  |               |  |   | 4,105,937       | 



(continued on next page)

See Accompanying Notes.



10







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2017



|COMPANY/INVESTMENT(1)(20)                                                       |  | PRINCIPAL AMOUNT/ SHARES |            |  | COST |   |             | FAIR VALUE(2) |  |   | % of Net Assets | 
|------------------------------------------------------------------------------- |  | ------------------------ | ---------- |  | ---- | - | ----------- | ------------- |  | - | --------------- | 
|Collateralized Loan Obligation – Equity Investments – (continued)               |  |                          |            |  |      |   |             |               |  |   |                 | 
|Structured Finance – (continued)                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|Zais CLO 6, Ltd.                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO subordinated notes, estimated yield 21.30% due July 15, 2029(9)(11)(12)(17) |  | $                        | 10,500,000 |  |      | $ | 8,408,861   |               |  | $ | 9,030,000       | 
|                                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|CLO Equity Side Letter Related Investments(11)(12)(13)                          |  |                          |            |  |      |   | 125,000     |               |  |   | 1,353,363       | 
|Total Structured Finance                                                        |  |                          |            |  |      | $ | 173,346,492 |               |  | $ | 156,004,106     | 
|Total Collateralized Loan Obligation – Equity Investments                       |  |                          |            |  |      | $ | 173,346,492 |               |  | $ | 156,004,106     | 
|                                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|Common Stock                                                                    |  |                          |            |  |      |   |             |               |  |   |                 | 
|IT Consulting                                                                   |  |                          |            |  |      |   |             |               |  |   |                 | 
|Unitek Global Services, Inc.                                                    |  |                          |            |  |      |   |             |               |  |   |                 | 
|common equity(7)                                                                |  |                          | 1,244,188  |  |      | $ | 684,960     |               |  | $ | 3,048,261       | 
|Total IT Consulting                                                             |  |                          |            |  |      | $ | 684,960     |               |  | $ | 3,048,261       | 
|Total Common Stock                                                              |  |                          |            |  |      | $ | 684,960     |               |  | $ | 3,048,261       | 
|                                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|Preferred Equity                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|IT Consulting                                                                   |  |                          |            |  |      |   |             |               |  |   |                 | 
|Unitek Global Services, Inc.                                                    |  |                          |            |  |      |   |             |               |  |   |                 | 
|Series A Senior Preferred Equity(7)                                             |  |                          | 3,002,455  |  |      | $ | 2,762,421   |               |  | $ | 3,272,675       | 
|Series A Preferred Equity(7)                                                    |  |                          | 5,706,866  |  |      |   | 3,677,000   |               |  |   | 8,446,162       | 
|Total IT Consulting                                                             |  |                          |            |  |      | $ | 6,439,421   |               |  | $ | 11,718,837      | 
|Total Preferred Equity                                                          |  |                          |            |  |      | $ | 6,439,421   |               |  | $ | 11,718,837      | 
|                                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|Warrants                                                                        |  |                          |            |  |      |   |             |               |  |   |                 | 
|IT Consulting                                                                   |  |                          |            |  |      |   |             |               |  |   |                 | 
|Unitek Global Services, Inc.                                                    |  |                          |            |  |      |   |             |               |  |   |                 | 
|Warrants to purchase common stock(7)                                            |  |                          | 159,795    |  |      | $ | —           |               |  | $ | —               | 
|Total IT Consulting                                                             |  |                          |            |  |      | $ | —           |               |  | $ | —               | 
|Total Warrants                                                                  |  |                          |            |  |      | $ | —           |               |  | $ | —               | 
|                                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|Other Investments                                                               |  |                          |            |  |      |   |             |               |  |   |                 | 
|Software                                                                        |  |                          |            |  |      |   |             |               |  |   |                 | 
|Algorithmic Implementations, Inc. (d/b/a “Ai Squared”)                          |  |                          |            |  |      |   |             |               |  |   |                 | 
|Earnout payments(7)(18)                                                         |  |                          |            |  |      |   | 500,000     |               |  |   | —               | 
|Total Software                                                                  |  |                          |            |  |      | $ | 500,000     |               |  | $ | —               | 
|Total Other Investments                                                         |  |                          |            |  |      | $ | 500,000     |               |  | $ | —               | 
|                                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|Total Investments in Securities(8)                                              |  |                          |            |  |      | $ | 429,518,820 |               |  | $ | 418,442,226     | 
|                                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|Cash Equivalents                                                                |  |                          |            |  |      |   |             |               |  |   |                 | 
|First American Government Obligations Fund(19)                                  |  |                          |            |  |      | $ | 30,013,842  |               |  | $ | 30,013,842      | 
|Total Cash Equivalents                                                          |  |                          |            |  |      | $ | 30,013,842  |               |  | $ | 30,013,842      | 
|Total Investments in Securities and Cash Equivalents                            |  |                          |            |  |      | $ | 459,532,662 |               |  | $ | 448,456,068     | 








| | (1) | Other than Unitek Global Services, Inc., of which we are deemed to be an “affiliate,” we do not “control”
and are not an “affiliate” of any of our portfolio companies, each 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 5%
or more of its voting securities.
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



See
Accompanying Notes.



11







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2017



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

| | (3) | Portfolio includes $6,544,207 of principal amount of debt investments which contain a PIK provision at December 31, 2017.
| | --- | -------------------------------------------------------------------------------------------------------------------------

| | (4) | Notes bear interest at variable rates.
| | --- | --------------------------------------

| | (5) | Cost value reflects accretion of original issue discount or market discount.
| | --- | ----------------------------------------------------------------------------

| | (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 $19,352,263; aggregate gross unrealized depreciation
for federal income tax purposes is $55,593,978. Net unrealized depreciation is $36,247,715 based upon a tax cost basis of $454,683,941.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

| | (10) | The CLO equity investment was optionally redeemed. Refer to “Note 3. Summary of Significant Accounting Policies.”
| | ---- | -----------------------------------------------------------------------------------------------------------------

| | (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, 2017, the Company held qualifying assets that represented 64.6% 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.
| | ---- | ----------------------------------------------------------------------------------------------------

| | (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 90-day LIBOR.
| | ---- | ------------------------------------------------------------------------------------------------------------

| | (16) | The principal balance outstanding for this debt investment, in whole or in part, is indexed to 30-day LIBOR.
| | ---- | ------------------------------------------------------------------------------------------------------------

| | (17) | The CLO subordinated notes and income notes are considered equity positions in the CLO funds. 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 upon a current projection
of the amount and timing of these recurring distributions and the estimated amount of repayment of principal upon expected redemption.
Such projections are periodically reviewed and adjusted, and the estimated yield may not ultimately be realized.
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (18) | Represents the earnout payments related to the sale of Algorithmic Implementations, Inc. (d/b/a “Ai Squared”).
| | ---- | --------------------------------------------------------------------------------------------------------------

| | (19) | Represents cash equivalents held in money market accounts as of December 31, 2017.
| | ---- | ----------------------------------------------------------------------------------

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



See Accompanying
Notes.



12







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)



|                                                                                  |  | Three Months Ended September 30, 2018 |            |   | Three Months Ended September 30, 2017 |   |            | Nine Months Ended September 30, 2018 |  |   | Nine Months Ended September 30, 2017 |  
|--------------------------------------------------------------------------------- |  | ------------------------------------- | ---------- | - | ------------------------------------- | - | ---------- | ------------------------------------ |  | - | ------------------------------------ | -
|INVESTMENT INCOME                                                                 |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|From non-affiliated investments:                                                  |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|Interest income – debt investments                                                |  | $                                     | 6,461,737  |   |                                       | $ | 5,306,698  |                                      |  | $ | 18,134,829                           |  
|Income from securitization vehicles and investments                               |  |                                       | 7,217,804  |   |                                       |   | 8,086,059  |                                      |  |   | 20,121,432                           |  
|Other income                                                                      |  |                                       | 1,468,611  |   |                                       |   | 1,007,230  |                                      |  |   | 2,555,797                            |  
|Total investment income from non-affiliated investments                           |  |                                       | 15,148,152 |   |                                       |   | 14,399,987 |                                      |  |   | 40,812,058                           |  
|From affiliated investments:                                                      |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|Interest income – debt investments                                                |  |                                       | 70,300     |   |                                       |   | 97,710     |                                      |  |   | 271,916                              |  
|Total investment income from affiliated investments                               |  |                                       | 70,300     |   |                                       |   | 97,710     |                                      |  |   | 271,916                              |  
|Total investment income                                                           |  |                                       | 15,218,452 |   |                                       |   | 14,497,697 |                                      |  |   | 41,083,974                           |  
|EXPENSES                                                                          |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|Base management fee                                                               |  |                                       | 1,834,856  |   |                                       |   | 2,004,391  |                                      |  |   | 5,257,061                            |  
|Interest expense                                                                  |  |                                       | 2,258,403  |   |                                       |   | 3,701,533  |                                      |  |   | 4,635,177                            |  
|Professional fees                                                                 |  |                                       | 366,399    |   |                                       |   | 720,500    |                                      |  |   | 871,476                              |  
|Compensation expense                                                              |  |                                       | 210,262    |   |                                       |   | 237,686    |                                      |  |   | 686,484                              |  
|General and administrative                                                        |  |                                       | 365,902    |   |                                       |   | 501,464    |                                      |  |   | 1,200,097                            |  
|Total expenses before incentive fee                                               |  |                                       | 5,035,822  |   |                                       |   | 7,165,574  |                                      |  |   | 12,650,295                           |  
|Net investment income incentive fee                                               |  |                                       | 1,570,126  |   |                                       |   | 564,370    |                                      |  |   | 3,410,068                            |  
|Total expenses                                                                    |  |                                       | 6,605,948  |   |                                       |   | 7,729,944  |                                      |  |   | 16,060,363                           |  
|Net investment income                                                             |  |                                       | 8,612,504  |   |                                       |   | 6,767,753  |                                      |  |   | 25,023,611                           |  
|Net change in unrealized appreciation/(depreciation) on investments               |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|Non-Affiliated investments                                                        |  |                                       | (2,693,363 | ) |                                       |   | 1,884,023  |                                      |  |   | (1,819,221                           | )
|Affiliated investments                                                            |  |                                       | 423,621    |   |                                       |   | 666,278    |                                      |  |   | 2,287,150                            |  
|Total net change in unrealized appreciation/(depreciation) on investments         |  |                                       | (2,269,742 | ) |                                       |   | 2,550,301  |                                      |  |   | 467,929                              |  
|Net realized gains/(losses)                                                       |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|Non-Affiliated investments                                                        |  |                                       | 178,914    |   |                                       |   | (1,066,399 | )                                    |  |   | (577,890                             | )
|Affiliated investments                                                            |  |                                       | 5,241      |   |                                       |   | —          |                                      |  |   | 5,241                                |  
|Extinguishment of debt                                                            |  |                                       | (14,608    | ) |                                       |   | (2,235,636 | )                                    |  |   | (14,608                              | )
|Total net realized gains/(losses)                                                 |  |                                       | 169,547    |   |                                       |   | (3,302,035 | )                                    |  |   | (587,257                             | )
|Net increase in net assets resulting from operations                              |  | $                                     | 6,512,309  |   |                                       | $ | 6,016,019  |                                      |  | $ | 24,904,283                           |  
|Net increase in net assets resulting from net investment income per common share: |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|(Basic and Diluted)                                                               |  | $                                     | 0.18       |   |                                       | $ | 0.13       |                                      |  | $ | 0.50                                 |  
|Net increase in net assets resulting from operations per common share:            |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|(Basic and Diluted)                                                               |  | $                                     | 0.13       |   |                                       | $ | 0.12       |                                      |  | $ | 0.50                                 |  
|Weighted average shares of common stock outstanding:                              |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|Basic                                                                             |  |                                       | 49,195,368 |   |                                       |   | 51,479,409 |                                      |  |   | 50,153,321                           |  
|Diluted                                                                           |  |                                       | 49,195,368 |   |                                       |   | 59,727,707 |                                      |  |   | 50,153,321                           |  
|Distributions per share                                                           |  | $                                     | 0.20       |   |                                       | $ | 0.20       |                                      |  | $ | 0.60                                 |  



See Accompanying Notes.



13







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED STATEMENTS OF CHANGES IN
NET ASSETS



|                                                                                                                             |  | Nine Months Ended  September 30, 2018 |             |   | Year Ended December 31, 2017 |  
|---------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------------- | ----------- | - | ---------------------------- | -
|                                                                                                                             |  | (unaudited)                           |             |   |                              |  
|Increase in net assets from operations:                                                                                      |  |                                       |             |   |                              |  
|Net investment income                                                                                                        |  | $                                     | 25,023,611  |   |                              | $
|Net change in unrealized appreciation/depreciation on investments                                                            |  |                                       | 467,929     |   |                              |  
|Net realized gains/(losses)                                                                                                  |  |                                       | (587,257    | ) |                              |  
|Net increase in net assets resulting from operations                                                                         |  |                                       | 24,904,283  |   |                              |  
|Distributions to stockholders                                                                                                |  |                                       |             |   |                              |  
|Distributions of net investment income                                                                                       |  |                                       | (18,658,403 | ) |                              |  
|Distributions of return of capital                                                                                           |  |                                       | (11,292,430 | ) |                              |  
|Total distributions to stockholders                                                                                          |  |                                       | (29,950,833 | ) |                              |  
|Capital share transactions:                                                                                                  |  |                                       |             |   |                              |  
|Repurchase of common stock                                                                                                   |  |                                       | (15,104,677 | ) |                              |  
|Net decrease in net assets from capital share transactions                                                                   |  |                                       | (15,104,677 | ) |                              |  
|Total (decrease)/increase in net assets                                                                                      |  |                                       | (20,151,227 | ) |                              |  
|Net assets at beginning of period                                                                                            |  |                                       | 388,418,642 |   |                              |  
|Net assets at end of period (including over distributed net investment  income of $29,999,484 and $25,072,262, respectively) |  | $                                     | 368,267,415 |   |                              | $
|Capital share activity:                                                                                                      |  |                                       |             |   |                              |  
|Shares repurchased                                                                                                           |  |                                       | (2,333,143  | ) |                              |  
|Net decrease in capital share activity                                                                                       |  |                                       | (2,333,143  | ) |                              |  



See Accompanying Notes.



14







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED STATEMENTS OF CASH FLOWS
(unaudited)



|                                                                                                                                      |  | Nine Months Ended September 30, 2018 |              |   | Nine Months Ended September 30, 2017 |  
|------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------------ | ------------ | - | ------------------------------------ | -
|CASH FLOWS (USED IN) FROM OPERATING ACTIVITIES                                                                                        |  |                                      |              |   |                                      |  
|Net increase in net assets resulting from operations                                                                                  |  | $                                    | 24,904,283   |   |                                      | $
|Adjustments to reconcile net increase in net assets resulting from operations to net cash (used in) provided by operating activities: |  |                                      |              |   |                                      |  
|Accretion of discounts on investments                                                                                                 |  |                                      | (488,734     | ) |                                      |  
|Accretion of discount on notes payable and deferred debt issuance costs                                                               |  |                                      | 271,996      |   |                                      |  
|Increase in investments due to PIK                                                                                                    |  |                                      | (230,689     | ) |                                      |  
|Payment of original discount on TICC CLO 2012-1 LLC                                                                                   |  |                                      | —            |   |                                      |  
|Purchases of investments                                                                                                              |  |                                      | (205,311,330 | ) |                                      |  
|Repayments of principal                                                                                                               |  |                                      | 92,682,109   |   |                                      |  
|Proceeds from the sale of investments                                                                                                 |  |                                      | 15,374,205   |   |                                      |  
|Net realized losses on investments                                                                                                    |  |                                      | 572,649      |   |                                      |  
|Reductions to CLO equity cost value                                                                                                   |  |                                      | 10,891,646   |   |                                      |  
|Net change in unrealized appreciation/depreciation on investments                                                                     |  |                                      | (467,929     | ) |                                      |  
|Decrease in interest and distributions receivable                                                                                     |  |                                      | 378,512      |   |                                      |  
|Decrease (increase) in other assets                                                                                                   |  |                                      | 75,846       |   |                                      |  
|Increase in accrued interest payable                                                                                                  |  |                                      | 353,117      |   |                                      |  
|Increase (decrease) in base management fee and net investment income incentive fee payable                                            |  |                                      | 698,883      |   |                                      |  
|Decrease in accrued expenses                                                                                                          |  |                                      | (81,091      | ) |                                      |  
|Net cash (used in) provided by operating activities                                                                                   |  |                                      | (60,376,527  | ) |                                      |  
|CASH FLOWS FROM (USED IN) FINANCING ACTIVITIES                                                                                        |  |                                      |              |   |                                      |  
|Distributions paid                                                                                                                    |  |                                      | (29,950,833  | ) |                                      |  
|Repurchase of common stock                                                                                                            |  |                                      | (15,104,677  | ) |                                      |  
|Proceeds from credit facility                                                                                                         |  |                                      | 95,193,113   |   |                                      |  
|Deferred debt issuance costs on credit facility                                                                                       |  |                                      | (212,387     | ) |                                      |  
|Repayment of original proceeds of notes payable – TICC CLO 2012-1 LLC                                                                 |  |                                      | —            |   |                                      |  
|Partial repayment of credit facility                                                                                                  |  |                                      | (7,489,875   | ) |                                      |  
|Net realized losses on extinguishment of debt                                                                                         |  |                                      | 14,608       |   |                                      |  
|Proceeds from issuance of 6.50% unsecured notes                                                                                       |  |                                      | —            |   |                                      |  
|Net cash provided by (used in) financing activities                                                                                   |  |                                      | 42,449,949   |   |                                      |  
|Net increase in cash, cash equivalents and restricted cash                                                                            |  |                                      | (17,926,578  | ) |                                      |  
|Cash equivalents and restricted cash, beginning of period                                                                             |  |                                      | 30,013,842   |   |                                      |  
|Cash equivalents and restricted cash, end of period                                                                                   |  | $                                    | 12,087,264   |   |                                      | $
|SUPPLEMENTAL DISCLOSURES                                                                                                              |  |                                      |              |   |                                      |  
|Cash paid for interest for the period                                                                                                 |  | $                                    | 4,010,065    |   |                                      | $
|NON-CASH ACTIVITIES                                                                                                                   |  |                                      |              |   |                                      |  
|Securities sold not settled at the end of the period                                                                                  |  | $                                    | —            |   |                                      | $
|Securities purchased not settled at the end of the period                                                                             |  | $                                    | —            |   |                                      | $



See Accompanying Notes.



15







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 1. UNAUDITED INTERIM FINANCIAL STATEMENTS



Interim consolidated financial statements
of Oxford Square Capital Corp. (“OXSQ” and, together with its subsidiaries, the “Company”), formerly TICC
Capital Corp., 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 Article 10 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 financial statements 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 Form 10-K for the year ended December 31, 2017, as filed with the Securities
and Exchange Commission (“SEC”).



NOTE 2. ORGANIZATION



Effective March 19, 2018, TICC Capital
Corp. changed its name to Oxford Square Capital Corp. The Company made this change in order to more closely align the branding
of the Company with its affiliated funds. OXSQ was incorporated under the General Corporation Laws of the State of Maryland on
July 21, 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.



The Company’s investment activities
are managed by Oxford Square Management, LLC (“Oxford Square Management”), formerly TICC Management, LLC. 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”), formerly BDC Partners, LLC, its managing member and a related party,
and 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 subsidiaries, Oxford Square Funding 2018 LLC (“OXSQ Funding”) and TICC CLO
2012-1 LLC (“2012 Securitization Issuer” or “TICC CLO 2012-1”), for the periods during which they were
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. TICC CLO 2012-1 was formed for the purpose of enabling the Company to obtain debt financing
and is operated solely for the investment activities of the Company. TICC CLO 2012-1 ceased operations on August 25, 2017. During
the quarter ended December 31, 2017, the Company, as collateral manager of TICC CLO 2012-1, dissolved TICC CLO 2012-1 pursuant
to Delaware law by filing a certificate of cancellation with the Secretary of State in Delaware. 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 subsidiaries, OXSQ Funding and TICC CLO 2012-1, for the periods
during which they are held. All inter-company accounts and transactions have been eliminated in 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.



16







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(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. TICC CLO 2012-1 would have been considered an investment company but for the exceptions under Sections
3(c)(1) and 3(c)(7) under the 1940 Act, and was established solely for the purpose of allowing the Company to borrow funds for
the purpose of making investments. The Company owned all of the equity in this entity and controlled the decision making power
that drove its economic performance. Accordingly, the Company consolidated TICC CLO 2012-1 in its financial statements for the
periods which it was held, and follows the accounting and reporting guidance in ASC 946-810. The Company also consolidated 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 and cash equivalents consist of demand
deposits and cash held in a money market fund which contain investments with original maturities of three months or less. The Company
places its cash and 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 indenture, and are not available for
general corporate purposes. There was approximately $3.5 million of restricted cash held by the trustee of OXSQ Funding as of September
30, 2018. There was no restricted cash as of December 31, 2017.



INVESTMENT VALUATION



The Company measures its investment portfolio
at fair value in accordance with the provisions of ASC 820, Fair Value Measurement and Disclosure. 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.



17







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



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



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:
Level 1, defined as observable inputs such as quoted prices in active markets; Level 2, 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 Level 3,
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 September 30, 2018.



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 we own 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 prepares an analysis of each syndicated loan, including a financial summary, debt 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



The Company has acquired a number of
debt and equity positions in collateralized loan obligation (“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 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. 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.



18







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



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







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 previous 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: Grade 1, at least annually; Grade 2, at least semi-annually; Grades 3, 4, and 5, 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. Oxford Square Management
also retains the authority to seek, on the Company’s behalf, additional third-party valuations with respect to the Company’s
bilateral portfolio securities, syndicated loan investments, and CLO investment vehicles. 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 September 30,
2018 and as of December 31, 2017, the Company had no 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.



19







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



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



Payment-In-Kind



The Company has debt 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 computed at the contractual rate is accrued into income and 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 to be realized, the PIK investment
will be placed on non-accrual status. PIK investments on non-accrual status are restored to accrual status once it becomes probable
that PIK will be 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 an effective yield to the expected redemption utilizing estimated cash flows, 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 GAAP 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.



Preferred Equity Dividends



The Company holds preferred equity investments in its portfolio that contain cumulative preferred dividends
that accumulate quarterly. The Company will record cumulative preferred dividends as investment income when they are declared by
the portfolio company’s board of directors or upon any voluntary or involuntary liquidation, dissolution or winding up of
the portfolio company.  As of September 30, 2018, approximately $4.5 million of cumulative preferred dividends had accumulated
but had yet to be recorded as investment income by the Company.  These dividends are considered in the estimation of fair
value of these preferred equity investments.



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
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.



20







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



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



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.



SECURITIES TRANSACTIONS



Securities transactions are recorded on
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 for which the cost basis has been reduced to zero 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.



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 September 30, 2018, 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 2018 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 12 months.



For tax purposes, the cost basis of the
portfolio investments at September 30, 2018 and December 31, 2017, was approximately $547,436,144 and $454,683,941, respectively.



RECENT ACCOUNTING PRONOUNCEMENTS



In
August 2018, the FASB issued Accounting Standards Update (“ASU”) 2018-13, Fair Value Measurement (Topic
820) – Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”) 
to improve the effectiveness of fair value measurement disclosures. This amendment modifies the disclosure requirements of fair
value measurements based on the concepts in FASB Concepts Statement, Conceptual Framework for Financial Reporting- Chapter 8:
Notes to Financial Statements. ASU 2018-13 is effective for fiscal years, and interim periods within those fiscal
years, beginning after December 15, 2019, and early adoption is permitted.Management has adopted the amendments in
ASU 2018-13 as of September 30, 2018. The adoption did not have a material impact on the Company’s consolidated financial
statements and disclosures.



21







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



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



In
March 2017, the FASB issued ASU  2017-08, Receivables— Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium
Amortization on Purchased Callable Debt Securities (“ASU 2017-08”) which amends the amortization
period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU
2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized
to maturity. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after
December 15, 2018. Management has assessed these changes and does not believe they will have a material impact on the Company’s
consolidated financial statements and disclosures.



In November 2016, the FASB issued ASU 2016-18,
Statement of Cash Flows (Topic 230): Restricted Cash (a Consensus of the Emerging Issues Task Force) (“ASU 2016-18”),
which requires that the statement of cash flows explain the change during the period in the total of cash, cash equivalents, and
amounts generally described as restricted cash or restricted cash equivalents. ASU 2016-18 is effective for annual reporting periods
beginning after December 15, 2017, including interim periods within those fiscal years, with early adoption permitted. Management
adopted the new guidance as of January 1, 2018 and upon adoption of the standard, restricted cash was included as part of beginning
and ending cash and cash equivalents on the consolidated statement of cash flows for the nine months ended September 30, 2018 and
2017.



In August 2016, the FASB issued ASU 2016-15,
Classification of Certain Cash Receipts and Cash Payments (a Consensus of the Emerging Issues Task Force) (“ASU 2016-15”),
which is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. ASU
2016-15 is effective for annual reporting periods beginning after December 15, 2017, including interim periods within those fiscal
years, with early adoption permitted. Management adopted the new guidance as of January 1, 2018 and the adoption did not have a
material impact on the Company’s consolidated financial statements.



NOTE 4. FAIR VALUE



The Company’s assets measured at
fair value on a recurring basis as of September 30, 2018 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) |  
|Senior Secured Notes            |  | $                                                              | —   |  |                                                | $
|CLO Debt                        |  |                                                                | —   |  |                                                |  
|CLO Equity                      |  |                                                                | —   |  |                                                |  
|Equity and Other Investments    |  |                                                                | —   |  |                                                |  
|Total Investments at fair value |  |                                                                | —   |  |                                                |  
|Cash equivalents                |  |                                                                | 8.6 |  |                                                |  
|Total assets at fair value      |  | $                                                              | 8.6 |  |                                                | $



22







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 4. FAIR VALUE(cont.)



The Company’s assets measured at
fair value on a recurring basis at December 31, 2017 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) |  
|Senior Secured Notes            |  | $                                                              | —    |  |                                               | $
|Subordinated Debt               |  |                                                                | —    |  |                                               |  
|CLO Debt                        |  |                                                                | —    |  |                                               |  
|CLO Equity                      |  |                                                                | —    |  |                                               |  
|Equity and Other Investments    |  |                                                                | —    |  |                                               |  
|Total Investments at fair value |  |                                                                | —    |  |                                               |  
|Cash equivalents                |  |                                                                | 30.0 |  |                                               |  
|Total assets at fair value      |  | $                                                              | 30.0 |  |                                               | $



Significant Unobservable Inputs for Level 3 Investments



The following tables provide quantitative
information about the Company’s Level 3 fair value measurements as of September 30, 2018 and December 31, 2017, 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
|-------------------------------------------- |  | --------------------------------------------------------------
|Assets ($ in millions)                       |  | Fair
    Value as of September 30, 2018                       
|Senior
    Secured Notes                     |  | $                                                             
|                                             |  |                                                               
|                                             |  |                                                               
|CLO Debt                                     |  |                                                               
|CLO Equity                                   |  |                                                               
|                                             |  |                                                               
|                                             |  |                                                               
|                                             |  |                                                               
|Equity
    and Other Investments             |  |                                                               
|                                             |  |                                                               
|Total
    Fair Value for Level 3 Investments |  | $                                                             



23







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 4. FAIR VALUE(cont.)








| | (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 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 the corporate debt investments
and 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.
| | ---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------





|                                             |  | Quantitative
    Information about Level 3 Fair Value Measurements
|-------------------------------------------- |  | ------------------------------------------------------------------
|Assets ($ in millions)                       |  |                                                                   
|Senior Secured Notes                         |  | $                                                                 
|                                             |  |                                                                   
|                                             |  |                                                                   
|                                             |  |                                                                   
|Subordinated Debt                            |  |                                                                   
|CLO Debt                                     |  |                                                                   
|CLO Equity                                   |  |                                                                   
|                                             |  |                                                                   
|Equity and Other Investments                 |  |                                                                   
|Total Fair Value for
    Level 3 Investments |  | $                                                                 



24







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 4. FAIR VALUE(cont.)








|(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) | 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”).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             
|(5) | 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.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         
|(6) | For the corporate debt investments and 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.                                                                                                   
|(7) | 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.                                                                                                                                                                                                                                                                                                                                                                  
|(8) | Discount rate represents the rate at which future cash flows are discounted to calculate a present value, reflecting market assumptions for risk.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               
|(9) | 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 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.                                                                                                                                                                                                                                          



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 September 30,
2018 and the level of each financial liability within the fair value hierarchy:



|($ in millions)          |  | Carrying Value(1) |       |  | Fair Value |   |       | Level 1 |  |   | Level 2 |  |  | Level 3 |     
|------------------------ |  | ----------------- | ----- |  | ---------- | - | ----- | ------- |  | - | ------- |  |  | ------- | ----
|6.50% Unsecured Notes(2) |  | $                 | 62.6  |  |            | $ | 64.6  |         |  | $ | —       |  |  | $       | 64.6
|Credit Facility(3)       |  |                   | 87.5  |  |            |   | 87.7  |         |  |   | —       |  |  |         | —   
|Total                    |  | $                 | 150.1 |  |            | $ | 152.3 |         |  | $ | —       |  |  | $       | 64.6








| | (1) | Carrying value is net of
deferred debt issuance costs. As of September 30, 2018 the unamortized debt issuance costs were approximately $1.8 million for
the 6.50% unsecured notes due 2024 (the “6.50% Unsecured Notes”) and approximately $0.2 million for the OXSQ Funding
Credit Facility.
| | --- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | Fair value is based upon
the closing price on the last day of the period. The 6.50% Unsecured Notes are listed on the NASDAQ Global Select Market (trading
symbol OXSQL).
| | --- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (3) | Fair value represents the
par amount of the Credit Facility.
| | --- | ------------------------------------------------------------



25







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(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 December 31,
2017 and the level of each financial liability within the fair value hierarchy:



|($ in millions)          |  | Carrying Value(1) |      |  | Fair Value |   |      | Level 1 |  |   | Level 2 |  |  | Level 3 |     
|------------------------ |  | ----------------- | ---- |  | ---------- | - | ---- | ------- |  | - | ------- |  |  | ------- | ----
|6.50% Unsecured Notes(2) |  | $                 | 62.3 |  |            | $ | 66.5 |         |  | $ | —       |  |  | $       | 66.5
|Total                    |  | $                 | 62.3 |  |            | $ | 66.5 |         |  | $ | —       |  |  | $       | 66.5



| | (1) | Carrying value is net of
deferred debt issuance costs, which totaled approximately $2.0 million as of December 31, 2017.
| | --- | ------------------------------------------------------------------------------------------------------------------------

| | (2) | Fair value is based upon
the closing price on the last day of the period. The 6.50% Unsecured Notes are listed on the NASDAQ Global Select Market (trading
symbol OXSQL).
| | --- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------



A reconciliation of the fair value of investments
for the three months ended September 30, 2018, utilizing significant unobservable inputs, is as follows:



|($ in millions)                                                                                                                                                                                                                                                                                                             |  | Senior
    Secured Notes |       |   | Subordinated
    Debt |   |      | CLO
    Debt |  |   | CLO
    Equity |  |  | Equity/
    Other Investments |       |   | Total(2) |  
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------ | ----- | - | --------------------- | - | ---- | ------------ |  | - | -------------- |  |  | ----------------------------- | ----- | - | -------- | -
|Balance at June 30, 2018                                                                                                                                                                                                                                                                                                    |  | $                        | 285.3 |   |                       | $ | 0.8  |              |  | $ | 4.4            |  |  | $                             | 145.8 |   |          | $
|Realized gains/(losses)
    included in earnings                                                                                                                                                                                                                                                                            |  |                          | 0.2   |   |                       |   | —    |              |  |   | —              |  |  |                               | (0.1  | ) |          |  
|Unrealized (depreciation)/appreciation
    included in earnings                                                                                                                                                                                                                                                             |  |                          | (0.3  | ) |                       |   | —    |              |  |   | —              |  |  |                               | (2.6  | ) |          |  
|Accretion of discount                                                                                                                                                                                                                                                                                                       |  |                          | 0.1   |   |                       |   | —    |              |  |   | —              |  |  |                               | —     |   |          |  
|Purchases                                                                                                                                                                                                                                                                                                                   |  |                          | 35.6  |   |                       |   | —    |              |  |   | —              |  |  |                               | 54.2  |   |          |  
|Repayments and Sales                                                                                                                                                                                                                                                                                                        |  |                          | (30.4 | ) |                       |   | (0.8 | )            |  |   | —              |  |  |                               | (5.0  | ) |          |  
|Reductions
    to CLO Equity Cost Value(1)                                                                                                                                                                                                                                                                                  |  |                          | —     |   |                       |   | —    |              |  |   | —              |  |  |                               | (1.2  | ) |          |  
|Payment in Kind income                                                                                                                                                                                                                                                                                                      |  |                          | 0.1   |   |                       |   | —    |              |  |   | —              |  |  |                               | —     |   |          |  
|Transfers
    in and/or (out) of level 3                                                                                                                                                                                                                                                                                    |  |                          | —     |   |                       |   | —    |              |  |   | —              |  |  |                               | —     |   |          |  
|Balance
    at September 30, 2018(2)                                                                                                                                                                                                                                                                                        |  | $                        | 290.6 |   |                       | $ | —    |              |  | $ | 4.5            |  |  | $                             | 191.2 |   |          | $
|The
    amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses
    relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized gains or
    losses on investments in our Statement of Operations |  | $                        | 0.6   |   |                       | $ | —    |              |  | $ | 0.1            |  |  | $                             | (2.8  | ) |          | $








| | (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 $8.4 million and the effective yield interest income of approximately $7.2 million.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | Totals may not sum due to
rounding.
| | --- | -----------------------------------



26







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 4. FAIR VALUE(cont.)



A reconciliation of the fair value of investments
for the nine months ended September 30, 2018, utilizing significant unobservable inputs, is as follows:



|($
                                         in millions)                                                                                                                                                                                                                                                                    |  | Senior
                                         Secured Notes |        |   | Subordinated
                                         Debt |   |      | CLO
                                         Debt |  |   | CLO
                                         Equity |   |  | Equity/
                                         Other Investments |       |   | Total(2) |  
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------------------------------------- | ------ | - | ---------------------------------------------------------- | - | ---- | ------------------------------------------------- |  | - | --------------------------------------------------- | - |  | ------------------------------------------------------------------ | ----- | - | -------- | -
|Balance at December 31, 2017                                                                                                                                                                                                                                                                                                |  | $                                                             | 242.2  |   |                                                            | $ | 0.8  |                                                   |  | $ | 4.7                                                 |   |  | $                                                                  | 156.0 |   |          | $
|Realized (losses) gains
    included in earnings                                                                                                                                                                                                                                                                            |  |                                                               | 1.2    |   |                                                            |   | —    |                                                   |  |   | 0.1                                                 |   |  |                                                                    | (2.0  | ) |          |  
|Unrealized (depreciation)/appreciation
    included in earnings                                                                                                                                                                                                                                                             |  |                                                               | (1.1   | ) |                                                            |   | —    |                                                   |  |   | —                                                   |   |  |                                                                    | (0.8  | ) |          |  
|Accretion of discount                                                                                                                                                                                                                                                                                                       |  |                                                               | 0.5    |   |                                                            |   | —    |                                                   |  |   | —                                                   |   |  |                                                                    | —     |   |          |  
|Purchases                                                                                                                                                                                                                                                                                                                   |  |                                                               | 148.2  |   |                                                            |   | —    |                                                   |  |   | 0.9                                                 |   |  |                                                                    | 54.2  |   |          |  
|Repayments and Sales                                                                                                                                                                                                                                                                                                        |  |                                                               | (100.6 | ) |                                                            |   | (0.8 | )                                                 |  |   | (1.3                                                | ) |  |                                                                    | (5.3  | ) |          |  
|Reductions to CLO Equity
    Cost Value(1)                                                                                                                                                                                                                                                                                  |  |                                                               | —      |   |                                                            |   | —    |                                                   |  |   | —                                                   |   |  |                                                                    | (10.9 | ) |          |  
|Payment in Kind income                                                                                                                                                                                                                                                                                                      |  |                                                               | 0.2    |   |                                                            |   | —    |                                                   |  |   | —                                                   |   |  |                                                                    | —     |   |          |  
|Transfers in and/or (out)
    of level 3                                                                                                                                                                                                                                                                                    |  |                                                               | —      |   |                                                            |   | —    |                                                   |  |   | —                                                   |   |  |                                                                    | —     |   |          |  
|Balance at September
    30, 2018(2)                                                                                                                                                                                                                                                                                        |  | $                                                             | 290.6  |   |                                                            | $ | —    |                                                   |  | $ | 4.5                                                 |   |  | $                                                                  | 191.2 |   |          | $
|The amount of total gains
    or losses for the period included in earnings attributable to the change in unrealized gains or losses relating to our Level
    3 assets still held at the reporting date and reported within the net change in unrealized gains or losses on investments
    in our Statement of Operations |  | $                                                             | (1.1   | ) |                                                            | $ | —    |                                                   |  | $ | 0.1                                                 |   |  | $                                                                  | (3.2  | ) |          | $








| | (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 $31.0 million and the effective yield interest income of approximately $20.1 million.
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | Totals may not sum due to
rounding.
| | --- | -----------------------------------



27







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 4. FAIR VALUE(cont.)



A reconciliation of the fair value of investments
for the year ended December 31, 2017, utilizing significant unobservable inputs, is as follows:



|($ in millions)                                                                                                                                                                                                                                                                                                                             |  | Senior
    Secured Notes |        |   | Subordinated
    Debt |   |     | CLO
    Debt |  |   | CLO
    Equity |   |  | Equity/
    Other Investments |        |   | Total |  
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------ | ------ | - | --------------------- | - | --- | ------------ |  | - | -------------- | - |  | ----------------------------- | ------ | - | ----- | -
|Balance at December 31, 2016                                                                                                                                                                                                                                                                                                                |  | $                        | 368.3  |   |                       | $ | 0.7 |              |  | $ | 2.7            |   |  | $                             | 200.8  |   |       | $
|Realized (losses) gains
    included in earnings                                                                                                                                                                                                                                                                                            |  |                          | 2.4    |   |                       |   | —   |              |  |   | 0.2            |   |  |                               | (12.1  | ) |       |  
|Unrealized appreciation
    included in earnings                                                                                                                                                                                                                                                                                            |  |                          | 11.3   |   |                       |   | 0.1 |              |  |   | 0.3            |   |  |                               | 10.5   |   |       |  
|Accretion of discount                                                                                                                                                                                                                                                                                                                       |  |                          | 1.0    |   |                       |   | —   |              |  |   | —              |   |  |                               | —      |   |       |  
|Purchases                                                                                                                                                                                                                                                                                                                                   |  |                          | 94.3   |   |                       |   | —   |              |  |   | 4.5            |   |  |                               | 107.0  |   |       |  
|Repayments and Sales                                                                                                                                                                                                                                                                                                                        |  |                          | (235.4 | ) |                       |   | —   |              |  |   | (3.0           | ) |  |                               | (113.1 | ) |       |  
|Reductions to CLO equity
    cost value(1)                                                                                                                                                                                                                                                                                                  |  |                          | —      |   |                       |   | —   |              |  |   | —              |   |  |                               | (37.1  | ) |       |  
|Payment-in-Kind income                                                                                                                                                                                                                                                                                                                      |  |                          | 0.2    |   |                       |   | —   |              |  |   | —              |   |  |                               | —      |   |       |  
|Transfers
    in and/or (out) of level 3                                                                                                                                                                                                                                                                                                    |  |                          | —      |   |                       |   | —   |              |  |   | —              |   |  |                               | —      |   |       |  
|Balance at December
    31, 2017(2)                                                                                                                                                                                                                                                                                                         |  | $                        | 242.2  |   |                       | $ | 0.8 |              |  | $ | 4.7            |   |  | $                             | 156.0  |   |       | $
|The
    amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses
    relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized gains or
    losses on investments in our consolidated statement of operations(2) |  | $                        | 4.5    |   |                       | $ | —   |              |  | $ | 0.3            |   |  | $                             | (4.1   | ) |       | $








| | (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 $70.4 million and the effective yield interest income of approximately $33.3 million.
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | Totals may not sum due to
rounding.
| | --- | -----------------------------------



The following table shows the fair value
of the Company’s portfolio of investments by asset class as of September 30, 2018 and December 31, 2017:



|                             |  | September 30, 2018        |       |  | December 31, 2017             | 
|---------------------------- |  | ------------------------- | ----- |  | ----------------------------- | 
|($ in millions)              |  | Investments at Fair Value |       |  | Percentage of Total Portfolio | 
|Senior Secured Notes         |  | $                         | 290.6 |  |                               | 
|Subordinated Debt            |  |                           | —     |  |                               | 
|CLO Debt                     |  |                           | 4.5   |  |                               | 
|CLO Equity                   |  |                           | 191.2 |  |                               | 
|Equity and Other Investments |  |                           | 19.1  |  |                               | 
|Total(1)                     |  | $                         | 505.4 |  |                               | 








| | (1) | Totals may not sum due to
rounding.
| | --- | -----------------------------------



28







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 5. CASH, CASH EQUIVALENTS AND RESTRICTED CASH



As of September 30, 2018 and December 31,
2017, respectively, cash, cash equivalents and restricted cash were as follows:



|($ in millions)                                  |  | September 30, 2018 |      |  | December 31, 2017 |  
|------------------------------------------------ |  | ------------------ | ---- |  | ----------------- | -
|Cash                                             |  | $                  | —    |  |                   | $
|Cash Equivalents                                 |  |                    | 8.6  |  |                   |  
|Restricted Cash                                  |  |                    | 3.5  |  |                   |  
|Total Cash, Cash Equivalents and Restricted Cash |  | $                  | 12.1 |  |                   | $



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 200%, immediately after such borrowing. As of September 30, 2018, the Company’s asset coverage for borrowed amounts
was 340.9%.



On March 23, 2018, the Small Business Credit
Availability Act (the “SBCAA”) was signed into law, which included various changes to regulations under the federal
securities laws that impact BDCs. The SBCAA included changes to the 1940 Act to allow BDCs to decrease their asset coverage requirement
to 150% from 200% under certain circumstances. On April 6, 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 SBCAA. As a result, the Company’s asset coverage requirements for senior
securities will be changed from 200% to 150%, effective as of April 6, 2019.



The following are the Company’s outstanding
principal amounts, carrying values and fair values of the Company’s borrowings as of September 30, 2018 and December 31,
2017. Fair values of the Company’s notes payable are based upon the closing price on the last day of the period. The 6.50%
Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol OXSQL). The Credit Facility fair value represents
the par amount of the debt obligation as of September 30, 2018.



|                         |  | As of              |      
|------------------------ |  | ------------------ | -----
|                         |  | September 30, 2018 |      
|($ in millions)          |  | Principal Amount   |      
|6.50% Unsecured Notes(1) |  | $                  | 64.4 
|Credit Facility(2)       |  |                    | 87.7 
|Total                    |  | $                  | 152.1








| | (1) | The carrying value represents
the aggregate principal amount outstanding less the unamortized deferred issuance costs. As of September 30, 2018 and December
31, 2017, the total unamortized deferred issuance costs for the 6.50% Unsecured Notes was approximately $1.8 million and $2.0
million, respectively.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | As of September 30, 2018,
the total unamortized deferred issuance costs for the Credit Facility was approximately $0.2 million. The Credit Facility fair
value represents the par amount of the debt obligation.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



The weighted average stated interest rate
and weighted average maturity on all of the Company’s debt outstanding as of September 30, 2018 were 5.39% and 3.3 years,
respectively, and as of December 31, 2017 were 6.50% and 6.2 years, respectively.



29







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 6. BORROWINGS (cont.)



The table below summarizes the components
of interest expense for the three and nine months ended September 30, 2018:



|                      |  | Three Months Ended September 30, 2018 |        
|--------------------- |  | ------------------------------------- | -------
|($ in thousands)      |  | Stated Interest Expense               |        
|6.50% Unsecured Notes |  | $                                     | 1,046.1
|Credit Facility       |  |                                       | 1,104.0
|Total                 |  | $                                     | 2,150.1



|                      |  | Nine Months Ended September 30, 2018 |        
|--------------------- |  | ------------------------------------ | -------
|($ in thousands)      |  | Stated Interest Expense              |        
|6.50% Unsecured Notes |  | $                                    | 3,138.1
|Credit Facility       |  |                                      | 1,225.1
|Total                 |  | $                                    | 4,363.2



|                                              |  | Three Months Ended September 30, 2017 |        
|--------------------------------------------- |  | ------------------------------------- | -------
|($ in thousands)                              |  | Stated Interest Expense               |        
|TICC CLO 2012-1 LLC Class A-1 Notes           |  | $                                     | 42.1   
|TICC CLO 2012-1 LLC Class B-1 Notes           |  |                                       | 143.3  
|TICC CLO 2012-1 LLC Class C-1 Notes           |  |                                       | 208.7  
|TICC CLO 2012-1 LLC Class D-1 Notes           |  |                                       | 222.6  
|TICC CLO 2012-1 amortization of deferred debt |  |                                       | —      
|Convertible Notes                             |  |                                       | 1,772.7
|6.50% Unsecured Notes                         |  |                                       | 1,046.0
|Total                                         |  | $                                     | 3,435.4



|                                              |  | Nine Months Ended September 30, 2017 |         
|--------------------------------------------- |  | ------------------------------------ | --------
|($ in thousands)                              |  | Stated Interest Expense              |         
|TICC CLO 2012-1 LLC Class A-1 Notes           |  | $                                    | 623.8   
|TICC CLO 2012-1 LLC Class B-1 Notes           |  |                                      | 600.0   
|TICC CLO 2012-1 LLC Class C-1 Notes           |  |                                      | 878.4   
|TICC CLO 2012-1 LLC Class D-1 Notes           |  |                                      | 939.7   
|TICC CLO 2012-1 amortization of deferred debt |  |                                      | —       
|Convertible Notes                             |  |                                      | 5,318.0 
|6.50% Unsecured Notes                         |  |                                      | 1,964.2 
|Total                                         |  | $                                    | 10,324.1



30







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 6. BORROWINGS (cont.)



Notes Payable — Credit Facility



On June 21, 2018, OXSQ Funding, a special
purpose vehicle and wholly-owned subsidiary of OXSQ, entered into a Credit Facility with Citibank, N.A. Subject to certain exceptions,
pricing under the Credit Facility is 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 March 21, June 21, September 21 and December 21. Pursuant to the terms of the
credit agreement governing the Credit Facility, OXSQ Funding has borrowed approximately $95.2 million. The Credit Facility has
a mandatory amortization schedule such that 15.0% of the principal amount outstanding as of June 21, 2018 will be due and payable
on June 21, 2019. On each payment date occurring thereafter, an additional 6.25% of the remaining principal amount outstanding
will be due and payable. On June 21, 2020, all remaining principal and accrued and unpaid interest will be due and payable.



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



As of September 30, 2018, there were 24 investments
in portfolio companies with a total fair value of approximately $213.8 million, collateralizing the Credit Facility. The pool of
loans in OXSQ Funding must meet certain requirements, including asset mix and concentration, collateral coverage, term, agency
rating, minimum coupon, minimum spread and sector diversity requirements.



On September 21, 2018, approximately $7.5
million of principal outstanding under the Credit Facility was repaid by the Company. The Company recognized a net extinguishment
loss of approximately $15,000, 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 aggregate accrued interest payable on
the Credit Facility as of September 30, 2018 was approximately $0.4 million. Deferred debt issuance costs consisted of fees and
expenses incurred in connection with the Credit Facility. As of September 30, 2018, the unamortized deferred debt issuance costs
relating to the Credit Facility was approximately $0.2 million. This amount is being amortized and included in interest expense
in the consolidated statements of operations over the term of the Credit Facility. The cash paid and effective annualized interest
rate for the three months ended September 30, 2018 was approximately $0.9 million and 4.69%, respectively.



Notes Payable — 6.50% Unsecured Notes Due 2024



On April 12, 2017, the Company completed
an underwritten public offering of approximately $64.4 million in aggregate principal amount of the 6.50% Unsecured Notes. The
6.50% Unsecured Notes mature on March 30, 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 March 30, 2020. The 6.50% Unsecured Notes bear interest at a rate of 6.50% per year, payable
quarterly on March 30, June 30, September 30, and December 30 of each year, which commenced June 30, 2017.



The aggregate accrued interest payable
on the 6.50% Unsecured Notes as of September 30, 2018 was approximately $12,000. As of September 30, 2018, the Company had unamortized
deferred debt issuance costs relating to the 6.50% Unsecured Notes of approximately $1.8 million. 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 September 30, 2018 were approximately
$1.0 million and 6.95%, respectively. The cash paid and the effective annualized interest rate for the three months ended September
30, 2017 were approximately $1.0 million and 6.95%, respectively.



31







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 6. BORROWINGS (cont.)



Notes Payable — Convertible Notes



On September 26, 2012, the Company issued
$105.0 million aggregate principal amount of convertible notes (the “Convertible Notes”), and an additional $10.0 million
aggregate principal amount of the Convertible Notes was issued on October 22, 2012 pursuant to the exercise of the initial purchasers’
option to purchase additional Convertible Notes. The Convertible Notes bore interest at a rate of 7.50% per year, payable semi-annually
in arrears on May 1 and November 1 of each year, commencing on May 1, 2013. The Convertible Notes were convertible into shares
of OXSQ’s common stock based on an initial conversion rate of 87.2448 shares of its common stock per $1,000 principal amount
of the Convertible Notes, which would have been equivalent to an initial conversion price of approximately $11.46 per share of
common stock. The conversion price for the Convertible Notes would have been reduced for quarterly cash distributions paid to common
shares to the extent that the quarterly distribution exceeded $0.29 cents per share, subject to adjustment. Deferred debt issuance
costs represent fees and other direct incremental costs incurred in connection with the Convertible Notes. On December 2, 2016
and December 16, 2016, the Company repurchased $12.0 million and approximately $8.5 million of the Convertible Notes, respectively.
On November 1, 2017, the Convertible Notes matured and were repaid in full (approximately $94.5 million) in accordance with their
terms.



In connection with the repurchase of approximately
$20.5 million of the Convertible Notes in December 2016, the Company recognized a net extinguishment loss of approximately $815,000,
which consisted of approximately $716,000 from repurchasing the Convertible Notes at a premium to par and approximately $99,000
in previously unamortized deferred debt issuance costs. These costs are recorded within realized losses on extinguishment of debt
in the consolidated statements of operations. The realized loss on extinguishment of debt incurred in prior periods was reclassified
from interest expense in the consolidated statements of operations to conform with the current period presentation for comparative
purposes. The effective annualized interest rate for the three months ended September 30, 2017 was approximately 7.98%. No cash
was paid for interest for the three months ended September 30, 2017.



Notes Payable — TICC CLO 2012-1 LLC



On August 23, 2012, the Company completed
a $160 million debt securitization financing transaction, consisting of $120 million in secured notes and $40.0 million of subordinated
notes (the “2012 Subordinated Notes”). On February 25, 2013 and May 28, 2013, TICC CLO 2012-1 issued additional secured
notes totaling an aggregate of $120 million and 2012 Subordinated Notes totaling an aggregate of $40.0 million, which 2012 Subordinated
Notes were purchased by the Company under the “accordion” feature of the debt securitization which allowed, under certain
circumstances and subject to the satisfaction of certain conditions, for an increase in the amount of secured and subordinated
notes. It is not necessary that the Company own all or any of the notes permitted by this feature, which may affect the accounting
treatment of the debt securitization financing transaction. On August 25, 2016, November 25, 2016, February 27, 2017, and May 25,
2017, the Securitization Issuer repaid approximately $36.0 million, approximately $74.7 million, approximately $24.5 million, and
approximately $31.4 million of the class A-1 notes, respectively. On August 25, 2017, the Securitization Issuer repaid, in full,
the remaining secured notes (classes A-1, B-1, C-1 and D-1) outstanding of approximately $73.4 million. During the quarter ended
December 31, 2017, the Company, as collateral manager of TICC CLO 2012-1, dissolved TICC CLO 2012-1 pursuant to Delaware law by
filing a certificate of cancellation with the Secretary of State in Delaware.



In connection with the August 25, 2016
repayment of approximately $36.0 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately
$0.6 million, which consisted of approximately $0.3 million in accelerated note discount expense and approximately $0.3 million
in accelerated deferred debt issuance costs.



In connection with the November 25, 2016
repayment of approximately $74.7 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately
$1.3 million, which consisted of approximately $0.6 million in accelerated note discount expense and approximately $0.7 million
in accelerated deferred debt issuance costs.



In connection with the February 27, 2017
repayment of approximately $24.5 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately
$0.4 million, which consisted of approximately $0.2 million in accelerated note discount expense and approximately $0.2 million
in accelerated deferred debt issuance costs.



32







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 6. BORROWINGS (cont.)



In connection with the May 25, 2017 repayment
of approximately $31.4 million of the Class A-1 notes, the Company incurred debt extinguishment costs of approximately $0.5 million,
which consisted of approximately $0.2 million in accelerated note discount expense and approximately $0.3 million in accelerated
deferred debt issuance costs.



In connection with the August 25, 2017
repayment of approximately $73.4 million of the Class A-1, B-1, C-1 and D-1 notes, the Company incurred debt extinguishment costs
of approximately $2.2 million, which consisted of approximately $1.6 million in accelerated note discount expense and approximately
$0.6 million in accelerated deferred debt issuance costs.



The accelerated note discount expense and
accelerated deferred debt issuance costs are recorded within realized losses on extinguishment of debt in the consolidated statements
of operations. The realized loss on extinguishment of debt incurred in prior periods was reclassified from interest expense in
consolidated statements of operations to conform with the current period presentation for comparative purposes. The cash paid and
the effective annualized interest rate for the three months ended September 30, 2017 were $1.0 million and 5.98%, respectively.



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 payable to Oxford Square Management and any incentive fees earned by Oxford Square Management are ultimately
borne by the Company’s common stockholders.



Base Management Fee



Through March 31, 2016, the Base Fee was
calculated at an annual rate of 2.00%. Effective April 1, 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 September 30, 2018 and 2017, respectively:



|($ in millions) |  | Three Months Ended September 30, 2018 |     |  | Three Months Ended September 30, 2017 |   |     | Nine Months Ended September 30, 2018 |  |   | Nine Months Ended September 30, 2017 | 
|--------------- |  | ------------------------------------- | --- |  | ------------------------------------- | - | --- | ------------------------------------ |  | - | ------------------------------------ | 
|Base Fee        |  | $                                     | 1.8 |  |                                       | $ | 2.0 |                                      |  | $ | 5.3                                  | 



The Base Fee payable to Oxford Square Management
as of September 30, 2018 and December 31, 2017 was approximately $1.8 million and $1.7 million, respectively.



33







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 7. RELATED PARTY TRANSACTIONS (cont.)



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 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 April 1, 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 April 1, 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 April 1, 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 April 1, 2016). Under the revised fee structure, under
no circumstances will the aggregate fees earned from April 1, 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 January 1, 2005 through March 31,
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 September 30, 2018 and September 30, 2017 were 7.20% and 6.93%, respectively.



34







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 7. RELATED PARTY TRANSACTIONS (cont.)



The following table represents the Net
Investment Income Incentive Fees for the three and nine months ended September 30, 2018 and 2017, respectively:



|($ in millions)                     |  | Three Months Ended September 30, 2018 |     |  | Three Months Ended September 30, 2017 |   |     | Nine Months Ended September 30, 2018 |  |   | Nine Months Ended September 30, 2017 | 
|----------------------------------- |  | ------------------------------------- | --- |  | ------------------------------------- | - | --- | ------------------------------------ |  | - | ------------------------------------ | 
|Net Investment Income Incentive Fee |  | $                                     | 1.6 |  |                                       | $ | 0.6 |                                      |  | $ | 3.4                                  | 



The Net Investment Income Incentive Fee
payable to Oxford Square Management as September 30, 2018 and December 31, 2017 was approximately $1.6 million and $1.0 million,
respectively.



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 months ended September 30, 2018 and 2017. There were no accrued Capital Gains Incentive Fees payable
to Oxford Square Management as of September 30, 2018 and December 31, 2017.



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, 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.



35







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 7. RELATED PARTY TRANSACTIONS (cont.)



For the three months ended September 30,
2018 and 2017, the Company incurred approximately $210,000 and $238,000, 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 September 30, 2018 and 2017, the Company incurred approximately $686,000 and $676,000, respectively,
in compensation expenses. Further, the Company incurred approximately $19,000 and $24,000 for facility costs allocated under the
Administration Agreement for the three months ended September 30, 2018 and 2017, respectively. For the nine months ended September
30, 2018 and 2017, the Company incurred approximately $45,000 and $57,000, respectively for facility costs. As of September 30,
2018 and December 31, 2017, there were no amounts payable under the Administration Agreement.



Co-Investment Exemptive Relief



On June 14, 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.



36







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 8. EARNINGS PER SHARE



The following table sets forth the computation
of basic and diluted net increase in net assets resulting from investment income per share for the three and nine months ended
September 30, 2018 and 2017, respectively:



|                                                                                                                                                                  |  | Three Months Ended September 30, 2018 |            |  | Three Months Ended September 30, 2017 |   |            | Nine Months Ended September 30, 2018 |  |   | Nine Months Ended September 30, 2017 | 
|----------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------------- | ---------- |  | ------------------------------------- | - | ---------- | ------------------------------------ |  | - | ------------------------------------ | 
|Net increase in net assets resulting from net investment income per common  share – basic:                                                                        |  |                                       |            |  |                                       |   |            |                                      |  |   |                                      | 
|Net investment income                                                                                                                                             |  | $                                     | 8,612,504  |  |                                       | $ | 6,767,753  |                                      |  | $ | 25,023,611                           | 
|Weighted average common shares outstanding – basic                                                                                                                |  |                                       | 49,195,368 |  |                                       |   | 51,479,409 |                                      |  |   | 50,153,321                           | 
|Net increase in net assets resulting from net investment income per common  share – basic                                                                         |  | $                                     | 0.18       |  |                                       | $ | 0.13       |                                      |  | $ | 0.50                                 | 
|Net increase in net assets resulting from net investment income per common  share – diluted:                                                                      |  |                                       |            |  |                                       |   |            |                                      |  |   |                                      | 
|Net investment income, before adjustments                                                                                                                         |  | $                                     | 8,612,504  |  |                                       | $ | 6,767,753  |                                      |  | $ | 25,023,611                           | 
|Adjustments for interest and deferred issuance costs on the Convertible Notes, and related impact on the Base Fees and Net Investment Income Incentive Fees(1)(2) |  |                                       | —          |  |                                       |   | —          |                                      |  |   | —                                    | 
|Net investment income, as adjusted                                                                                                                                |  | $                                     | 8,612,504  |  |                                       | $ | 6,767,753  |                                      |  | $ | 25,023,611                           | 
|Weighted average common shares outstanding – basic                                                                                                                |  |                                       | 49,195,368 |  |                                       |   | 51,479,409 |                                      |  |   | 50,153,321                           | 
|Share adjustments for dilutive effect of Convertible Notes(1)(2)                                                                                                  |  |                                       | —          |  |                                       |   | —          |                                      |  |   | —                                    | 
|Weighted average common shares outstanding – diluted                                                                                                              |  |                                       | 49,195,368 |  |                                       |   | 51,479,409 |                                      |  |   | 50,153,321                           | 
|Net increase in net assets resulting from net investment income per common  share – diluted                                                                       |  | $                                     | 0.18       |  |                                       | $ | 0.13       |                                      |  | $ | 0.50                                 | 



The following table sets forth the computation
of basic and diluted net increase in net assets resulting from operations per share for the three and nine months ended September
30, 2018 and 2017, respectively:



|                                                                                                                                                                  |  | Three Months Ended September 30, 2018 |            |  | Three Months Ended September 30, 2017 |   |            | Nine Months Ended September 30, 2018 |  |   | Nine Months Ended September 30, 2017 | 
|----------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------------- | ---------- |  | ------------------------------------- | - | ---------- | ------------------------------------ |  | - | ------------------------------------ | 
|Net increase in net assets resulting from operations per common  share – basic:                                                                                   |  |                                       |            |  |                                       |   |            |                                      |  |   |                                      | 
|Net increase in net assets resulting from operations                                                                                                              |  | $                                     | 6,512,309  |  |                                       | $ | 6,016,019  |                                      |  | $ | 24,904,283                           | 
|Weighted average common shares outstanding – basic                                                                                                                |  |                                       | 49,195,368 |  |                                       |   | 51,479,409 |                                      |  |   | 50,153,321                           | 
|Net increase in net assets resulting from operations per common  share – basic                                                                                    |  | $                                     | 0.13       |  |                                       | $ | 0.12       |                                      |  | $ | 0.50                                 | 
|Net increase in net assets resulting from operations per common  share – diluted:                                                                                 |  |                                       |            |  |                                       |   |            |                                      |  |   |                                      | 
|Net increase in net assets resulting from operations, before adjustments                                                                                          |  | $                                     | 6,512,309  |  |                                       | $ | 6,016,019  |                                      |  | $ | 24,904,283                           | 
|Adjustments for interest and deferred issuance costs on the Convertible Notes, and related impact on the Base Fees and Net Investment Income Incentive Fees(1)(2) |  |                                       | —          |  |                                       |   | —          |                                      |  |   | —                                    | 
|Net increase in net assets resulting from operations, as adjusted                                                                                                 |  | $                                     | 6,512,309  |  |                                       | $ | 6,016,019  |                                      |  | $ | 24,904,283                           | 
|Weighted average common shares outstanding – basic                                                                                                                |  |                                       | 49,195,368 |  |                                       |   | 51,479,409 |                                      |  |   | 50,153,321                           | 
|Share adjustments for dilutive effect of Convertible Notes(1)(2)                                                                                                  |  |                                       | —          |  |                                       |   | —          |                                      |  |   | —                                    | 
|Weighted average common shares outstanding – diluted                                                                                                              |  |                                       | 49,195,368 |  |                                       |   | 51,479,409 |                                      |  |   | 50,153,321                           | 
|Net increase in net assets resulting from operations per common  share – diluted(3)                                                                               |  | $                                     | 0.13       |  |                                       | $ | 0.12       |                                      |  | $ | 0.50                                 | 



37







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 8. EARNINGS PER SHARE (cont.)










|(1) | Subsequent to the maturity and full repayment of the Convertible Notes on November 1, 2017, there are no dilutive potential common shares or adjustments for purposes of the computation of diluted earnings per share.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|(2) | Due to the anti-dilutive effect on the computation of diluted earnings per share for the three and nine months ended September 30, 2017, the adjustments for interest and deferred issuance costs on the Convertible Notes, and the related impact on the Base Fees and net investment income incentive fees as well as share adjustments for dilutive effect of the Convertible Notes were excluded from the respective periods’ diluted earnings per share computation. The following table represents the respective adjustments which were not made due to the anti-dilutive effect on the computation of diluted net increase in net assets resulting from net investment income per common share for the three and nine months ended September 30, 2017 and diluted net increase in net assets resulting from operations per common share for the three months ended September 30, 2017:





|                                                                                                                                                            |  | Three Months Ended  September 30, 2017 |           |  | Nine Months Ended  September 30, 2017 |  
|----------------------------------------------------------------------------------------------------------------------------------------------------------- |  | -------------------------------------- | --------- |  | ------------------------------------- | -
|Net increase in net assets resulting from net investment income per common share – diluted:                                                                 |  |                                        |           |  |                                       |  
|Adjustments for interest and deferred issuance costs on the Convertible Notes, and related impact on the Base Fees and net investment income incentive fees |  | $                                      | 1,177,683 |  |                                       | $
|Share adjustments for dilutive effect of the Convertible Notes                                                                                              |  |                                        | 8,248,298 |  |                                       |  
|Net increase in net assets resulting from operations per common share – diluted:                                                                            |  |                                        |           |  |                                       |  
|Adjustments for interest and deferred issuance costs on the Convertible Notes, and related impact on the Base Fees and net investment income incentive fees |  | $                                      | 1,177,683 |  |                                       | $
|Share adjustments for dilutive effect of the Convertible Notes                                                                                              |  |                                        | 8,248,298 |  |                                       |  



| | (3) | Net increase in net assets
resulting from operations per common share – diluted for the nine months ended September 30, 2017 is dilutive on a rounded
basis.
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------



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 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. For the nine months ended September 30, 2018, the Company has paid cumulative distributions
of approximately $30.0 million from net investment income.



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 our common stockholders. As a result, if the Company makes a cash distribution, then stockholders’
cash distributions will be automatically reinvested in additional shares of our common stock, unless they specifically “opt
out” of the distribution reinvestment plan so as to receive cash distributions. During the three months ended September 30,
2018 and 2017, the Company did not issue any new shares of common stock to stockholders in connection with the distribution reinvestment
plan. During the three months ended September 30, 2018 and 2017, as part of our dividend reinvestment plan for our common stockholders,
our dividend reinvestment administrator purchased 21,728 shares and 45,183 shares, respectively, of our common stock for approximately
$0.2 million and $0.3 million, respectively, in the open market to satisfy the reinvestment portion of our dividends. On September
28, 2018, the Company paid a distribution of $0.20 per share.



38







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 9. DISTRIBUTIONS(cont.)



On December 22, 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
September 30, 2018 represented on an estimated basis, $0.12 per share from ordinary income and $0.08 per share as a  return
of capital. For the three months ended September 30, 2018, the amounts and sources of distributions reported are only estimates
(based on an average of our 3 most recent years’ reported tax character) 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 the 3 most recent years 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 2018 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.



NOTE 10. NET ASSET VALUE PER SHARE



The Company’s net asset value per
share as of September 30, 2018 and December 31, 2017 was $7.49 and $7.55, 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 REPURCHASE PROGRAM



On February 5, 2018, the Board authorized
a program for the purpose of repurchasing up to $25.0 million worth of the Company’s common stock. Under that repurchase
program, the Company was authorized, but was not obligated, to repurchase outstanding common stock in the open market from time
to time through December 31, 2018, provided that repurchases comply with the prohibitions under the Company’s Insider Trading
Policies and Procedures and the guidelines specified in Rule 10b-18 of the Securities Exchange Act of 1934, as amended, including
certain price, market volume and timing constraints. Further, any repurchases were to be conducted in accordance with the 1940
Act. During the three months ended September 30, 2018, under that repurchase program, the Company repurchased 261,343 shares of
outstanding common stock for approximately $1.8 million, while complying with the prohibitions under the Company’s Insider
Trading Policies and Procedures and the guidelines specified in Rule 10b-18 of the Securities Exchange Act of 1934, as amended,
including certain price, market volume and timing constraints. The remaining cost of shares that may be repurchased under the program
was $9.9 million as of September 30, 2018. In addition, repurchases were conducted in accordance with the 1940 Act.



The following table summarizes the Company’s
share repurchases under its stock repurchase program for the three and nine months ended September 30, 2018 and September 30, 2017:



|                                                 |  | Three Months Ended September 30, 2018 |           |   | Three Months Ended September 30, 2017 |  |   | Nine Months Ended September 30, 2018 |  |   | Nine Months Ended September 30, 2017 |  
|------------------------------------------------ |  | ------------------------------------- | --------- | - | ------------------------------------- |  | - | ------------------------------------ |  | - | ------------------------------------ | -
|Shares repurchased                               |  |                                       | 261,343   |   |                                       |  | — |                                      |  |   | 2,333,143                            |  
|Dollar amount repurchased                        |  | $                                     | 1,823,366 |   |                                       |  | — |                                      |  | $ | 15,104,677                           |  
|Average price per share (including commission)   |  | $                                     | 6.98      |   |                                       |  | — |                                      |  | $ | 6.47                                 |  
|Weighted average discount to net asset value     |  |                                       | 6.9       | % |                                       |  | — |                                      |  |   | 13.7                                 | %
|Remaining cost of shares that may be repurchased |  | $                                     | 9,895,323 |   |                                       |  | — |                                      |  | $ | 9,895,323                            |  



39







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 12. INVESTMENT INCOME



The following table sets forth the components
of investment income for the three and nine months ended September 30, 2018 and 2017, respectively:



|                                                            |  | Three Months Ended September 30, 2018 |            |  | Three Months Ended September 30, 2017 |   |            | Nine Months Ended September 30, 2018 |  |   | Nine Months Ended September 30, 2017 | 
|----------------------------------------------------------- |  | ------------------------------------- | ---------- |  | ------------------------------------- | - | ---------- | ------------------------------------ |  | - | ------------------------------------ | 
|Interest income                                             |  |                                       |            |  |                                       |   |            |                                      |  |   |                                      | 
|Stated interest income                                      |  | $                                     | 6,240,305  |  |                                       | $ | 5,091,751  |                                      |  | $ | 17,561,261                           | 
|Original issue discount and market discount income          |  |                                       | 123,064    |  |                                       |   | 244,751    |                                      |  |   | 488,734                              | 
|Payment-in-kind income                                      |  |                                       | 91,265     |  |                                       |   | 59,446     |                                      |  |   | 230,689                              | 
|Discount income derived from unscheduled remittances at par |  |                                       | 77,403     |  |                                       |   | 8,460      |                                      |  |   | 126,061                              | 
|Total interest income                                       |  | $                                     | 6,532,037  |  |                                       | $ | 5,404,408  |                                      |  | $ | 18,406,745                           | 
|Income from securitization vehicles                         |  | $                                     | 7,217,804  |  |                                       | $ | 8,086,059  |                                      |  | $ | 20,121,432                           | 
|Other income                                                |  |                                       |            |  |                                       |   |            |                                      |  |   |                                      | 
|Fee letters                                                 |  | $                                     | 102,691    |  |                                       | $ | 314,007    |                                      |  | $ | 562,022                              | 
|Loan prepayment and bond call fees                          |  |                                       | 762,842    |  |                                       |   | 300,000    |                                      |  |   | 1,050,842                            | 
|All other fees                                              |  |                                       | 603,078    |  |                                       |   | 393,223    |                                      |  |   | 942,933                              | 
|Total other income                                          |  | $                                     | 1,468,611  |  |                                       | $ | 1,007,230  |                                      |  | $ | 2,555,797                            | 
|Total investment income                                     |  | $                                     | 15,218,452 |  |                                       | $ | 14,497,697 |                                      |  | $ | 41,083,974                           | 



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 September 30, 2018 and September
30, 2017, respectively, the Company received no fee income for managerial assistance.



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 September
30, 2018, the Company had approximately $1.5 million of commitments to purchase additional investments.



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.



40







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 14. FINANCIAL HIGHLIGHTS



Financial highlights for the three and nine
months ended September 30, 2018 and 2017 are as follows:



|                                                        |  | Three Months Ended September 30, 2018 |            |   | Three Months Ended September 30, 2017 |   |            | Nine Months Ended September 30, 2018 |  |   | Nine Months Ended September 30, 2017 |  
|------------------------------------------------------- |  | ------------------------------------- | ---------- | - | ------------------------------------- | - | ---------- | ------------------------------------ |  | - | ------------------------------------ | -
|Per Share Data                                          |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|Net asset value as of beginning of period               |  | $                                     | 7.56       |   |                                       | $ | 7.51       |                                      |  | $ | 7.55                                 |  
|Net investment income(1)                                |  |                                       | 0.18       |   |                                       |   | 0.13       |                                      |  |   | 0.50                                 |  
|Net realized and unrealized (losses)/gains(2)           |  |                                       | (0.05      | ) |                                       |   | (0.01      | )                                    |  |   | (0.01                                | )
|Net change in net asset value from operations           |  |                                       | 0.13       |   |                                       |   | 0.12       |                                      |  |   | 0.49                                 |  
|Distributions of net investment income                  |  |                                       | (0.12      | ) |                                       |   | (0.20      | )                                    |  |   | (0.37                                | )
|Distributions of return of capital                      |  |                                       | (0.08      | ) |                                       |   | —          |                                      |  |   | (0.23                                | )
|Total distributions(3)                                  |  |                                       | (0.20      | ) |                                       |   | (0.20      | )                                    |  |   | (0.60                                | )
|Effect of shares repurchased, gross                     |  |                                       | —          |   |                                       |   | —          |                                      |  |   | 0.05                                 |  
|Net asset value at end of period                        |  | $                                     | 7.49       |   |                                       | $ | 7.43       |                                      |  | $ | 7.49                                 |  
|Per share market value at beginning of period           |  | $                                     | 6.90       |   |                                       | $ | 6.34       |                                      |  | $ | 5.74                                 |  
|Per share market value at end of period                 |  | $                                     | 7.12       |   |                                       | $ | 6.85       |                                      |  | $ | 7.12                                 |  
|Total return based on market value(4)                   |  |                                       | 6.09       | % |                                       |   | 11.20      | %                                    |  |   | 35.52                                | %
|Total return based on net asset value(5)                |  |                                       | 1.76       | % |                                       |   | 1.60       | %                                    |  |   | 7.20                                 | %
|Shares outstanding at end of period                     |  |                                       | 49,146,266 |   |                                       |   | 51,479,409 |                                      |  |   | 49,146,266                           |  
|                                                        |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|Ratios/Supplemental Data(8)                             |  |                                       |            |   |                                       |   |            |                                      |  |   |                                      |  
|Net assets at end of period (000’s)                     |  |                                       | 368,267    |   |                                       |   | 382,293    |                                      |  |   | 368,267                              |  
|Average net assets (000’s)                              |  |                                       | 370,269    |   |                                       |   | 384,433    |                                      |  |   | 379,045                              |  
|Ratio of operating expenses to average net assets(6)    |  |                                       | 7.14       | % |                                       |   | 8.04       | %                                    |  |   | 5.65                                 | %
|Ratio of net investment income to average net assets(6) |  |                                       | 9.30       | % |                                       |   | 7.04       | %                                    |  |   | 8.80                                 | %
|Portfolio turnover rate(7)                              |  |                                       | 7.78       | % |                                       |   | 6.52       | %                                    |  |   | 24.77                                | %



|(1) | Represents per share net investment income for the period, based upon average shares outstanding.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|(2) | Net realized and unrealized gains include rounding adjustments to reconcile change in net asset value per share.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    
|(3) | Management monitors available taxable earnings, including net investment income and
    realized capital gains, to determine if a 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 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. Refer to “Note 9. Distributions”.
|(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, 2018 and September 30, 2017:                                                                                                                                                                                                                                                                                                                                                                                                                                   



|                                              |  | Three Months Ended September 30, 2018 |      |   | Three Months Ended September 30, 2017 |  |      | Nine Months Ended September 30, 2018 |  |  | Nine Months Ended September 30, 2017 |  
|--------------------------------------------- |  | ------------------------------------- | ---- | - | ------------------------------------- |  | ---- | ------------------------------------ |  |  | ------------------------------------ | -
|Ratio of expenses to average net assets:      |  |                                       |      |   |                                       |  |      |                                      |  |  |                                      |  
|Operating expenses before incentive fees      |  |                                       | 5.44 | % |                                       |  | 7.46 | %                                    |  |  | 4.45                                 | %
|Net investment income incentive fees          |  |                                       | 1.70 | % |                                       |  | 0.59 | %                                    |  |  | 1.20                                 | %
|Ratio of expenses, excluding interest expense |  |                                       | 4.70 | % |                                       |  | 4.19 | %                                    |  |  | 4.02                                 | %



41







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2018
(unaudited)



NOTE 15. RISKS AND UNCERTAINTIES



The U.S. capital markets have experienced
periods of extreme volatility and disruption. Disruptions in the capital markets tend to increase the spread between the yields
realized on risk-free and higher risk securities, resulting in illiquidity in parts of the capital markets. The Company believes
these conditions may reoccur in the future. A prolonged period of market illiquidity may have an adverse effect on the Company’s
business, financial condition and results of operations. Adverse economic conditions could also increase the Company’s funding
costs, limit the Company’s access to the capital markets or result in a decision by lenders not to extend credit to the Company.
These events could limit the Company’s investment originations, limit the Company’s ability to grow and negatively
impact the Company’s operating results.



Many of the companies in which the Company
has made or will make investments may be susceptible to adverse economic conditions, which may affect the ability of such companies
to repay the Company’s loans or engage in a liquidity event such as a sale, recapitalization, or initial public offering.
Therefore, the Company’s nonperforming assets may increase, and the value of the Company’s portfolio may decrease during
this period.



Adverse economic conditions also may decrease
the value of any collateral securing some of the Company’s loans and the value of its equity investments. Adverse economic
conditions could lead to financial losses in the Company’s portfolio and a decrease in its revenues, net income, and the
value of the Company’s assets.



A portfolio company’s failure to satisfy
financial or operating covenants imposed by the Company or other lenders could lead to defaults and, potentially, termination of
the portfolio company’s loans and foreclosure on its secured assets, which could trigger cross-defaults under other agreements
and jeopardize the portfolio company’s ability to meet its obligations under the debt securities that the Company holds.
The Company may incur expenses to the extent necessary to seek recovery upon default or to negotiate new terms with a defaulting
portfolio company. In addition, if a portfolio company goes bankrupt, even though the Company may have structured its investment
as senior debt or secured debt, depending on the facts and circumstances, including the extent to which the Company actually provided
significant managerial assistance, if any, to that portfolio company, a bankruptcy court might re-characterize the Company’s
debt holding and subordinate all or a portion of the Company’s claim to that of other creditors. These events could harm
the Company’s financial condition and operating results.



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 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



From October 1, 2018 through October 30,
2018, an additional 646,450 shares of the Company’s common stock settled through its share repurchase program, for an aggregate
cost of approximately $4.3 million at a weighted average price per share of common stock of approximately $6.60.



On October 12, 2018, OXSQ Funding amended
the Credit Facility with Citibank, N.A. Under the amended Credit Facility, an additional borrowing amount of approximately $37.3
million was made under the same terms as the existing credit agreement. The Company posted additional collateral with a principal
amount of approximately $76.4 million. All other existing terms of the Credit Facility remain unchanged.



On October 26, 2018, the Board declared
quarterly distributions to stockholders as follows:



|Per Share Distribution Amount Declared |  | 2018 Record Dates |  | 2018 Payable Dates
|-------------------------------------- |  | ----------------- |  | ------------------
|$0.20                                  |  | December 17, 2018 |  | December 31, 2018 



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.



42







| | 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;
| | - | -----------------------------



| | · | 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;
| | - | ----------------------------------------------------------------------------------------------------------------



| | · | the ability of our portfolio companies to achieve their objectives;
| | - | -------------------------------------------------------------------



| | · | our expected financings and investments;
| | - | ----------------------------------------



| | · | the adequacy of our cash resources and working capital; and
| | - | -----------------------------------------------------------



| | · | the timing of cash flows, if any, from the operations of our portfolio
companies.
| | - | ---------------------------------------------------------------------------------



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 could impair our portfolio companies’ ability
to continue to operate, which could lead to the loss of some or all of our investments in such portfolio companies;
| | - | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | · | a contraction of available credit and/or an inability to access the
equity markets 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;
| | - | -------------------------------------------------------------------------------------------------------------------------------------



| | · | 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 Part
I Item 1A. — Risk Factors contained in our Annual Report on Form 10-K for the year ended December 31, 2017, 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 December 31, 2017, and elsewhere in this Quarterly Report on Form 10-Q.



43







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 subsidiaries, Oxford Square Funding 2018 LLC (“OXSQ Funding”) and TICC CLO 2012-1 LLC
(“2012 Securitization Issuer” or “TICC CLO 2012-1”); “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”) structured finance investments that own
corporate debt securities. CLO investments may also include warehouse facilities, which are financing structures intended to aggregate
loans that may be used to form the basis of a 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.



Effective March 19, 2018, TICC Capital
Corp. changed its name to Oxford Square Capital Corp. The Company has made this change in order to more closely align the branding
of the Company with its affiliated funds.



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, and 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. Oxford Square Management and Oxford Funds changed their
names from TICC Management, LLC and BDC Partners, LLC, respectively, effective March 19, 2018 to align the branding of these entities
and our affiliated funds. 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 $5
million and $50 million 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 September 30, 2018, our
debt investments had stated interest rates of between 5.62% and 12.95% and maturity dates of between 20 and 154 months. In addition,
our total portfolio had a weighted average annualized yield on debt investments of approximately 9.44%.



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 September 30, 2018, 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.



44







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.



Prior to making an investment, we may enter
into a non-binding term sheet with the potential portfolio company. These term sheets are generally subject to a number of conditions,
including but not limited to the satisfactory completion of our due diligence investigations of the company’s business and
legal documentation for the loan.



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.



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 establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. These tiers include:
Level 1, defined as observable inputs such as quoted prices in active markets; Level 2, 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 Level 3,
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 September 30, 2018.



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 statements
of operations as net change in unrealized appreciation/ depreciation.



45







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.
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.



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 previous 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: Grade 1, at least annually; Grade 2, at least semi-annually; Grades 3, 4, and 5, 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. Oxford Square Management also retains the authority
to seek, on our behalf, additional third party valuations with respect to our bilateral portfolio securities, our syndicated loan
investments, and CLO investment vehicles. Our Board retains ultimate authority as to the third-party review cycle as well as the
appropriate valuation of each investment.



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.



46







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 September 30, 2018 and December 31, 2017, we had no investments
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 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 computed at the contractual rate is accrued into income and 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. PIK investments on non-accrual status are restored to accrual status once it becomes probable that PIK will
be 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 an effective yield to the expected redemption utilizing estimated cash flows, 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 GAAP statements of operations differs from both the tax-basis investment income and from the cash
distributions actually received by us during the period.



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.



Preferred Equity Dividends



The Company holds preferred equity investments in its portfolio that contain cumulative preferred dividends
that accumulate quarterly. The Company will record cumulative preferred dividends as investment income when they are declared by
the portfolio company’s board of directors or upon any voluntary or involuntary liquidation, dissolution or winding up of
the portfolio company.  As of September 30, 2018, approximately $4.5 million of cumulative preferred dividends had accumulated
but had yet to be recorded as investment income by the Company.  These dividends are considered in the estimation of fair
value of these preferred equity investments.



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.



47







PORTFOLIO COMPOSITION AND INVESTMENT ACTIVITY



The total fair value of our investment
portfolio was approximately $505.4 million and $418.4 million as of September 30, 2018 and December 31, 2017, respectively. The
increase in the value of investments during the nine month period ended September 30, 2018 was due primarily to purchases of investments
of approximately $205.3 million and net unrealized appreciation on our investment portfolio of approximately $0.5 million (which
incorporates reductions to CLO equity cost value of $10.9 million) partially offset by debt repayments and sales of securities
totaling approximately 108.1 million and net realized losses of $0.6 million. A reconciliation of the investment portfolio for
the nine months ended September 30, 2018 and the year ended December 31, 2017 follows:



|($ in millions)                                    |  | September 30, 2018 |       |   | December 31, 2017 |  
|-------------------------------------------------- |  | ------------------ | ----- | - | ----------------- | -
|Beginning investment portfolio                     |  | $                  | 418.4 |   |                   | $
|Portfolio investments acquired                     |  |                    | 205.3 |   |                   |  
|Debt repayments                                    |  |                    | (92.7 | ) |                   |  
|Sales of securities                                |  |                    | (15.4 | ) |                   |  
|Reductions to CLO equity cost value(1)             |  |                    | (10.9 | ) |                   |  
|Payment-in-kind                                    |  |                    | 0.2   |   |                   |  
|Accretion of discounts on investments(2)           |  |                    | 0.6   |   |                   |  
|Net change in unrealized appreciation/depreciation |  |                    | 0.5   |   |                   |  
|Net realized losses on investments                 |  |                    | (0.6  | ) |                   |  
|Ending investment portfolio                        |  | $                  | 505.4 |   |                   | $










|(1) | For the nine months ended September 30, 2018, 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, 2018, of approximately $31.0 million and the effective yield interest income of approximately $20.1 million. For the year ended December 31, 2017, 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, 2017, of approximately $70.4 million and the effective yield interest income of approximately $33.3 million.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|(2) | Includes rounding adjustment to reconcile ending investment portfolio as of September 30, 2018 and December 31, 2017.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      



During the three months ended September
30, 2018, we purchased approximately $91.8 million in portfolio investments, including additional investments of approximately
$15.8 million in existing portfolio companies and approximately $76.0 million in new portfolio companies. For the year ended December
31, 2017, we closed approximately $208.8 million in portfolio investments, including additional investments of approximately $62.6
million in existing portfolio companies and approximately $146.2 million in new 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.



For the three months ended September 30,
2018 and the year ended December 31, 2017, we had debt repayments of approximately $24.1 million and $189.2 million, respectively.
Also, during the three months ended September 30, 2018 and the year ended December 31, 2017, we recognized proceeds from the sales
of securities of approximately $12.1 million and $171.4 million, respectively.



As of September 30, 2018, we had investments
in debt securities of, or loans to, 23 portfolio companies, with a fair value of approximately $295.1 million, and equity investments
of approximately $210.3 million. Our debt investments included approximately $0.1 million in capitalized PIK interest, which, as
described in “— Overview” section above, is added to the carrying value of our investments, reduced by repayments
of principal.



As of December 31, 2017, we had investments
in debt securities of, or loans to, 21 portfolio companies, with a fair value of approximately $247.7 million, and equity investments
of approximately $170.7 million. Our debt investments included approximately $0.2 million in capitalized PIK interest.



48







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



|Three Months Ended ($ in millions) |  | Purchases of Investments |       |  | Debt Repayments |   |       | Reductionsto CLOEquity Cost(1) |  |   | Sales of Investments | 
|---------------------------------- |  | ------------------------ | ----- |  | --------------- | - | ----- | ------------------------------ |  | - | -------------------- | 
|September 30, 2018                 |  | $                        | 91.8  |  |                 | $ | 24.1  |                                |  | $ | 1.2                  | 
|June 30, 2018                      |  |                          | 88.8  |  |                 |   | 43.7  |                                |  |   | 5.8                  | 
|March 31, 2018                     |  |                          | 24.7  |  |                 |   | 24.9  |                                |  |   | 3.9                  | 
|Total                              |  | $                        | 205.3 |  |                 | $ | 92.7  |                                |  | $ | 10.9                 | 
|December 31, 2017                  |  | $                        | 40.7  |  |                 | $ | 30.2  |                                |  | $ | 5.7                  | 
|September 31, 2017                 |  |                          | 31.2  |  |                 |   | 50.3  |                                |  |   | 3.2                  | 
|June 30, 2017                      |  |                          | 89.3  |  |                 |   | 57.1  |                                |  |   | 16.1                 | 
|March 31, 2017                     |  |                          | 47.6  |  |                 |   | 51.6  |                                |  |   | 12.1                 | 
|Total                              |  | $                        | 208.8 |  |                 | $ | 189.2 |                                |  | $ | 37.1                 | 










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



The following table shows the fair value
of our portfolio of investments by asset class as of September 30, 2018 and December 31, 2017:



|                             |  | September 30, 2018        |       |  | December 31, 2017             | 
|---------------------------- |  | ------------------------- | ----- |  | ----------------------------- | 
|($ in millions)              |  | Investments at Fair Value |       |  | Percentage of Total Portfolio | 
|Senior Secured Notes         |  | $                         | 290.6 |  |                               | 
|Subordinated Debt            |  |                           | —     |  |                               | 
|CLO Debt                     |  |                           | 4.5   |  |                               | 
|CLO Equity                   |  |                           | 191.2 |  |                               | 
|Equity and Other Investments |  |                           | 19.1  |  |                               | 
|Total(1)                     |  | $                         | 505.4 |  |                               | 










| | (1) | Totals may not sum due to
rounding.
| | --- | -----------------------------------



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,
2018, we held qualifying assets that represented 63% of our total assets. No additional non-qualifying assets were acquired during
the periods when qualifying assets were less than 70% of the total assets.



The following table shows our portfolio
of investments by industry at fair value, as of September 30, 2018 and December 31, 2017:



|                           |  | September 30, 2018        |       |  | December 31, 2017        | 
|-------------------------- |  | ------------------------- | ----- |  | ------------------------ | 
|                           |  | Investments at Fair Value |       |  | Percentage of Fair Value | 
|                           |  | ($ in millions)           |       |  |                          | 
|Structured finance(1)      |  | $                         | 195.7 |  |                          | 
|Business services          |  |                           | 107.1 |  |                          | 
|Software                   |  |                           | 60.4  |  |                          | 
|Healthcare                 |  |                           | 35.8  |  |                          | 
|Telecommunication services |  |                           | 20.1  |  |                          | 
|IT consulting              |  |                           | 19.1  |  |                          | 
|Financial intermediaries   |  |                           | 16.9  |  |                          | 
|Diversified insurance      |  |                           | 15.0  |  |                          | 
|Logistics                  |  |                           | 12.5  |  |                          | 
|Utilities                  |  |                           | 7.0   |  |                          | 
|Printing and publishing    |  |                           | 5.7   |  |                          | 
|Aerospace and defense      |  |                           | 5.3   |  |                          | 
|Education                  |  |                           | 4.8   |  |                          | 
|Consumer services          |  |                           | —     |  |                          | 
|Total                      |  | $                         | 505.4 |  |                          | 










| | (1) | Reflects our debt and equity
investments in CLOs as of September 30, 2018 and December 31, 2017, respectively.
| | --- | --------------------------------------------------------------------------------------------------------------





49







PORTFOLIO GRADING



We have adopted a credit grading system
to monitor the quality of our debt investment portfolio. As of September 30, 2018 and December 31, 2017, our portfolio had a weighted
average grade of 2.0 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.



At September 30, 2018 and December 31,
2017, our debt investment portfolio was graded as follows:



|      |  |                                                                                                                                                                                                                                        |  | September 30, 2018 |      
|----- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------ | -----
|Grade |  | Summary Description                                                                                                                                                                                                                    |  | Principal Value    |      
|      |  |                                                                                                                                                                                                                                        |  | ($ 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.                                                                                                                       |  |                    | 288.8
|3     |  | Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.                                                                                        |  |                    | 11.4 
|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.                                                                             |  |                    | —    
|      |  |                                                                                                                                                                                                                                        |  | $                  | 300.2
|      |  |                                                                                                                                                                                                                                        |  |                    |      
|      |  |                                                                                                                                                                                                                                        |  | December 31, 2017  |      
|Grade |  | Summary Description                                                                                                                                                                                                                    |  | Principal Value    |      
|      |  |                                                                                                                                                                                                                                        |  | ($ 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.                                                                                                                       |  |                    | 203.4
|3     |  | Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.                                                                                        |  |                    | 49.9 
|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.                                                                            |  |                    | —    
|      |  |                                                                                                                                                                                                                                        |  | $                  | 253.3



50







We expect that a portion of our investments
will be in the grades 3, 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 grades 3, 4 or
5 may fluctuate from period to period.



RESULTS OF OPERATIONS



Set forth below is a comparison of our
results of operations for the three and nine months ended September 30, 2018 to the three and nine months ended September 30, 2017.



Investment Income



Investment income for the three months
ended September 30, 2018 and September 30, 2017 was approximately $15.2 million and $14.5 million, respectively. For the nine months
ended September 30, 2018 and September 30, 2017, investment income was approximately $41.1 million and $48.0 million, respectively.
The following tables set forth the components of investment income for the three and nine months ended September 30, 2018 and September
30, 2017:



|                                                            |  | Three Months Ended September 30, 2018 |            |  | Three Months Ended September 30, 2017 |   |            | Nine Months Ended September 30, 2018 |  |   | Nine Months Ended September 30, 2017 | 
|----------------------------------------------------------- |  | ------------------------------------- | ---------- |  | ------------------------------------- | - | ---------- | ------------------------------------ |  | - | ------------------------------------ | 
|Interest income                                             |  |                                       |            |  |                                       |   |            |                                      |  |   |                                      | 
|Stated interest income                                      |  | $                                     | 6,240,305  |  |                                       | $ | 5,091,751  |                                      |  | $ | 17,561,261                           | 
|Original issue discount and market discount income          |  |                                       | 123,064    |  |                                       |   | 244,751    |                                      |  |   | 488,734                              | 
|Payment-in-kind income                                      |  |                                       | 91,265     |  |                                       |   | 59,446     |                                      |  |   | 230,689                              | 
|Discount income derived from unscheduled remittances at par |  |                                       | 77,403     |  |                                       |   | 8,460      |                                      |  |   | 126,061                              | 
|Total interest income                                       |  | $                                     | 6,532,037  |  |                                       | $ | 5,404,408  |                                      |  | $ | 18,406,745                           | 
|Income from securitization vehicles                         |  | $                                     | 7,217,804  |  |                                       | $ | 8,086,059  |                                      |  | $ | 20,121,432                           | 
|                                                            |  |                                       |            |  |                                       |   |            |                                      |  |   |                                      | 
|Commitment, amendment and other fee income                  |  |                                       |            |  |                                       |   |            |                                      |  |   |                                      | 
|Fee letters                                                 |  | $                                     | 102,691    |  |                                       | $ | 314,007    |                                      |  | $ | 562,022                              | 
|Loan prepayment and bond call fees                          |  |                                       | 762,842    |  |                                       |   | 300,000    |                                      |  |   | 1,050,842                            | 
|All other fees                                              |  |                                       | 603,078    |  |                                       |   | 393,223    |                                      |  |   | 942,933                              | 
|Total commitment, amendment and other fee income            |  | $                                     | 1,468,611  |  |                                       | $ | 1,007,230  |                                      |  | $ | 2,555,797                            | 
|Total investment income                                     |  | $                                     | 15,218,452 |  |                                       | $ | 14,497,697 |                                      |  | $ | 41,083,974                           | 



The increase in total investment income
for the three months ended September 30, 2018 was primarily due to an increase in interest income and other fee income partially
offset by lower income from securitization vehicles. For the nine months ended September 30, 2018, total investment income decreased
as compared to the nine months ended September 30, 2017 primarily due to a decrease in income from securitization vehicles and
lower interest income. The total principal value of income producing debt investments as of September 30, 2018 and September 30,
2017 was approximately $300.2 million and $244.4 million, respectively.



As of September 30, 2018, our debt investments
had stated interest rates of between 5.62% and 12.95% and maturity dates of between 20 and 154 months compared to stated interest
rates of 4.75% to 15.00% and maturity dates between 15 and 112 months as of September 30, 2017. In addition, our total debt portfolio
had a weighted average yield on debt investments of approximately 9.44% as of September 30, 2018, compared to approximately 9.47%
as of September 30, 2017. As of September 30, 2018, our CLO equity investments had a weighted average effective yield of 14.82%
and compared to a weighted average effective yield of 15.93% as of September 30, 2017.



Operating Expenses



Total expenses for the three months ended
September 30, 2018 and September 30, 2017 were approximately $6.6 million and $7.7 million, respectively. Total expenses for the
nine months ended September 30, 2018 and September 30, 2017 were approximately $16.1 million and $24.9 million, respectively. These
amounts consisted of base management fees, interest expense, professional fees, compensation expense, incentive fees and general
and administrative expenses.



51







Expenses before incentive fees for the
three months ended September 30, 2018 were approximately $5.0 million, which decreased by approximately $2.1 million from the quarter
ended September 30, 2017, largely attributable to lower interest expense, base management fees, and professional fees. Expenses
before incentive fees for the nine months ended September 30, 2018 were approximately $12.7 million, which decreased by approximately
$9.4 million from the nine months ended September 30, 2017, largely attributable to lower interest expense, base management fees,
and professional fees.



The base management fee for the
three months ended September 30, 2018 was approximately $1.8 million compared with $2.0 million for the three months
ended September 30, 2017. The base management fee for the nine months ended September 30, 2018 was approximately $5.3
million compared with $6.5 million for the nine months ended September 30, 2017. The decrease was due largely to a decline in
the weighted average gross assets due to the repayment of the TICC CLO 2012-1 LLC secured notes and the Convertible Notes,
which occurred in the third and fourth quarters of 2017, respectively. As of September 30, 2018 and December 31,
2017, approximately $1.8 million and $1.7 million respectively, of base management fees remained payable to Oxford Square
Management.



Interest expense for the three months ended
September 30, 2018 was approximately $2.3 million, which relates to our 6.50% unsecured notes due 2024 (the “6.50% Unsecured
Notes”) and OXSQ Funding’s credit facility with Citibank, N.A. (the “Credit Facility”), compared to interest
expense of approximately $3.7 million for the three months ended September 30, 2017. Interest expense for the nine months ended
September 30, 2018 was approximately $4.6 million compared to interest expense of approximately $11.1 million for the nine months
ended September 30, 2017. The primary driver of the decrease was the repayment of the TICC CLO 2012-1 secured notes and the Convertible
Notes. The aggregate accrued interest which remained payable as of September 30, 2018 and December 31, 2017, was approximately
$365,000 and $12,000, respectively.



Professional fees, consisting of legal,
consulting, valuation, audit and tax fees, were approximately $0.4 million for the quarter ended September 30, 2018, compared to
approximately $0.7 million for the quarter ended September 30, 2017. Professional fees were approximately $0.9 million and $2.1
million for the nine months ended September 30, 2018 and September 30, 2017, respectively. Those decreases are primarily due to
lower audit and legal fees.



Compensation expenses were approximately
$0.2 million for the three months ended September 30, 2018, compared to approximately $0.2 million for the three months ended September
30, 2017, reflecting the allocation of compensation expenses for the services of our Chief Financial Officer, accounting personnel,
and other administrative support staff. Compensation expenses for the nine months ended September 30, 2018 and September 30, 2017
were approximately $0.7 million and $0.7 million, respectively.



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 $0.4 million for the three months ended September 30, 2018, compared to approximately $0.5
million for the three months ended September 30, 2017. General and administrative expenses for the nine months ended September
30, 2018 and September 30, 2017 were approximately $1.2 million and $1.7 million, respectively. Office supplies, facilities costs
and other expenses are allocated to us under the terms of the Administration Agreement.



Incentive Fees



The net investment income incentive fee
recorded for the three months ended September 30, 2018 was approximately $1.6 million, compared to $0.6 million for the three months
ended September 30, 2017. The net investment income incentive fee recorded for the nine months ended September 30, 2018 was approximately
$3.4 million, compared to $2.8 million for the nine months ended September 30, 2017.



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 8. Related Party Transactions” in the notes to 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 September 30, 2018
and September 30, 2017, 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 September 30, 2018 and September 30, 2017, such an accrual was not required under the terms of the Investment
Advisory Agreement.



52







Realized and Unrealized Gains/Losses on Investments



For the three and nine months ended September
30, 2018, we recognized net realized gains on investments of approximately $0.2 million and net realized losses on investments
of $0.6 million, respectively, which primarily reflects the sale of several CLO equity investments and full repayment of a senior
secured note investment.



For the three months ended September 30,
2018, our net change in unrealized depreciation was approximately $2.3 million, composed of $3.6 million in gross unrealized appreciation,
$5.2 million in gross unrealized depreciation and approximately $0.7 million relating to the reversal of prior period net unrealized
appreciation as investment gains and losses were realized. This includes net unrealized appreciation of approximately $1.2 million
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 most significant components of the
net change in unrealized appreciation and depreciation during the three months ended September 30, 2018 were as follows (in millions):



|Portfolio Company                            |  | Change in Unrealized Appreciation (Depreciation) |     
|-------------------------------------------- |  | ------------------------------------------------ | ----
|Sound Point CLO XVI, Ltd.                    |  | $                                                | (1.1
|Telos CLO 2014-5, Ltd.                       |  |                                                  | (1.0
|Polycom, Inc.                                |  |                                                  | (0.9
|Telos CLO 2013-4, Ltd.                       |  |                                                  | (0.5
|Zais CLO 6, Ltd.                             |  |                                                  | (0.4
|Ivy Hill Middle Market Credit Fund VII, Ltd. |  |                                                  | (0.4
|Jamestown CLO V Ltd.                         |  |                                                  | 0.4 
|Venture XIV, Ltd.                            |  |                                                  | 0.3 
|Net all other                                |  |                                                  | 1.3 
|Total                                        |  | $                                                | (2.3



For the nine months ended September 30,
2018, our net change in unrealized appreciation/depreciation was approximately $0.5 million, composed of $9.1 million in gross
unrealized appreciation, $11.0 million in gross unrealized depreciation and approximately $2.4 million relating to the reversal
of prior period net unrealized depreciation as investment gains and losses were realized. This includes net unrealized appreciation
of approximately $10.9 million 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 most significant changes in net unrealized
appreciation and depreciation during the nine months ended September 30, 2018 were as follows (in millions):



|Portfolio Company            |  | Change in Unrealized Appreciation (Depreciation) |     
|---------------------------- |  | ------------------------------------------------ | ----
|Catamaran CLO 2012-1 Ltd.    |  | $                                                | 2.6 
|Unitek Global Services, Inc. |  |                                                  | 2.3 
|Ares XXVI CLO Ltd.           |  |                                                  | 2.0 
|Telos CLO 2014-5, Ltd.       |  |                                                  | 0.9 
|Imagine! Print Solutions     |  |                                                  | (1.6
|AMMC CLO XII, Ltd.           |  |                                                  | (1.2
|Cedar Funding II CLO, Ltd.   |  |                                                  | (1.2
|Sound Point CLO XVI, Ltd.    |  |                                                  | (1.1
|Net all other                |  |                                                  | (2.2
|Total                        |  | $                                                | 0.5 



53







Net Increase in Net Assets Resulting from Net Investment
Income



Net investment income for the three months
ended September 30, 2018 and September 30, 2017 was approximately $8.6 million and $6.8 million, respectively. Net investment income
for the nine months ended September 30, 2018 and September 30, 2017 was approximately $25.0 million and $23.1 million, respectively.



For the three and nine months ended September
30, 2018, the net increase in net assets resulting from net investment income per common share was $0.18 (basic and diluted) and
$0.50 (basic and diluted), respectively, and based on 49,195,368 and 50,153,321 weighted average common shares, respectively. For
the three and nine months ended September 30, 2017, the net increase in net assets resulting from net investment income per common
share was $0.13 (basic and diluted) and $0.45 (basic and diluted), respectively, and based on 51,479,409 weighted average common
shares. Due to the anti-dilutive effect on the computation of diluted earnings per share for the three and nine months ended September
30, 2018 and September 30, 2017, the adjustments for interest on Convertible Notes, investment advisory fees, deferred issuance
costs and net investment income incentive fees as well as share adjustments for the dilutive effect of Convertible Notes were excluded
from the respective period’s diluted earnings per share computation.



Net Increase in Net Assets Resulting from Operations



Net increase in net assets resulting from
operations for the three months ended September 30, 2018 and September 30, 2017 was approximately $6.5 million and $6.0 million,
respectively. Net increase in net assets resulting from operations for the nine months ended September 30, 2018 and September 30,
2017 was approximately $24.9 million and $27.2 million, respectively.



For the three months ended September 30,
2018, the net increase in net assets resulting from operations per common share was $0.13 (basic and diluted) compared to $0.12
(basic) and $0.18 (diluted) for the three months ended September 30, 2017. For the nine months ended September 30, 2018 and September
30, 2017, the net increase in net assets resulting from operations per common share was $0.50 (basic and diluted) and $0.53 (basic
and diluted), respectively. Due to the anti-dilutive effect on the computation of diluted earnings per share for the three and
nine months ended September 30, 2018 and for the nine months ended September 30, 2017, the adjustments for interest on Convertible
Notes, investment advisory fees, deferred issuance costs and net investment income incentive fees as well as share adjustments
for the dilutive effect of Convertible Notes were excluded from the respective period’s diluted earnings per share computation.





LIQUIDITY AND CAPITAL RESOURCES



As of September 30, 2018, cash, cash equivalents
and restricted cash were approximately $12.1 million as compared to approximately $30.0 million as of December 31, 2017. For the
nine months ended September 30, 2018, net cash provided by operating activities for the period, consisting primarily of the items
described in “— Results of Operations,” was approximately $60.4 million, largely reflecting proceeds from principal
repayments and sales of investments of approximately $108.1 million and reductions to CLO equity cost value of $10.9 million partially
offset by purchases of investments of approximately $205.3 million. For the nine months ended September 30, 2018, net cash provided
by financing activities was approximately $42.5 million, reflecting the issuance of the Credit Facility partially offset by distribution
of dividends and repurchase of common stock.



From time to time, we may seek to retire, repurchase, or exchange
our debt and equity securities in open market purchases or by other means dependent on market conditions, liquidity, contractual
obligations, and other matters.



54







Contractual Obligations



A summary of our significant contractual
payment obligations as of September 30, 2018 is as follows:



|                                      |  |                 |       |  | Payments Due by Period |   |   |             | 
|------------------------------------- |  | --------------- | ----- |  | ---------------------- | - | - | ----------- | 
|Contractual obligations (in millions) |  | Total Principal |       |  | Less than 1 year       |   |   | 1 – 3 years | 
|Long-term debt obligations:           |  |                 |       |  |                        |   |   |             | 
|6.50% Unsecured Notes                 |  | $               | 64.4  |  |                        | $ | — |             | 
|Credit Facility                       |  |                 | 87.7  |  |                        |   | — |             | 
|                                      |  | $               | 152.1 |  |                        |   | — |             | 



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



Off-Balance Sheet Arrangements



As of September 30, 2018, we had approximately
$1.5 million of commitments to purchase additional investments. We had no off-balance sheet arrangements, including any risk management
of commodity pricing or other hedging practices.



Borrowings



In accordance with the 1940 Act, with certain
limited exceptions, we are only allowed to borrow amounts such that our asset coverage, as defined in the 1940 Act, is at least
200%, immediately after such borrowing. As of September 30, 2018, our asset coverage for borrowed amounts was 340.9%.



On March 23, 2018, the Small Business Credit
Availability Act (the “SBCAA”) was signed into law, which included various changes to regulations under the federal
securities laws that impact BDCs. The SBCAA included changes to the 1940 Act to allow BDCs to decrease their asset coverage requirement
to 150% from 200% under certain circumstances. On April 6, 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 SBCAA. As a result, the Company’s asset coverage requirements for senior
securities will be changed from 200% to 150%, effective as of April 6, 2019.



The weighted average stated interest rate
and weighted average maturity on all of the Company’s debt outstanding as of September 30, 2018 were 5.39% and 3.3 years,
respectively, and as of December 31, 2017 were 6.50% and 6.2 years, respectively.



On June 21, 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 is 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 March 21, June 21, September 21 and December 21, commencing on September 21, 2018.
Pursuant to the terms of the credit agreement governing the Credit Facility, OXSQ Funding has borrowed approximately $95.2 million.
The Credit Facility has a mandatory amortization schedule such that 15.0% of the principal amount outstanding as of June 21, 2018
will be due and payable on June 21, 2019. On each payment date occurring thereafter, an additional 6.25% of the remaining principal
amount outstanding will be due and payable. On June 21, 2020, all remaining principal and accrued and unpaid interest will be due
and payable.



On April 12, 2017, the Company completed
an underwritten public offering of approximately $64.4 million in aggregate principal amount of the 6.50% Unsecured Notes. The
6.50% Unsecured Notes will mature on March 30, 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 March 30, 2020. The 6.50% Unsecured Notes will bear interest at a rate of 6.50% per year
payable quarterly on March 30, June 30, September 30, and December 30 of each year, commencing June 30, 2017.



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.



55







Effective January 1, 2015, we recorded
interest from our investments in the equity class securities of CLO vehicles using the effective interest method in accordance
with the provisions of ASC 325-40, Beneficial Interests in Securitized Financial Assets, based upon an estimation of an
effective yield to the expected redemption utilizing estimated cash flows, 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 GAAP
statements of operations differs from both the tax-basis investment income and from the cash distributions we actually received
during the period. CLO entities generally constitute “passive foreign investment companies” and are subject to complex
tax rules; the calculation of taxable income attributed to a CLO equity investment can be dramatically different from the calculation
of income for financial reporting purposes. Taxable income is based upon the distributable share of earnings as determined under
tax regulations for each CLO equity investment, while accounting income is recorded using the effective yield method. This method
requires the calculation of an effective yield to expected redemption based upon an estimation of the amount and timing of future
cash flows, including recurring cash flows as well as future principal repayments; the difference between the actual cash received
(and record date distributions to be received) and the effective yield income calculation is an adjustment to cost. The effective
yield is reviewed quarterly and adjusted as appropriate. Our final taxable earnings for the year ended December 31, 2018 will not
be known until our tax returns are filed, but our experience has been that cash flows have historically represented a reasonable
estimate of taxable earnings. While GAAP accounting income from our CLO equity class investments for the three months ended September
30, 2018 was approximately $7.2 million, we received or were entitled to receive approximately $8.4 million in distributions. Our
distribution policy is based upon our estimate of our taxable net investment income, which includes actual distributions from our
CLO equity class investments, with further consideration given to our realized gains or losses on a taxable basis.



The following table reflects the cash distributions,
including dividends and returns of capital, if any, per share that our Board has declared on our common stock since the beginning
of 2016:



|Date Declared     |  | Record Date        |  | Payment Date       |  | Distributions |      |     | GAAP net investment income |   |      | Distributions
 of return of capital | 
|----------------- |  | ------------------ |  | ------------------ |  | ------------- | ---- | --- | -------------------------- | - | ---- | ----------------------------------- | 
|Fiscal 2018       |  |                    |  |                    |  |               |      |     |                            |   |      |                                     | 
|October 26, 2018  |  | December 17, 2018  |  | December 31, 2018  |  | $             | 0.20 |     |                            | $ | —    | (1)                                 | 
|July 26, 2018     |  | September 14, 2018 |  | September 28, 2018 |  |               | 0.20 |     |                            |   | 0.18 |                                     | 
|April 24, 2018    |  | June 15, 2018      |  | June 29, 2018      |  |               | 0.20 |     |                            |   | 0.15 |                                     | 
|February 22, 2018 |  | March 16, 2018     |  | March 30, 2018     |  |               | 0.20 |     |                            |   | 0.17 |                                     | 
|Total (2018)      |  |                    |  |                    |  | $             | 0.80 |     |                            | $ | —    | (1)                                 | 
|Fiscal 2017       |  |                    |  |                    |  |               |      |     |                            |   |      |                                     | 
|October 27, 2017  |  | December 15, 2017  |  | December 29, 2017  |  | $             | 0.20 |     |                            | $ | 0.15 |                                     | 
|February 27, 2017 |  | September 15, 2017 |  | September 29, 2017 |  |               | 0.20 |     |                            |   | 0.13 |                                     | 
|February 27, 2017 |  | June 16, 2017      |  | June 30, 2017      |  |               | 0.20 |     |                            |   | 0.16 |                                     | 
|February 27, 2017 |  | March 16, 2017     |  | March 31, 2017     |  |               | 0.20 |     |                            |   | 0.16 |                                     | 
|Total (2017)      |  |                    |  |                    |  | $             | 0.80 | (3) |                            | $ | 0.60 |                                     | 
|Fiscal 2016       |  |                    |  |                    |  |               |      |     |                            |   |      |                                     | 
|October 26, 2016  |  | December 16, 2016  |  | December 30, 2016  |  | $             | 0.29 |     |                            | $ | 0.18 |                                     | 
|July 28, 2016     |  | September 16, 2016 |  | September 30, 2016 |  |               | 0.29 |     |                            |   | 0.13 |                                     | 
|April 28, 2016    |  | June 16, 2016      |  | June 30, 2016      |  |               | 0.29 |     |                            |   | 0.13 |                                     | 
|February 18, 2016 |  | March 17, 2016     |  | March 31, 2016     |  |               | 0.29 |     |                            |   | 0.08 |                                     | 
|Total (2016)      |  |                    |  |                    |  | $             | 1.16 | (4) |                            | $ | 0.52 |                                     | 










|(1) | We have not yet reported earnings for this period.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|(2) | The tax character of distributions for the three months ended September 30, 2018 represented on an estimated basis, $0.12
per share from ordinary income and $0.08 per share as a  return of capital. For the three months ended September 30, 2018,
the amounts and sources of distributions reported are only estimates (based on an average of our 3 most recent years’ reported
tax character) 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 the 3 most recent
years 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 2018 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.
|(3) | Cash distributions for the year ended December 31, 2017 includes a tax return of capital of approximately $0.50 per share for tax purposes.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            
|(4) | Cash distributions for the year ended December 31, 2016 includes a tax return of capital of approximately $0.59 per share for tax purposes.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            
|(5) | Totals may not sum due to rounding.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    







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. 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. Jonathan
H. Cohen is the managing member of and controls Oxford Funds. Saul B. Rosenthal is also the President of Oxford Square Management
and a member of Oxford Funds. Charles M. Royce has a minority, non-controlling interest in Oxford Square Management.



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,  private funds that invest principally in the equity of
CLOs. Oxford Funds is the managing member of Oxford Bridge 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 Oxford Bridge
Management, LLC.



56







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.,  Oxford Bridge, LLC  and Oxford Bridge II, LLC, respectively, on the other hand.



Oxford Square Management, Oxford
Lane Management, LLC and Oxford Bridge Management, LLC are subject to a written policy with respect to the allocation
of investment opportunities among the Company, Oxford Lane Capital Corp.,  Oxford Bridge, LLC  and Oxford Bridge II, LLC. 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 June 14, 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 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



From October 1, 2018 through October 30,
2018, an additional 646,450 shares of the Company’s common stock settled through its share repurchase program, for an aggregate
cost of approximately $4.3 million at a weighted average price per share of common stock of approximately $6.60.



57







On October 12, 2018, OXSQ Funding amended
the Credit Facility with Citibank, N.A. Under the amended Credit Facility, an additional borrowing amount of approximately $37.3
million was made under the same terms as the existing credit agreement. The Company posted additional collateral with a principal
amount of approximately $76.4 million. All other existing terms of the Credit Facility remain unchanged.



On October 26, 2018, the Board declared
a distribution of $0.20 per share for the fourth quarter, payable on December 31, 2018 to stockholders of record as of December
17, 2018.



ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK.



We are subject to financial market risks,
including changes in interest rates. As of September 30, 2018, all of our debt investments were at variable rates, representing
approximately $300.2 million in principal debt. As of September 30, 2018, all of our variable rate investments were income producing.
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.



Based on our consolidated statements of
assets and liabilities as of September 30, 2018, 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 September 30, 2018. These hypothetical calculations are based on a model of the investments
in our portfolio, held as of September 30, 2018, and are only adjusted for assumed changes in the underlying base interest rates.
As of September 30, 2018, we did not hold any floating rate debt. 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                   |  |                                                  | 4.9 
|Up 200 basis points                   |  |                                                  | 9.9 
|Up 300 basis points                   |  |                                                  | 14.8
|Down 25 basis points                  |  |                                                  | (1.2



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 September 30, 2018 (the end of the
period covered by this report), our management, 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.



58







(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 September 30, 2018 that have materially affected, or are reasonably likely to materially
affect, the Company’s internal control over financial reporting.



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 factors discussed in Item 1A. Risk Factors in our Annual Report on
Form 10-K for the fiscal year ended December 31, 2017, which could materially affect our business, financial condition and/or operating
results. The risks described in our Annual Report on Form 10-K are not the only risks facing our company. 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 risks described below, there have been no material changes
during the three months ended September 30, 2018 to the risk factors discussed in Item 1A. Risk Factors in our Annual Report
on Form 10-K for the year ended December 31, 2017.



After April 6, 2019, we will be permitted to borrow more
money, which will further magnify the potential for gain or loss on amounts invested and may further increase the risk of investing
in us.



On April 6, 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 SBCAA. As a result, the Company’s
asset coverage requirements for senior securities will be changed from 200% to 150%, effective as of April 6, 2019. Prior to the
enactment of the SBCAA, BDCs were required to maintain an asset coverage ratio of at least 200% in order to incur debt or to issue
other senior securities. Generally, for every $1.00 of debt incurred or in senior securities issued, a BDC was required to have
at least $2.00 of assets immediately following such incurrence or issuance. For those BDCs that satisfy the SBCAA’s disclosure
and approval requirements, the minimum asset coverage ratio is reduced such that for every $1.00 of debt incurred or in senior
securities issued, a BDC must now have at least $1.50 of assets. If we incur additional leverage, general interest rate fluctuations
may have a more significant negative impact on our investments and investment opportunities than they would have absent such additional
incurrence, and, accordingly, may have a material adverse effect on our investment objectives and rate of return on investment
capital.



Borrowings (including through the securitization
transactions, which are consolidated in our financial statements), also known as leverage, magnify the potential for gain or loss
on amounts invested and, therefore, increase the risks associated with investing in our securities. We may borrow from and issue
senior debt securities to banks, insurance companies, and other lenders. Lenders of these senior securities have fixed dollar claims
on our assets that are superior to the claims of our common stockholders. If the value of our assets increases, then leveraging
would cause the net asset value attributable to our common stock to increase more sharply than it would have had we not leveraged.
Conversely, if the value of our assets decreases, leveraging would cause net asset value to decline more sharply than it otherwise
would have had we not leveraged. Similarly, any increase in our income in excess of interest payable on the borrowed funds would
cause our net income to increase more than it would without the leverage, while any decrease in our income would cause net income
to decline more sharply than it would have had we not borrowed. Such a decline could negatively affect our ability to make common
stock distribution payments. Leverage is generally considered a speculative investment technique. Our ability to service any debt
that we incur will depend largely on our financial performance and will be subject to prevailing economic conditions and competitive
pressures. Moreover, as the management fee payable to Oxford Square Management will be payable on our gross assets, including those
assets acquired through the use of leverage, Oxford Square Management may have a financial incentive to incur leverage which may
not be consistent with our stockholders’ interests. In addition, our common stockholders will bear the burden of any increase
in our expenses as a result of leverage, including any increase in the management fee payable to Oxford Square Management.



59







If we are unable to comply with the covenants or restrictions
in our borrowings, our business could be materially adversely affected.



The
Credit Facility includes covenants, among others, that, subject to exceptions, restrict our ability to pay distributions, create
liens on assets, make investments, make acquisitions and engage in mergers or consolidations. The Credit Facility also includes
a change of control provision that accelerates the indebtedness under the facility in the event of certain change of control events.
Complying with these restrictions may prevent us from taking actions that we believe would help us grow our business or are otherwise
consistent with our investment objective. These restrictions could also limit our ability to plan for or react to market conditions
or meet extraordinary capital needs or otherwise restrict corporate activities. In addition, the restrictions contained in the
Credit Facility could limit our ability to make distributions to our stockholders in certain circumstances, which could result
in us failing to qualify as a RIC and thus becoming subject to corporate-level U.S. federal income tax (and any applicable
state and local taxes).



The
breach of any of the covenants or restrictions, unless cured within the applicable grace period, would result in a default under
the Credit Facility that would permit the lender thereunder to declare all amounts outstanding to be due and payable. In such an
event, we may not have sufficient assets to repay such indebtedness. As a result, any default could have serious consequences to
our financial condition. An event of default or an acceleration under the Credit Facility could also cause a cross-default or cross-acceleration
of another debt instrument or contractual obligation, which would adversely impact our liquidity. We may not be granted waivers
or amendments to the Credit Facility if for any reason we are unable to comply with it, and we may not be able to refinance the
Credit Facility on terms acceptable to us, or at all.



The terms of the Credit Facility may contractually limit
our ability to incur additional indebtedness.



We
will need additional capital to fund new investments and grow our portfolio of investments. We intend to access the capital markets
periodically to issue debt or equity securities or borrow from financial institutions in order to obtain such additional capital.
We believe that having the flexibility to incur additional leverage could augment the returns to our stockholders and would be
in the best interests of our stockholders. Contractual leverage limitations under our existing Credit Facility or future borrowings
may limit our ability to incur additional indebtedness. We cannot assure you that we will be able to negotiate a change to the
Credit Facility to allow us to incur additional leverage or that any such an amendment will be available to us on favorable terms.
An inability on our part to amend the contractual asset coverage limitation and access additional leverage could limit our ability
to take advantage of the benefits described above related to our ability to incur additional leverage and could decrease our earnings,
if any, which would have an adverse effect on our results of operations and the value of our shares of common stock.



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



Sales of Unregistered Equity Securities



We did not engage in unregistered sales
of equity securities during the three months ended September 30, 2018, and we did not issue shares of common stock under our distribution
reinvestment plan. During the three months ended September 30, 2018, as part of our dividend reinvestment plan for our common stockholders,
our dividend reinvestment administrator purchased 21,728 shares of our common stock for approximately $0.2 million in the open
market to satisfy the reinvestment portion of our dividends.



Issuer Purchases of Equity Securities



On February 5, 2018, our board of directors
authorized a program for the purpose of repurchasing up to $25.0 million worth of our common stock. Under the repurchase program,
we may, but we are not obligated to, repurchase our outstanding common stock in the open market from time to time provided that
we comply with the prohibitions under our Insider Trading Policies and Procedures and the guidelines specified in Rule 10b-18 of
the Securities Exchange Act of 1934, as amended, including certain price, market volume and timing constraints. In addition, any
repurchases will be conducted in accordance with the Investment Company Act of 1940, as amended. During the three months ended
September 30, 2018, we repurchased 261,343 shares at a weighted average price of approximately $6.98 per share, inclusive of commissions.
This represents a discount of approximately 7.5% of the net asset value per share as of September 30, 2018. The total dollar amount
of shares repurchased this period was approximately $1.8 million, leaving a maximum of approximately $9.9 million available for
future program purchases. The following table discloses on a monthly basis for the quarter ended September 30, 2018, the total
number of shares repurchased (including the total number of shares repurchased under this program), the weighted average price
paid per share, and the maximum number of shares (or approximate dollar value) of shares that may yet be repurchased under the
program.



60







|Period                                 |  | Total Numberof SharesPurchased |         |  | Average PricePaid per Share |   |      | CumulativeNumber of SharesPurchased asPart of PubliclyAnnounced Program |  |  | Maximum Number(or ApproximateDollar Value) ofShares that MayYet Be PurchasedUnder the Program | 
|-------------------------------------- |  | ------------------------------ | ------- |  | --------------------------- | - | ---- | ----------------------------------------------------------------------- |  |  | --------------------------------------------------------------------------------------------- | 
|January 1, 2018 – January 31, 2018     |  |                                | —       |  |                             | $ | —    |                                                                         |  |  | —                                                                                             | 
|February 1, 2018 – February 28, 2018   |  |                                | 336,921 |  |                             | $ | 5.66 |                                                                         |  |  | 336,921                                                                                       | 
|March 1, 2018 – March 31, 2018         |  |                                | 653,339 |  |                             | $ | 6.18 |                                                                         |  |  | 990,260                                                                                       | 
|April 1, 2018 – April 30, 2018         |  |                                | 100,456 |  |                             | $ | 6.11 |                                                                         |  |  | 1,090,716                                                                                     | 
|May 1, 2018 – May 31, 2018             |  |                                | 540,031 |  |                             | $ | 6.73 |                                                                         |  |  | 1,630,747                                                                                     | 
|June 1, 2018 – June 30, 2018           |  |                                | 441,053 |  |                             | $ | 6.92 |                                                                         |  |  | 2,071,800                                                                                     | 
|July 1, 2018 – July 31, 2018           |  |                                | 152,437 |  |                             | $ | 6.98 |                                                                         |  |  | 2,224,237                                                                                     | 
|August 1, 2018 – August 31, 2018       |  |                                | 108,906 |  |                             | $ | 6.98 |                                                                         |  |  | 2,333,143                                                                                     | 
|September 1, 2018 – September 30, 2018 |  |                                | —       |  |                             | $ | —    |                                                                         |  |  | —                                                                                             | 



ITEM 3. DEFAULTS UPON SENIOR SECURITIES.



None.



ITEM 4. MINE SAFETY DISCLOSURES.



Not applicable.



ITEM 5. OTHER INFORMATION.



None.



61







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).                                                                                                                                                                                                    
|10.1 | First Amendment to the Credit and Security Agreement among Oxford Square Funding 2018, LLC, as borrower, Oxford Square Capital Corp., as equityholder and collateral manager, and Citibank, N.A., as lender and administrative agent, dated October 12, 2018 (incorporated by reference to Exhibit 10.1 to the Registrant’s current report on Form 8-K filed on October 12, 2018).
|10.2 | Sale, Contribution and Master Participation Agreement by and between Oxford Square Funding 2018, LLC, as the buyer and Oxford Square Capital Corp., as the seller, dated October 12, 2018 (incorporated by reference to Exhibit 10.2 to the Registrant’s current report on Form 8-K filed on October 12, 2018).                                                                   
|11   | Computation of Per Share Earnings (included in the notes to the financial statements contained in this report).                                                                                                                                                                                                                                                                   
|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
| | - | --------------



62







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: October 31, 2018 | By:                        
|                       |                            
|                       |                            
|                       |                            
|                       |                            
|Date: October 31, 2018 | By:                        
|                       |                            
|                       |                            
|                       |                            



63