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 MARCH 31, 2019
|                                              |                                                                                         
| ̈                                             | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934



COMMISSION FILE NUMBER: 814-00638










OXFORD
SQUARE CAPITAL CORP.

(Exact name of registrant as specified in
its 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, a 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





Securities registered
pursuant to Section 12(b) of the Act:



|Title of each class                     |  | Trading Symbol(s) |  | Name of each exchange on which registered
|--------------------------------------- |  | ----------------- |  | -----------------------------------------
|Common stock, par value $0.01 per share |  | OXSQ              |  | NASDAQ Global Select Market LLC          
|6.50% Notes due 2024                    |  | OXSQL             |  | NASDAQ Global Select Market LLC          
|6.25% Notes due 2026                    |  | OXSQZ             |  | NASDAQ Global Select Market LLC          



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 April 30, 2019 was 47,650,959.




















OXFORD SQUARE CAPITAL CORP.



TABLE OF CONTENTS



|PART I. FINANCIAL INFORMATION | 1                                                                                                              
|----------------------------- | ---------------------------------------------------------------------------------------------------------------
|Item 1.                       | Financial Statements                                                                                           
|                              | Consolidated Statements of Assets and Liabilities as of March 31, 2019 (unaudited) andDecember 31, 2018        
|                              | Consolidated Schedule of Investments as of March 31, 2019 (unaudited)                                          
|                              | Consolidated Schedule of Investments as of December 31, 2018                                                   
|                              | Consolidated Statements of Operations for the three months ended March 31, 2019 and 2018 (unaudited)           
|                              | Consolidated Statements of Changes in Net Assets for the three months ended March 31, 2019 and 2018 (unaudited)
|                              | Consolidated Statements of Cash Flows for the three months ended March 31, 2019 and 2018 (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    | 55                                                                                                             
|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                    | 58                                                                                                             



i







PART I — FINANCIAL INFORMATION



ITEM 1. FINANCIAL STATEMENTS (UNAUDITED)



OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED STATEMENTS OF ASSETS AND
LIABILITIES



|                                                                                                                                    |  | March 31, 2019 |              |   | December 31, 2018 |  
|----------------------------------------------------------------------------------------------------------------------------------- |  | -------------- | ------------ | - | ----------------- | -
|                                                                                                                                    |  | (unaudited)    |              |   |                   |  
|ASSETS                                                                                                                              |  |                |              |   |                   |  
|Non-affiliated/non-control investments
    (cost: $484,168,171 and $486,232,755, respectively)                                      |  | $              | 432,660,699  |   |                   | $
|Affiliated investments (cost: $9,126,017  and $9,126,017, respectively)                                                             |  |                | 15,942,483   |   |                   |  
|Cash equivalents                                                                                                                    |  |                | 10,081,620   |   |                   |  
|Restricted cash                                                                                                                     |  |                | 2,402,254    |   |                   |  
|Interest and distributions receivable                                                                                               |  |                | 4,569,350    |   |                   |  
|Other assets                                                                                                                        |  |                | 462,084      |   |                   |  
|Total assets                                                                                                                        |  | $              | 466,118,490  |   |                   | $
|LIABILITIES                                                                                                                         |  |                |              |   |                   |  
|Notes payable – Credit Facility, net of deferred issuance costs                                                                     |  | $              | 77,301,544   |   |                   | $
|Notes payable – 6.50% Unsecured Notes, net of deferred issuance costs                                                               |  |                | 62,744,927   |   |                   |  
|Securities purchased not settled                                                                                                    |  |                | 4,433,875    |   |                   |  
|Base management fee and net investment income incentive fee payable to affiliate                                                    |  |                | 2,782,589    |   |                   |  
|Accrued interest payable                                                                                                            |  |                | 339,407      |   |                   |  
|Accrued expenses                                                                                                                    |  |                | 572,141      |   |                   |  
|Total liabilities                                                                                                                   |  |                | 148,174,483  |   |                   |  
|COMMITMENTS AND CONTINGENCIES (Note 13)                                                                                             |  |                |              |   |                   |  
|NET ASSETS                                                                                                                          |  |                |              |   |                   |  
|Common stock, $0.01 par value, 100,000,000 shares authorized; 47,650,959 and 47,650,959 shares issued and outstanding, respectively |  |                | 476,509      |   |                   |  
|Capital in excess of par value                                                                                                      |  |                | 456,970,560  |   |                   |  
|Total distributable earnings /
    (accumulated losses)                                                                             |  |                | (139,503,062 | ) |                   |  
|Total net assets                                                                                                                    |  |                | 317,944,007  |   |                   |  
|Total liabilities and net assets                                                                                                    |  | $              | 466,118,490  |   |                   | $
|Net asset value per common share                                                                                                    |  | $              | 6.67         |   |                   | $



See Accompanying Notes.



1







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS

March 31, 2019



|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, 7.50%
    (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(16)(21)                 |  | $                | 5,514,380  |  |      | $ | 5,466,090  |               |  | $ | 5,397,199       | 
|Total Aerospace and Defense                                                                                                     |  |                  |            |  |      | $ | 5,466,090  |               |  | $ | 5,397,199       | 
|                                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|Business Services                                                                                                               |  |                  |            |  |      |   |            |               |  |   |                 | 
|Access CIG, Inc.                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 6.24% (LIBOR + 3.75%), (0.00% floor) due
    February 27, 2025(4)(5)(6)(14)(15)(21)            |  | $                | 495,001    |  |      | $ | 495,001    |               |  | $ | 488,507         | 
|second lien senior secured notes, 10.24% (LIBOR + 7.75%), (0.00% floor)
    due February 27, 2026(4)(5)(14)(16)(21)             |  |                  | 16,754,000 |  |      |   | 16,857,649 |               |  |   | 16,530,669      | 
|                                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|Convergint Technologies, LLC                                                                                                    |  |                  |            |  |      |   |            |               |  |   |                 | 
|second lien senior secured notes, 9.25% (LIBOR + 6.75%), (0.75% floor)
    due February 2, 2026(4)(5)(16)(21)                   |  |                  | 1,500,000  |  |      |   | 1,492,951  |               |  |   | 1,440,000       | 
|                                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|Imagine! Print Solutions                                                                                                        |  |                  |            |  |      |   |            |               |  |   |                 | 
|second lien senior secured notes, 11.25% (LIBOR + 8.75%), (1.00% floor)
    due June 21, 2023(4)(5)(16)(21)                     |  |                  | 15,000,000 |  |      |   | 14,844,966 |               |  |   | 13,275,000      | 
|                                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|OMNIA Partners, Inc.                                                                                                            |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 6.55%  (LIBOR + 3.75%), (0.00%
    floor ) due May 23, 2025(4)(5)(6)(14)(15)(21)               |  |                  | 5,955,000  |  |      |   | 5,957,958  |               |  |   | 5,910,338       | 
|second lien senior secured notes, 10.30%  (LIBOR + 7.50%), (0.00%
    floor) due May 22, 2026(4)(5)(14)(15)(21)                 |  |                  | 14,000,000 |  |      |   | 13,937,356 |               |  |   | 13,510,000      | 
|                                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|Premiere Global Services, Inc.                                                                                                  |  |                  |            |  |      |   |            |               |  |   |                 | 
|senior secured notes, 9.24% (LIBOR + 6.50%), (1.00% floor) due December
    8, 2021(4)(5)(6)(15)                                |  |                  | 14,533,279 |  |      |   | 13,725,345 |               |  |   | 9,119,633       | 
|second lien senior secured notes, 12.30% (LIBOR + 9.50%), (1.00% floor)
    due June 6, 2022(4)(5)(15)                          |  |                  | 10,000,000 |  |      |   | 9,800,508  |               |  |   | 5,000,000       | 
|                                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|Verifone Systems, Inc.                                                                                                          |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 6.68% (LIBOR + 4.00%), (0.00% floor) due
    August 20, 2025(4)(5)(6)(15)(21)                  |  |                  | 6,982,500  |  |      |   | 6,951,043  |               |  |   | 6,886,491       | 
|second lien senior secured notes, 10.68% (LIBOR +
    8.00%), (0.00% floor) due August 20, 2026(4)(5)(15)(21)                   |  |                  | 8,000,000  |  |      |   | 7,925,691  |               |  |   | 7,820,000       | 
|Total Business Services                                                                                                         |  |                  |            |  |      | $ | 91,988,468 |               |  | $ | 79,980,638      | 
|                                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|Diversified Insurance                                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|AmeriLife Group LLC                                                                                                             |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 7.25%  (LIBOR
    + 4.75%), (1.00% floor)  due July 10, 2022(4)(5)(6)(16)(21)                  |  | $                | 14,944,028 |  |      | $ | 14,857,061 |               |  | $ | 14,906,668      | 
|Total Diversified Insurance                                                                                                     |  |                  |            |  |      | $ | 14,857,061 |               |  | $ | 14,906,668      | 
|                                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|Education                                                                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|Edmentum, Inc. (f/k/a Plato, Inc.)                                                                                              |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 7.24%  (LIBOR
    + 4.50%), (1.00% floor) Cash, 4.00% PIK due June 9, 2021(3)(4)(5)(6)(15)(21) |  | $                | 5,982,205  |  |      | $ | 5,942,815  |               |  | $ | 5,025,052       | 
|Total Education                                                                                                                 |  |                  |            |  |      | $ | 5,942,815  |               |  | $ | 5,025,052       | 
|                                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|Financial Intermediaries                                                                                                        |  |                  |            |  |      |   |            |               |  |   |                 | 
|First American Payment Systems                                                                                                  |  |                  |            |  |      |   |            |               |  |   |                 | 
|second lien senior secured notes, 13.14%  (LIBOR + 10.50%), (1.00%
    floor) due July 5, 2024(4)(5)(21)(22)                    |  | $                | 1,500,000  |  |      | $ | 1,464,666  |               |  | $ | 1,498,125       | 
|                                                                                                                                |  |                  |            |  |      |   |            |               |  |   |                 | 
|Lighthouse Network, LLC (f/k/a Harbortouch Payments, LLC)                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|first lien senior secured notes, 7.24%  (LIBOR + 4.50%), (1.00%
    floor) due November 30, 2024(4)(5)(6)(14)(15)(21)           |  |                  | 3,456,250  |  |      |   | 3,442,077  |               |  |   | 3,447,609       | 
|second lien senior secured notes, 11.24%  (LIBOR
    + 8.50%), (1.00% floor) due November 30, 2025(4)(5)(14)(15)(21)            |  |                  | 16,490,000 |  |      |   | 16,332,825 |               |  |   | 16,118,975      | 
|Total Financial Intermediaries                                                                                                  |  |                  |            |  |      | $ | 21,239,568 |               |  | $ | 21,064,709      | 



(continued on next page)

See Accompanying Notes.





2







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS

March 31, 2019



|COMPANY/INVESTMENT(1)(20)                                                                                               |  | PRINCIPAL AMOUNT |            |  | COST |   |             | FAIR VALUE(2) |  |   | % of Net Assets | 
|----------------------------------------------------------------------------------------------------------------------- |  | ---------------- | ---------- |  | ---- | - | ----------- | ------------- |  | - | --------------- | 
|Senior Secured Notes - (continued)                                                                                      |  |                  |            |  |      |   |             |               |  |   |                 | 
|Healthcare                                                                                                              |  |                  |            |  |      |   |             |               |  |   |                 | 
|Keystone Acquisition Corp.                                                                                              |  |                  |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 8.05%  (LIBOR + 5.25%), (1.00%
    floor) due May 1, 2024(4)(5)(6)(14)(15)(21)         |  | $                | 7,515,091  |  |      | $ | 7,484,448   |               |  | $ | 7,252,063       | 
|second lien senior secured notes, 12.05%  (LIBOR + 9.25%), (1.00%
    floor) due May 1, 2025(4)(5)(14)(15)(21)          |  |                  | 13,000,000 |  |      |   | 12,860,554  |               |  |   | 12,610,000      | 
|                                                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|Viant Medical Holdings, Inc.                                                                                            |  |                  |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.55%  (LIBOR + 3.75%), (0.00%
    floor ) due July 2, 2025(4)(5)(15)(21)              |  |                  | 9,950,000  |  |      |   | 9,950,795   |               |  |   | 9,950,000       | 
|second lien senior secured notes, 10.55%  (LIBOR + 7.75%), (0.00%
    floor) due July 2, 2026(4)(5)(15)(21)             |  |                  | 5,000,000  |  |      |   | 4,954,100   |               |  |   | 4,968,750       | 
|                                                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|ScribeAmerica, LLC                                                                                                      |  |                  |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 7.01%  (LIBOR
    + 4.50%), (0.00% floor ) due April 3, 2025(4)(5)(6)(16)              |  |                  | 12,437,186 |  |      |   | 12,345,239  |               |  |   | 12,250,628      | 
|Total Healthcare                                                                                                        |  |                  |            |  |      | $ | 47,595,136  |               |  | $ | 47,031,441      | 
|                                                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|Logistics                                                                                                               |  |                  |            |  |      |   |             |               |  |   |                 | 
|Capstone Logistics Acquisition, Inc.                                                                                    |  |                  |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 7.00%  (LIBOR
    + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(16)(21)         |  | $                | 13,221,953 |  |      | $ | 13,201,582  |               |  | $ | 13,188,898      | 
|Total Logistics                                                                                                         |  |                  |            |  |      | $ | 13,201,582  |               |  | $ | 13,188,898      | 
|                                                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|Printing and Publishing                                                                                                 |  |                  |            |  |      |   |             |               |  |   |                 | 
|Merrill Communications, LLC                                                                                             |  |                  |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 7.99%  (LIBOR
    + 5.25%), (1.00% floor ) due June 01, 2022(4)(5)(6)(15)(21)          |  | $                | 4,860,339  |  |      | $ | 4,853,313   |               |  | $ | 4,872,490       | 
|Total Printing and Publishing                                                                                           |  |                  |            |  |      | $ | 4,853,313   |               |  | $ | 4,872,490       | 
|                                                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|Software                                                                                                                |  |                  |            |  |      |   |             |               |  |   |                 | 
|ECI Software Solutions, Inc.                                                                                            |  |                  |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 7.06%  (LIBOR + 4.25%), (1.00%
    floor ) due September 27, 2024(4)(5)(6)(14)(15)(21) |  | $                | 4,949,749  |  |      | $ | 4,965,477   |               |  | $ | 4,912,626       | 
|second lien senior secured notes, 10.80%  (LIBOR + 8.00%), (1.00%
    floor) due September 29, 2025(4)(5)(14)(15)(21)   |  |                  | 15,000,000 |  |      |   | 14,914,846  |               |  |   | 14,700,000      | 
|                                                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|Help/Systems Holdings, Inc.                                                                                             |  |                  |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.25%  (LIBOR + 3.75%), (0.00%
    floor) due March 28, 2025(4)(5)(14)(16)(21)         |  |                  | 3,970,000  |  |      |   | 3,978,608   |               |  |   | 3,915,413       | 
|second lien senior secured notes, 10.25%  (LIBOR + 7.75%), (0.00%
    floor) due March 27, 2026(4)(5)(14)(16)(21)       |  |                  | 15,500,000 |  |      |   | 15,487,198  |               |  |   | 15,383,750      | 
|                                                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|Quest Software, Inc.                                                                                                    |  |                  |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.99%  (LIBOR +
    4.25%), (0.00% floor ) due May 16, 2025(4)(5)(14)(15)(21)          |  | $                | 5,985,000  |  |      | $ | 5,958,399   |               |  | $ | 5,895,225       | 
|second lien senior secured notes, 10.99%  (LIBOR
    + 8.25%), (0.00% floor) due May 18, 2026(4)(5)(14)(15)(21)         |  |                  | 15,000,000 |  |      |   | 14,861,918  |               |  |   | 14,756,250      | 
|Total Software                                                                                                          |  |                  |            |  |      | $ | 60,166,446  |               |  | $ | 59,563,264      | 
|                                                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|Telecommunications Services                                                                                             |  |                  |            |  |      |   |             |               |  |   |                 | 
|Global Tel Link Corp.                                                                                                   |  |                  |            |  |      |   |             |               |  |   |                 | 
|second lien senior secured notes, 10.75%  (LIBOR
    + 8.25%), (0.00% floor) due November 29, 2026(4)(5)(14)(16)        |  | $                | 17,000,000 |  |      | $ | 16,710,304  |               |  | $ | 16,603,390      | 
|Total Telecommunication Services                                                                                        |  |                  |            |  |      | $ | 16,710,304  |               |  | $ | 16,603,390      | 
|                                                                                                                        |  |                  |            |  |      |   |             |               |  |   |                 | 
|Utilities                                                                                                               |  |                  |            |  |      |   |             |               |  |   |                 | 
|CLEAResult Consulting, Inc.                                                                                             |  |                  |            |  |      |   |             |               |  |   |                 | 
|first lien senior secured notes, 6.02%  (LIBOR + 3.50%), (0.00%
    floor ) due August 8, 2025(4)(5)(16)(21)            |  | $                | 4,975,000  |  |      | $ | 4,951,909   |               |  | $ | 4,912,813       | 
|second lien senior secured notes, 9.77%  (LIBOR
    + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(16)(21)           |  |                  | 7,650,000  |  |      |   | 7,677,050   |               |  |   | 7,477,875       | 
|Total Utilities                                                                                                         |  |                  |            |  |      | $ | 12,628,959  |               |  | $ | 12,390,688      | 
|Total Senior Secured Notes                                                                                              |  |                  |            |  |      | $ | 294,649,742 |               |  | $ | 280,024,437     | 



(continued on next page)

See Accompanying Notes.



3







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS

March 31, 2019



|COMPANY/INVESTMENT(1)(20)                                                                  |  | PRINCIPAL AMOUNT |            |  | COST |   |            | FAIR VALUE(2) |  |   | % of Net Assets | 
|------------------------------------------------------------------------------------------ |  | ---------------- | ---------- |  | ---- | - | ---------- | ------------- |  | - | --------------- | 
|Collateralized Loan Obligation - Debt Investments                                          |  |                  |            |  |      |   |            |               |  |   |                 | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Structured Finance                                                                         |  |                  |            |  |      |   |            |               |  |   |                 | 
|Galaxy XXVIII CLO, Ltd.                                                                    |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO secured class F notes, 11.27% (LIBOR + 8.48%),
    due July 15, 2031(4)(5)(11)(12)(15) |  | $                | 1,000,000  |  |      | $ | 929,092    |               |  | $ | 926,200         | 
|Total Structured Finance                                                                   |  |                  |            |  |      | $ | 929,092    |               |  | $ | 926,200         | 
|Total Collateralized Loan Obligation - Debt Investments                                    |  |                  |            |  |      | $ | 929,092    |               |  | $ | 926,200         | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Collateralized Loan Obligation - Equity Investments                                        |  |                  |            |  |      |   |            |               |  |   |                 | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Structured Finance                                                                         |  |                  |            |  |      |   |            |               |  |   |                 | 
|AMMC CLO XI, Ltd.                                                                          |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 15.52% due April 30, 2031(9)(11)(12)(17)           |  | $                | 6,000,000  |  |      | $ | 3,839,492  |               |  | $ | 3,180,000       | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|AMMC CLO XII, Ltd.                                                                         |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 13.32% due November 10, 2030(9)(11)(12)(17)        |  |                  | 12,921,429 |  |      |   | 7,163,945  |               |  |   | 5,427,000       | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Babson CLO Ltd. 2015-I                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 15.57% due January 20, 2031(9)(11)(12)(17)         |  |                  | 2,840,000  |  |      |   | 1,890,069  |               |  |   | 1,533,600       | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Carlyle Global Market Strategies CLO 2013-2, Ltd.                                          |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 22.07% due January 18, 2029(9)(11)(12)(17)         |  |                  | 9,250,000  |  |      |   | 5,808,451  |               |  |   | 5,725,616       | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Cedar Funding II CLO, Ltd.                                                                 |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 11.37% due June 09, 2030(9)(11)(12)(17)            |  |                  | 18,000,000 |  |      |   | 13,508,825 |               |  |   | 10,260,000      | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Cedar Funding VI CLO, Ltd.                                                                 |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 14.39% due October 20, 2028(9)(11)(12)(17)         |  |                  | 7,700,000  |  |      |   | 7,504,348  |               |  |   | 6,468,000       | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|CIFC Funding 2014-3, Ltd.                                                                  |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 15.89% due October 22, 2031(9)(11)(12)(17)         |  |                  | 10,000,000 |  |      |   | 6,513,574  |               |  |   | 5,600,000       | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Galaxy XXVIII CLO, Ltd.                                                                    |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 14.62% due July 15, 2031(9)(11)(12)(17)            |  |                  | 2,000,000  |  |      |   | 1,038,529  |               |  |   | 795,141         | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Hull Street CLO Ltd.                                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield -11.60% due October 18, 2026(9)(11)(12)(17)        |  |                  | 5,000,000  |  |      |   | 1,590,367  |               |  |   | 650,000         | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Ivy Hill Middle Market Credit Fund VII, Ltd.                                               |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 9.25% due October 20, 2029(9)(11)(12)(17)          |  |                  | 10,800,000 |  |      |   | 9,092,423  |               |  |   | 6,409,660       | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Madison Park Funding XIX, Ltd.                                                             |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 13.30% due January 22, 2028(9)(11)(12)(17)         |  |                  | 5,422,500  |  |      |   | 5,236,544  |               |  |   | 4,771,800       | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Octagon Investment Partners 38, Ltd.                                                       |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 17.38% due July 20, 2030(9)(11)(12)(17)            |  |                  | 5,000,000  |  |      |   | 4,352,357  |               |  |   | 4,400,000       | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Regatta XV Funding, Ltd.                                                                   |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 0.00% due October 25, 2026(9)(11)(12)(17)(23)      |  |                  | 3,000,000  |  |      |   | -          |               |  |   | 90,000          | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Sound Point CLO XVI, Ltd.                                                                  |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 16.16% due July 25, 2030(9)(11)(12)(14)(17)        |  |                  | 45,500,000 |  |      |   | 43,937,113 |               |  |   | 38,220,000      | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Steele Creek CLO 2014-1, Ltd.                                                              |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 22.52% due April 21, 2031(9)(11)(12)(17)           |  |                  | 4,250,000  |  |      |   | 3,040,516  |               |  |   | 2,989,875       | 
|                                                                                           |  |                  |            |  |      |   |            |               |  |   |                 | 
|Telos CLO 2013-3, Ltd.                                                                     |  |                  |            |  |      |   |            |               |  |   |                 | 
|CLO subordinated notes, estimated yield 10.37% due July 17, 2026(9)(11)(12)(17)            |  |                  | 14,447,790 |  |      |   | 9,155,084  |               |  |   | 5,345,682       | 



(Continued on next page)

See Accompanying Notes.



4







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS

March 31, 2019



|COMPANY/INVESTMENT(1)(20)                                                              |  | PRINCIPAL
    AMOUNT/SHARES |            |  | COST |   |             | FAIR
    VALUE(2) |  |   | %
    of Net Assets | 
|-------------------------------------------------------------------------------------- |  | --------------------------- | ---------- |  | ---- | - | ----------- | ----------------- |  | - | ------------------- | 
|Collateralized Loan
    Obligation - Equity Investments (continued)                    |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Structured Finance - (continued)                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Telos CLO 2013-4, Ltd.                                                                 |  |                             |            |  |      |   |             |                   |  |   |                     | 
|CLO subordinated notes, estimated yield 18.25%
    due January 17, 2030(9)(11)(12)(17) |  | $                           | 11,350,000 |  |      | $ | 7,455,077   |                   |  | $ | 5,961,705           | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Telos CLO 2014-5, Ltd.                                                                 |  |                             |            |  |      |   |             |                   |  |   |                     | 
|CLO subordinated notes, estimated yield 21.74%
    due April 17, 2028(9)(11)(12)(17)   |  |                             | 28,500,000 |  |      |   | 18,624,129  |                   |  |   | 14,854,910          | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Venture XIV, Ltd.                                                                      |  |                             |            |  |      |   |             |                   |  |   |                     | 
|CLO subordinated notes, estimated yield 13.54%  due
    August 28, 2029(9)(11)(12)(17) |  |                             | 2,500,000  |  |      |   | 1,568,797   |                   |  |   | 1,075,000           | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Venture XVII, Ltd.                                                                     |  |                             |            |  |      |   |             |                   |  |   |                     | 
|CLO subordinated notes, estimated
    yield 19.64% due April 15, 2027(9)(11)(12)(17)   |  |                             | 6,200,000  |  |      |   | 4,094,730   |                   |  |   | 3,135,209           | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Venture XX, Ltd.                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|CLO subordinated notes, estimated yield 14.28%
    due April 15, 2027(9)(11)(12)(17)   |  |                             | 3,000,000  |  |      |   | 2,156,094   |                   |  |   | 1,710,000           | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Vibrant CLO V, Ltd.                                                                    |  |                             |            |  |      |   |             |                   |  |   |                     | 
|CLO subordinated notes, estimated yield 13.50%
    due January 20, 2029(9)(11)(12)(17) |  |                             | 13,475,000 |  |      |   | 11,940,372  |                   |  |   | 8,758,750           | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|West CLO 2014-1, Ltd.                                                                  |  |                             |            |  |      |   |             |                   |  |   |                     | 
|CLO subordinated notes, estimated yield 2.24%
    due July 18, 2026(9)(11)(12)(17)     |  |                             | 9,250,000  |  |      |   | 6,077,013   |                   |  |   | 4,255,000           | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Windriver 2012-1 CLO,
    Ltd.                                                         |  |                             |            |  |      |   |             |                   |  |   |                     | 
|CLO subordinated notes, estimated yield -3.40%
    due January 15, 2026(9)(11)(12)(17) |  |                             | 7,500,000  |  |      |   | 4,355,171   |                   |  |   | 2,505,647           | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Zais CLO 6, Ltd.                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|CLO subordinated notes, estimated yield 18.43%
    due July 15, 2029(9)(11)(12)(17)    |  |                             | 10,500,000 |  |      |   | 8,021,317   |                   |  |   | 6,825,000           | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|CLO
    Equity Side Letter Related Investments(11)(12)(13)                             |  |                             |            |  |      |   | 125,000     |                   |  |   | 762,467             | 
|Total
    Structured Finance                                                           |  |                             |            |  |      | $ | 188,089,337 |                   |  | $ | 151,710,062         | 
|Total
    Collateralized Loan Obligation  - Equity Investments                         |  |                             |            |  |      | $ | 188,089,337 |                   |  | $ | 151,710,062         | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Common Stock                                                                           |  |                             |            |  |      |   |             |                   |  |   |                     | 
|IT Consulting                                                                          |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Unitek Global Services,
    Inc.                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|common equity(7)(14)                                                                   |  |                             | 1,244,188  |  |      | $ | 684,960     |                   |  | $ | 634,536             | 
|Total
    IT Consulting                                                                |  |                             |            |  |      | $ | 684,960     |                   |  | $ | 634,536             | 
|Total
    Common Stock                                                                 |  |                             |            |  |      | $ | 684,960     |                   |  | $ | 634,536             | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Preferred Equity                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|IT Consulting                                                                          |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Unitek Global Services,
    Inc.                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Series A Preferred Equity(7)(14)(24)                                                   |  |                             | 5,706,866  |  |      | $ | 3,677,000   |                   |  | $ | 8,902,711           | 
|Series A Senior Preferred Equity(7)(14)(25)                                            |  |                             | 3,002,455  |  |      |   | 2,762,421   |                   |  |   | 4,143,387           | 
|Series A Super Senior
    Preferred Stock(7)(14)(26)                                   |  |                             | 2,001,636  |  |      |   | 2,001,636   |                   |  |   | 2,261,849           | 
|Total
    IT Consulting                                                                |  |                             |            |  |      | $ | 8,441,057   |                   |  | $ | 15,307,947          | 
|Total
    Preferred Equity                                                             |  |                             |            |  |      | $ | 8,441,057   |                   |  | $ | 15,307,947          | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|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)                                                 |  |                             |            |  |      | $ | 493,294,188 |                   |  | $ | 448,603,182         | 
|                                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|Cash Equivalents                                                                       |  |                             |            |  |      |   |             |                   |  |   |                     | 
|First American Government
    Obligations Fund(19)                                     |  |                             |            |  |      | $ | 10,081,620  |                   |  | $ | 10,081,620          | 
|Total
    Cash Equivalents                                                             |  |                             |            |  |      | $ | 10,081,620  |                   |  | $ | 10,081,620          | 
|Total Investments in
    Securities and Cash Equivalents                               |  |                             |            |  |      | $ | 503,375,808 |                   |  | $ | 458,684,802         | 










| | (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 $5,982,205 of principal amount of debt investments which contain a PIK provision at March 31, 2019.
| | --- | ----------------------------------------------------------------------------------------------------------------------

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

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

| | (6) | Cost reflects repayment of principal.
| | --- | -------------------------------------

| | (7) | Non-income producing at the relevant period end.
| | --- | ------------------------------------------------

| | (8) | Aggregate gross unrealized appreciation for federal income tax purposes is $12,572,152; aggregate gross unrealized depreciation
for federal income tax purposes is $75,371,217. Net unrealized depreciation is $62,799,065 based upon a tax cost basis of $511,402,247.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (9) | Cost 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 March 31, 2019, the Company held qualifying assets that represented 66.9% 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 March 31, 2019.
| | ---- | -------------------------------------------------------------------------------

| | (20) | The fair value of the investment was determined using significant unobservable inputs. Refer to “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.
| | ---- | ------------------------------------------------------------------------------------------------------------

| | (23) | This investment represents our percent ownership in certain equity securities transferred to OXSQ upon the redemption of this
investment on October 25, 2018.
| | ---- | -------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (24) | The
Company holds preferred equity in UniTek Global Services, Inc. that is entitled to receive cumulative preferential dividends
at a rate of 13.5% per annum payable in cash. Refer to “Note 3. Summary of Significant Accounting Policies.”
| | ---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (25) | The
Company holds preferred equity in UniTek Global Services, Inc. that is entitled to receive cumulative preferential dividends
at a rate of 19.0% per annum payable in cash. Refer to “Note 3. Summary of Significant Accounting Policies.”
| | ---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (26) | The Company holds
                                                                                                                                                                preferred equity in UniTek Global Services, Inc. that is entitled to received cumulative preferential dividends at a rate of
                                                                                                                                                                20.0% per annum payable in cash. Refer to “Note 3. Summary of Significant Accounting Policies.”
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------





See Accompanying Notes.



5







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS

December 31, 2018



|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, 7.53% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(16)(21)               |  | $                | 5,528,630  |  |      | $ | 5,479,773  |                |  | $ | 5,348,950           | 
|Total Aerospace and Defense                                                                                               |  |                  |            |  |      | $ | 5,479,773  |                |  | $ | 5,348,950           | 
|                                                                                                                          |  |                  |            |  |      |   |            |                |  |   |                     | 
|Business Services                                                                                                         |  |                  |            |  |      |   |            |                |  |   |                     | 
|Access CIG, Inc.                                                                                                          |  |                  |            |  |      |   |            |                |  |   |                     | 
|first lien incremental senior secured notes, 6.46% (LIBOR + 3.75%), (0.00% floor) due February 27, 2025(4)(5)(14)(15)(21) |  | $                | 496,250    |  |      | $ | 496,250    |                |  | $ | 481,055             | 
|second lien senior secured notes, 10.46% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(14)(15)(21)           |  |                  | 16,754,000 |  |      |   | 16,858,239 |                |  |   | 16,446,899          | 
|                                                                                                                          |  |                  |            |  |      |   |            |                |  |   |                     | 
|Convergint Technologies, LLC                                                                                              |  |                  |            |  |      |   |            |                |  |   |                     | 
|second lien senior secured notes, 9.27% (LIBOR + 6.75%), (0.75% floor) due February 2, 2026(4)(5)(16)(21)                 |  |                  | 1,500,000  |  |      |   | 1,492,945  |                |  |   | 1,410,000           | 
|                                                                                                                          |  |                  |            |  |      |   |            |                |  |   |                     | 
|Imagine! Print Solutions                                                                                                  |  |                  |            |  |      |   |            |                |  |   |                     | 
|second lien senior secured notes, 11.28% (LIBOR + 8.75%), (1.00% floor) due June 21, 2023(4)(5)(16)(21)                   |  |                  | 15,000,000 |  |      |   | 14,839,700 |                |  |   | 13,350,000          | 
|                                                                                                                          |  |                  |            |  |      |   |            |                |  |   |                     | 
|OMNIA Partners, Inc.                                                                                                      |  |                  |            |  |      |   |            |                |  |   |                     | 
|first lien senior secured notes, 6.55% (LIBOR + 3.75%), (0.00% floor ) due May 23, 2025(4)(5)(14)(15)(21)                 |  |                  | 5,970,000  |  |      |   | 5,971,918  |                |  |   | 5,790,900           | 
|second lien senior secured notes, 10.30% (LIBOR + 7.50%), (0.00% floor) due May 22, 2026(4)(5)(14)(15)(21)                |  |                  | 14,000,000 |  |      |   | 13,935,939 |                |  |   | 13,580,000          | 
|                                                                                                                          |  |                  |            |  |      |   |            |                |  |   |                     | 
|Premiere Global Services, Inc.                                                                                            |  |                  |            |  |      |   |            |                |  |   |                     | 
|senior secured notes, 9.09% (LIBOR + 6.50%), (1.00% floor) due December 8, 2021(4)(5)(6)(14)(15)(21)                      |  |                  | 14,747,634 |  |      |   | 13,866,831 |                |  |   | 11,798,107          | 
|second lien senior secured notes, 11.92% (LIBOR + 9.50%), (1.00% floor) due June 6, 2022(4)(5)(14)(15)(21)                |  |                  | 10,000,000 |  |      |   | 9,787,854  |                |  |   | 8,000,000           | 
|                                                                                                                          |  |                  |            |  |      |   |            |                |  |   |                     | 
|Verifone Systems, Inc.                                                                                                    |  |                  |            |  |      |   |            |                |  |   |                     | 
|first lien senior secured notes, 6.64% (LIBOR + 4.00%), (0.00% floor) due August 20, 2025(4)(5)(6)(15)(21)                |  |                  | 7,000,000  |  |      |   | 6,966,062  |                |  |   | 6,747,510           | 
|second lien senior secured notes, 10.64% (LIBOR + 8.00%), (0.00% floor) due August 20, 2026(4)(5)(15)(21)                 |  |                  | 8,000,000  |  |      |   | 7,922,744  |                |  |   | 7,860,000           | 
|Total Business Services                                                                                                   |  |                  |            |  |      | $ | 92,138,482 |                |  | $ | 85,464,471          | 
|                                                                                                                          |  |                  |            |  |      |   |            |                |  |   |                     | 
|Diversified Insurance                                                                                                     |  |                  |            |  |      |   |            |                |  |   |                     | 
|AmeriLife Group LLC                                                                                                       |  |                  |            |  |      |   |            |                |  |   |                     | 
|first lien senior secured notes, 7.27% (LIBOR + 4.75%), (1.00% floor) due July 10, 2022(4)(5)(6)(16)(21)                  |  | $                | 14,983,674 |  |      | $ | 14,891,788 |                |  | $ | 14,684,001          | 
|Total Diversified Insurance                                                                                               |  |                  |            |  |      | $ | 14,891,788 |                |  | $ | 14,684,001          | 
|                                                                                                                          |  |                  |            |  |      |   |            |                |  |   |                     | 
|Education                                                                                                                 |  |                  |            |  |      |   |            |                |  |   |                     | 
|Edmentum, Inc. (f/k/a Plato, Inc.)                                                                                        |  |                  |            |  |      |   |            |                |  |   |                     | 
|first lien senior secured notes, 7.03% (LIBOR + 4.50%), (1.00% floor) Cash, 4.00% PIK due June 9, 2021(3)(4)(5)(6)(15)    |  | $                | 5,907,089  |  |      | $ | 5,860,128  |                |  | $ | 4,902,884           | 
|Total Education                                                                                                           |  |                  |            |  |      | $ | 5,860,128  |                |  | $ | 4,902,884           | 



(continued on next page)

See Accompanying Notes.



6







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2018



|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, 13.04% (LIBOR + 10.50%), (1.00% floor) due July 5, 2024(4)(5)(21)(22)            |  | $                | 1,500,000  |  |      | $ | 1,463,325  |                                                         |  | $ | 1,498,125                                                                                  | 
|                                                                                                                   |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|Lighthouse Network, LLC (f/k/a Harbortouch Payments, LLC)                                                          |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|first lien senior secured notes, 7.03% (LIBOR + 4.50%), (1.00% floor) due November 30, 2024(4)(5)(6)(15)(21)       |  |                  | 3,465,000  |  |      |   | 3,450,119  |                                                         |  |   | 3,430,350                                                                                  | 
|second lien senior secured notes, 11.03% (LIBOR + 8.50%), (1.00% floor) due November 30, 2025(4)(5)(15)(21)        |  |                  | 12,000,000 |  |      |   | 11,894,617 |                                                         |  |   | 11,910,000                                                                                 | 
|Total Financial Intermediaries                                                                                     |  |                  |            |  |      | $ | 16,808,061 |                                                         |  | $ | 16,838,475                                                                                 | 
|                                                                                                                   |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|Healthcare                                                                                                         |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|Keystone Acquisition Corp.                                                                                         |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|first lien senior secured notes, 8.05% (LIBOR + 5.25%), (1.00% floor) due May 1, 2024(4)(5)(6)(14)(15)(21)         |  | $                | 7,534,165  |  |      | $ | 7,500,602  |                                                         |  | $ | 7,345,811                                                                                  | 
|second lien senior secured notes, 12.05% (LIBOR + 9.25%), (1.00% floor) due May 1, 2025(4)(5)(14)(15)(21)          |  |                  | 13,000,000 |  |      |   | 12,852,264 |                                                         |  |   | 12,707,500                                                                                 | 
|                                                                                                                   |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|Viant Medical Holdings, Inc.                                                                                       |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|first lien senior secured notes, 6.55% (LIBOR + 3.75%), (0.00% floor ) due July 2, 2025(4)(5)(15)(21)              |  |                  | 9,975,000  |  |      |   | 9,975,865  |                                                         |  |   | 9,812,906                                                                                  | 
|second lien senior secured notes, 10.55% (LIBOR + 7.75%), (0.00% floor) due July 2, 2026(4)(5)(15)(21)             |  |                  | 5,000,000  |  |      |   | 4,953,106  |                                                         |  |   | 4,850,000                                                                                  | 
|                                                                                                                   |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|Scribe America, LLC                                                                                                |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|first lien senior secured notes, 6.88% (LIBOR + 4.50%), (0.00% floor ) due April 3, 2025(4)(5)(16)                 |  |                  | 12,468,593 |  |      |   | 12,374,678 |                                                         |  |   | 12,203,635                                                                                 | 
|Total Healthcare                                                                                                   |  |                  |            |  |      | $ | 47,656,515 |                                                         |  | $ | 46,919,852                                                                                 | 
|                                                                                                                   |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|Logistics                                                                                                          |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|Capstone Logistics Acquisition, Inc.                                                                               |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|first lien senior secured notes, 7.02% (LIBOR + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(16)(21)         |  | $                | 13,221,953 |  |      | $ | 13,199,885 |                                                         |  | $ | 12,998,899                                                                                 | 
|Total Logistics                                                                                                    |  |                  |            |  |      | $ | 13,199,885 |                                                         |  | $ | 12,998,899                                                                                 | 
|                                                                                                                   |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|Printing and Publishing                                                                                            |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|Merrill Communications, LLC                                                                                        |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|first lien senior secured notes, 7.78% (LIBOR + 5.25%), (1.00% floor ) due June 01, 2022(4)(5)(6)(15)(21)          |  | $                | 4,860,339  |  |      | $ | 4,852,862  |                                                         |  | $ | 4,836,037                                                                                  | 
|Total Printing and Publishing                                                                                      |  |                  |            |  |      | $ | 4,852,862  |                                                         |  | $ | 4,836,037                                                                                  | 
|                                                                                                                   |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|Software                                                                                                           |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|ECI Software Solutions, Inc.                                                                                       |  |                  |            |  |      |   |            |                                                         |  |   |                                                                                            | 
|first lien senior secured notes, 7.06% (LIBOR + 4.25%), (1.00% floor ) due September 27, 2024(4)(5)(6)(14)(15)(21) |  | $                | 4,962,312  |  |      | $ | 4,978,040  |                                                         |  | $ | 4,863,066                                                                                  | 
|second lien senior secured notes, 10.80% (LIBOR + 8.00%), (1.00% floor) due September 29, 2025(4)(5)(14)(15)(21)   |  |                  | 15,000,000 |  |      |   | 14,907,907 |                                                         |  |   | 14,737,500                                                                                 | 



(continued on next page)

See Accompanying Notes.



7







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2018



|COMPANY/INVESTMENT(1)(20)                                                                                     |  | PRINCIPAL AMOUNT |            |  | COST |   |             | FAIR  VALUE(2) |  |   | %
    of Net Assets | 
|------------------------------------------------------------------------------------------------------------- |  | ---------------- | ---------- |  | ---- | - | ----------- | -------------- |  | - | ------------------- | 
|Senior Secured Notes – (continued)                                                                            |  |                  |            |  |      |   |             |                |  |   |                     | 
|Software – (continued)                                                                                        |  |                  |            |  |      |   |             |                |  |   |                     | 
|Help/Systems Holdings, Inc.                                                                                   |  |                  |            |  |      |   |             |                |  |   |                     | 
|first lien senior secured notes, 6.27% (LIBOR + 3.75%), (0.00% floor) due March 28, 2025(4)(5)(14)(16)(21)    |  | $                | 3,980,000  |  |      | $ | 3,988,911   |                |  | $ | 3,810,850           | 
|second lien senior secured notes, 10.27% (LIBOR + 7.75%), (0.00% floor) due March 27, 2026(4)(5)(14)(16)(21)  |  |                  | 15,500,000 |  |      |   | 15,489,645  |                |  |   | 15,035,000          | 
|                                                                                                              |  |                  |            |  |      |   |             |                |  |   |                     | 
|Quest Software, Inc.                                                                                          |  |                  |            |  |      |   |             |                |  |   |                     | 
|first lien senior secured notes, 6.78% (LIBOR + 4.25%), (0.00% floor ) due May 16, 2025(4)(5)(14)(15)(21)     |  |                  | 6,000,000  |  |      |   | 5,972,430   |                |  |   | 5,790,000           | 
|second lien senior secured notes, 10.78% (LIBOR + 8.25%), (0.00% floor) due May 18, 2026(4)(5)(14)(15)(21)    |  |                  | 15,000,000 |  |      |   | 14,859,667  |                |  |   | 14,775,000          | 
|Total Software                                                                                                |  |                  |            |  |      | $ | 60,196,600  |                |  | $ | 59,011,416          | 
|                                                                                                              |  |                  |            |  |      |   |             |                |  |   |                     | 
|Telecommunications Services                                                                                   |  |                  |            |  |      |   |             |                |  |   |                     | 
|Global Tel Link Corp.                                                                                         |  |                  |            |  |      |   |             |                |  |   |                     | 
|first lien senior secured notes, 6.96% (LIBOR + 4.25%), (0.00% floor ) due November 29, 2025(4)(5)(6)(14)(15) |  | $                | 2,982,550  |  |      | $ | 2,967,952   |                |  | $ | 2,898,054           | 
|second lien senior secured notes, 10.96% (LIBOR + 8.25%), (0.00% floor) due November 29, 2026(4)(5)(14)(15)   |  |                  | 17,000,000 |  |      |   | 16,704,668  |                |  |   | 16,490,000          | 
|Total Telecommunication Services                                                                              |  |                  |            |  |      | $ | 19,672,620  |                |  | $ | 19,388,054          | 
|                                                                                                              |  |                  |            |  |      |   |             |                |  |   |                     | 
|Utilities                                                                                                     |  |                  |            |  |      |   |             |                |  |   |                     | 
|CRCI Longhorn Holdings, Inc.                                                                                  |  |                  |            |  |      |   |             |                |  |   |                     | 
|first lien senior secured notes, 5.89% (LIBOR + 3.50%), (0.00% floor ) due August 8, 2025(4)(5)(16)(21)       |  | $                | 4,987,500  |  |      | $ | 4,963,660   |                |  | $ | 4,750,594           | 
|second lien senior secured notes, 9.64% (LIBOR + 7.25%), (0.00% floor) due August 10, 2026(4)(5)(15)(21)      |  |                  | 7,650,000  |  |      |   | 7,677,680   |                |  |   | 7,592,625           | 
|Total Utilities                                                                                               |  |                  |            |  |      | $ | 12,641,340  |                |  | $ | 12,343,219          | 
|Total Senior Secured Notes                                                                                    |  |                  |            |  |      | $ | 293,398,054 |                |  | $ | 282,736,258         | 
|                                                                                                              |  |                  |            |  |      |   |             |                |  |   |                     | 
|Collateralized Loan Obligation – Debt Investments                                                             |  |                  |            |  |      |   |             |                |  |   |                     | 
|Structured Finance                                                                                            |  |                  |            |  |      |   |             |                |  |   |                     | 
|Galaxy XXVIII CLO, Ltd.                                                                                       |  |                  |            |  |      |   |             |                |  |   |                     | 
|CLO secured class F notes, 10.82% (LIBOR + 8.48%), due July 15, 2031(4)(5)(11)(12)(15)                        |  | $                | 1,000,000  |  |      | $ | 927,670     |                |  | $ | 915,900             | 
|Total Structured Finance                                                                                      |  |                  |            |  |      | $ | 927,670     |                |  | $ | 915,900             | 
|Total Collateralized Loan Obligation – Debt Investments                                                       |  |                  |            |  |      | $ | 927,670     |                |  | $ | 915,900             | 
|                                                                                                              |  |                  |            |  |      |   |             |                |  |   |                     | 
|Collateralized Loan Obligation – Equity Investments                                                           |  |                  |            |  |      |   |             |                |  |   |                     | 
|Structured Finance                                                                                            |  |                  |            |  |      |   |             |                |  |   |                     | 
|AMMC C LO XI, Ltd.                                                                                            |  |                  |            |  |      |   |             |                |  |   |                     | 
|CLO subordinated notes, estimated yield 16.64% dueApril 30, 2031(9)(11)(12)(17)                               |  | $                | 6,000,000  |  |      | $ | 3,795,529   |                |  | $ | 2,880,000           | 
|                                                                                                              |  |                  |            |  |      |   |             |                |  |   |                     | 
|AMMC C LO XII, Ltd.                                                                                           |  |                  |            |  |      |   |             |                |  |   |                     | 
|CLO subordinated notes, estimated yield 14.73% due November 10, 2030(9)(11)(12)(17)                           |  |                  | 12,921,429 |  |      |   | 6,936,076   |                |  |   | 4,005,643           | 



(continued on next page)

See Accompanying Notes.



8







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2018



|COMPANY/INVESTMENT(1)(20)                                                             |  | PRINCIPAL AMOUNT |            |  | COST |   |            | FAIR  VALUE(2) |  |   | % of Net
Assets | 
|------------------------------------------------------------------------------------- |  | ---------------- | ---------- |  | ---- | - | ---------- | -------------- |  | - | --------------- | 
|Collateralized Loan Obligation – Equity Investments – (continued)                     |  |                  |            |  |      |   |            |                |  |   |                 | 
|Structured Finance – (continued)                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Babson CLO Ltd. 2015-I                                                                |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 17.61% dueJanuary 20, 2031(9)(11)(12)(17)     |  | $                | 2,840,000  |  |      | $ | 1,919,418  |                |  | $ | 1,476,800       | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Carlyle Global Market Strategies CLO 2013-2, Ltd.                                     |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 23.93% dueJanuary 18, 2029(9)(11)(12)(17)     |  |                  | 9,250,000  |  |      |   | 5,671,112  |                |  |   | 5,378,741       | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Cedar Funding II CLO, Ltd.                                                            |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 13.23% dueJune 09, 2030(9)(11)(12)(17)        |  |                  | 18,000,000 |  |      |   | 13,615,944 |                |  |   | 9,000,000       | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Cedar Funding VI C LO, Ltd.                                                           |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 14.92% dueOctober 20, 2028(9)(11)(12)(17)     |  |                  | 7,700,000  |  |      |   | 7,500,748  |                |  |   | 5,929,000       | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|CIFC Funding 2014-3, Ltd.                                                             |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 16.09% dueOctober 22, 2031(9)(11)(12)(17)     |  |                  | 10,000,000 |  |      |   | 6,267,967  |                |  |   | 4,900,000       | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Galaxy XXVIII CLO, Ltd.                                                               |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 14.27% dueJuly 15, 2031(9)(11)(12)(17)        |  |                  | 2,000,000  |  |      |   | 1,007,080  |                |  |   | 655,141         | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Hull Street CLO Ltd.                                                                  |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield -20.06% due October 18, 2026(9)(11)(12)(17)   |  |                  | 5,000,000  |  |      |   | 1,748,206  |                |  |   | 600,000         | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Ivy Hill Middle Market Credit Fund VII, Ltd.                                          |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 11.72% dueOctober 20, 2029(9)(11)(12)(17)     |  |                  | 10,800,000 |  |      |   | 9,169,698  |                |  |   | 6,409,660       | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|KVK CLO 2013-2, Ltd.                                                                  |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 8.02% dueJanuary 15, 2026(9)(11)(12)(17)      |  |                  | 14,200,000 |  |      |   | 1,515,422  |                |  |   | —               | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Madison Park Funding XIX, Ltd.                                                        |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 14.00% dueJanuary 22, 2028(9)(11)(12)(17)     |  |                  | 5,422,500  |  |      |   | 5,284,799  |                |  |   | 5,259,825       | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Octagon Investment Partners 38, Ltd.                                                  |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 17.33% dueJuly 20, 2030(9)(11)(12)(17)        |  |                  | 5,000,000  |  |      |   | 4,510,614  |                |  |   | 4,150,000       | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Regatta XV Funding, Ltd.                                                              |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 48.27% dueOctober 25, 2026(9)(11)(12)(17)(23) |  |                  | 3,000,000  |  |      |   | —          |                |  |   | 90,000          | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Sound Point CLO XVI, Ltd.                                                             |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 15.86% dueJuly 25, 2030(9)(11)(12)(14)(17)    |  |                  | 45,500,000 |  |      |   | 43,936,431 |                |  |   | 39,130,000      | 
|                                                                                      |  |                  |            |  |      |   |            |                |  |   |                 | 
|Steele Creek CLO 2014-1, Ltd.                                                         |  |                  |            |  |      |   |            |                |  |   |                 | 
|CLO subordinated notes, estimated yield 24.11% dueApril 21, 2031(9)(11)(12)(17)       |  |                  | 5,000,000  |  |      |   | 3,561,059  |                |  |   | 3,597,500       | 



(continued on next page)

See Accompanying Notes.



9







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2018



|COMPANY/INVESTMENT(1)(20)                                                             |  | PRINCIPAL AMOUNT |            |  | COST |   |             | FAIR  VALUE(2) |  |   | % of Net
Assets | 
|------------------------------------------------------------------------------------- |  | ---------------- | ---------- |  | ---- | - | ----------- | -------------- |  | - | --------------- | 
|Collateralized Loan Obligation – Equity Investments – (continued)                     |  |                  |            |  |      |   |             |                |  |   |                 | 
|Structured Finance – (continued)                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|Telos CLO 2013-3, Ltd.                                                                |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO
subordinated notes, estimated yield 11.99% due July 17, 2026(9)(11)(12)(17)       |  | $                | 14,447,790 |  |      | $ | 9,345,851   |                |  | $ | 5,201,204       | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|Telos CLO 2013-4, Ltd.                                                                |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO subordinated notes, estimated yield 17.80% due January 17, 2030(9)(11)(12)(17)    |  |                  | 11,350,000 |  |      |   | 7,511,448   |                |  |   | 5,961,705       | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|Telos CLO 2014-5, Ltd.                                                                |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO
subordinated notes, estimated yield 20.93% due April 1 7, 2028(9)(11)(12)(14)(17) |  |                  | 28,500,000 |  |      |   | 18,995,759  |                |  |   | 14,284,910      | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|Venture XIV, Ltd.                                                                     |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO
subordinated notes, estimated yield 15.18% due August 28, 2029(9)(11)(12)(17)     |  |                  | 2,500,000  |  |      |   | 1,581,371   |                |  |   | 1,075,000       | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|Venture XVII, Ltd.                                                                    |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO subordinated notes, estimated yield 17.68% due April 15, 2027(9)(11)(12)(17)      |  |                  | 6,200,000  |  |      |   | 4,167,706   |                |  |   | 3,259,209       | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|Venture XX, Ltd.                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO subordinated notes, estimated yield 19.72% due April 15, 2027(9)(11)(12)(17)      |  |                  | 3,000,000  |  |      |   | 2,236,677   |                |  |   | 1,770,000       | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|Vibrant CLO V, Ltd.                                                                   |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO subordinated notes, estimated yield 15.12% due January 20, 2029(9)(11)(12)(17)    |  |                  | 13,475,000 |  |      |   | 12,009,373  |                |  |   | 8,219,750       | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|West CLO 2014-1, Ltd.                                                                 |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO
subordinated notes, estimated yield 10.67% due July 18, 2026(9)(11)(12)(17)       |  |                  | 9,250,000  |  |      |   | 6,345,384   |                |  |   | 3,700,000       | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|Windriver 2012-1 CLO, Ltd.                                                            |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO subordinated notes, estimated yield 4.34% due January 15, 2026(9)(11)(12)(17)     |  |                  | 7,500,000  |  |      |   | 4,588,025   |                |  |   | 2,355,647       | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|Zais CLO 6, Ltd.                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO
subordinated notes, estimated yield 19.71% due July 15, 2029(9)(11)(12)(17)       |  |                  | 10,500,000 |  |      |   | 8,060,334   |                |  |   | 6,720,000       | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|CLO Equity Side Letter Related Investments(11)(12)(13)                                |  |                  |            |  |      |   | 125,000     |                |  |   | 834,740         | 
|Total Structured Finance                                                              |  |                  |            |  |      | $ | 191,407,031 |                |  | $ | 146,844,475     | 
|Total Collateralized Loan Obligation — Equity Investments                             |  |                  |            |  |      | $ | 191,407,031 |                |  | $ | 146,844,475     | 
|                                                                                      |  |                  |            |  |      |   |             |                |  |   |                 | 
|Common Stock                                                                          |  |                  |            |  |      |   |             |                |  |   |                 | 
|IT Consulting                                                                         |  |                  |            |  |      |   |             |                |  |   |                 | 
|Unitek Global Services, Inc.                                                          |  |                  |            |  |      |   |             |                |  |   |                 | 
|common equity(7)                                                                      |  |                  | 1,244,188  |  |      | $ | 684,960     |                |  | $ | 149,303         | 
|Total IT Consulting                                                                   |  |                  |            |  |      | $ | 684,960     |                |  | $ | 149,303         | 
|Total Common Stock                                                                    |  |                  |            |  |      | $ | 684,960     |                |  | $ | 149,303         | 



(continued on next page)

See Accompanying Notes.



10







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF INVESTMENTS
— (continued)

December 31, 2018



|COMPANY/INVESTMENT(1)(20)                              |  | PRINCIPAL AMOUNT/Shares |           |  | COST |   |             | FAIR  VALUE(2) |  |   | % of Net
Assets | 
|------------------------------------------------------ |  | ----------------------- | --------- |  | ---- | - | ----------- | -------------- |  | - | --------------- | 
|Preferred Equity                                       |  |                         |           |  |      |   |             |                |  |   |                 | 
|IT Consulting                                          |  |                         |           |  |      |   |             |                |  |   |                 | 
|Unitek Global Services, Inc.                           |  |                         |           |  |      |   |             |                |  |   |                 | 
|Series A Preferred Equity(7)(24)                       |  |                         | 5,706,866 |  |      | $ | 3,677,000   |                |  | $ | 8,217,887       | 
|Series A Senior Preferred Equity(7)(25)                |  |                         | 3,002,455 |  |      |   | 2,762,421   |                |  |   | 3,963,240       | 
|Series A Super Senior Preferred Stock(7)(26)           |  |                         | 2,001,636 |  |      |   | 2,001,636   |                |  |   | 2,161,767       | 
|Total IT Consulting                                    |  |                         |           |  |      | $ | 8,441,057   |                |  | $ | 14,342,894      | 
|Total Preferred Equity                                 |  |                         |           |  |      | $ | 8,441,057   |                |  | $ | 14,342,894      | 
|                                                       |  |                         |           |  |      |   |             |                |  |   |                 | 
|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)                     |  |                         |           |  |      | $ | 495,358,772 |                |  | $ | 444,988,830     | 
|                                                       |  |                         |           |  |      |   |             |                |  |   |                 | 
|Cash Equivalents                                       |  |                         |           |  |      |   |             |                |  |   |                 | 
|First American Government Obligations Fund(19)         |  |                         |           |  |      | $ | 13,905,059  |                |  | $ | 13,905,059      | 
|Total Cash Equivalents                                 |  |                         |           |  |      | $ | 13,905,059  |                |  | $ | 13,905,059      | 
|Total Investments in Securities and Cash Equivalents   |  |                         |           |  |      | $ | 509,263,831 |                |  | $ | 458,893,889     | 










| | (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 $5,907,089 of principal amount of debt investments which contain a PIK provision
at December 31, 2018.
| | --- | -------------------------------------------------------------------------------------------------------------------------

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

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

| | (6) | Cost reflects repayment of principal.
| | --- | -------------------------------------

| | (7) | Non-income producing at the relevant period end.
| | --- | ------------------------------------------------

| | (8) | Aggregate gross unrealized appreciation for federal income tax purposes is $11,843,742; aggregate
gross unrealized depreciation for federal income tax purposes is $69,559,109. Net unrealized depreciation is $57,715,367 based
upon a tax cost basis of $502,704,197.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (9) | Cost 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, 2018, the Company held qualifying assets that represented
68% 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, 2018.
| | ---- | ----------------------------------------------------------------------------------

| | (20) | The fair value of the investment was determined using significant unobservable inputs. Refer to
                                                             “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.
| | ---- | ------------------------------------------------------------------------------------------------------------

| | (23) | This investment represents our percent ownership in certain equity securities transferred to OXSQ
upon the redemption of this investment on October 25, 2018.
| | ---- | -------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (24) | The
Company holds preferred equity in UniTek Global Services, Inc. that is entitled to receive cumulative preferential dividends
at a rate of 13.5% per annum payable in cash. Refer to “Note 3. Summary of Significant Accounting Policies.”
| | ---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (25) | The
Company holds preferred equity in UniTek Global Services, Inc. that is entitled to receive cumulative preferential dividends
at a rate of 19.0% per annum payable in cash. Refer to “Note 3. Summary of Significant Accounting Policies.”
| | ---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (26) | The
Company holds preferred equity in UniTek Global Services, Inc. that is entitled to received cumulative preferential dividends
at a rate of 20.0% per annum payable in cash. Refer to “Note 3. Summary of Significant Accounting Policies.”
| | ---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



See Accompanying Notes.



11







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)



|                                                                                                      |  | Three Months Ended March 31, 2019 |            |   | Three Months Ended  March 31, 2018 |  
|----------------------------------------------------------------------------------------------------- |  | --------------------------------- | ---------- | - | ---------------------------------- | -
|INVESTMENT INCOME                                                                                     |  |                                   |            |   |                                    |  
|From non-affiliated investments:                                                                      |  |                                   |            |   |                                    |  
|Interest income – debt investments                                                                    |  | $                                 | 7,148,481  |   |                                    | $
|Income from securitization vehicles and investments                                                   |  |                                   | 6,846,925  |   |                                    |  
|Other income                                                                                          |  |                                   | 229,708    |   |                                    |  
|Total investment income from non-affiliated investments                                               |  |                                   | 14,225,114 |   |                                    |  
|                                                                                                      |  |                                   |            |   |                                    |  
|From affiliated investments:                                                                          |  |                                   |            |   |                                    |  
|Interest income – debt investments                                                                    |  |                                   | —          |   |                                    |  
|Total investment income from affiliated investments                                                   |  |                                   | —          |   |                                    |  
|Total investment income                                                                               |  |                                   | 14,225,114 |   |                                    |  
|EXPENSES                                                                                              |  |                                   |            |   |                                    |  
|Interest expense                                                                                      |  |                                   | 2,149,841  |   |                                    |  
|Base management fees                                                                                  |  |                                   | 1,626,538  |   |                                    |  
|Professional fees                                                                                     |  |                                   | 367,251    |   |                                    |  
|Compensation expense                                                                                  |  |                                   | 232,928    |   |                                    |  
|General and administrative                                                                            |  |                                   | 328,517    |   |                                    |  
|Total expenses before incentive fees                                                                  |  |                                   | 4,705,075  |   |                                    |  
|Net investment income incentive fees                                                                  |  |                                   | 1,156,051  |   |                                    |  
|Total expenses                                                                                        |  |                                   | 5,861,126  |   |                                    |  
|Net investment income                                                                                 |  |                                   | 8,363,988  |   |                                    |  
|Net change in unrealized appreciation/(depreciation) on investments:                                  |  |                                   |            |   |                                    |  
|Non-Affiliated investments                                                                            |  |                                   | 4,228,650  |   |                                    |  
|Affiliated investments                                                                                |  |                                   | 1,450,286  |   |                                    |  
|Total net change in unrealized appreciation/(depreciation) on investments                             |  |                                   | 5,678,936  |   |                                    |  
|Net realized gains/(losses):                                                                          |  |                                   |            |   |                                    |  
|Non-Affiliated investments                                                                            |  |                                   | (1,278,866 | ) |                                    |  
|Extinguishment of debt                                                                                |  |                                   | (14,106    | ) |                                    |  
|Total net realized gains/(losses)                                                                     |  |                                   | (1,292,972 | ) |                                    |  
|Net increase in net assets resulting from operations                                                  |  | $                                 | 12,749,952 |   |                                    | $
|Net increase in net assets resulting from net investment income per common share  (Basic and Diluted) |  | $                                 | 0.18       |   |                                    | $
|Net increase in net assets resulting from operations per common share  (Basic and Diluted)            |  | $                                 | 0.27       |   |                                    | $
|Weighted average shares of common stock outstanding:                                                  |  |                                   |            |   |                                    |  
|Basic and Diluted                                                                                     |  |                                   | 47,650,959 |   |                                    |  
|Distributions per share                                                                               |  | $                                 | 0.20       |   |                                    | $



See Accompanying Notes.



12









OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED STATEMENTS OF CHANGES IN
NET ASSETS
(unaudited)



|                                                                  |  | Three Months Ended March 31, 2019 |             |   | Three Months Ended March 31, 2018 |  
|----------------------------------------------------------------- |  | --------------------------------- | ----------- | - | --------------------------------- | -
|Increase in net assets from operations:                           |  |                                   |             |   |                                   |  
|Net investment income                                             |  | $                                 | 8,363,988   |   |                                   | $
|Net change in unrealized appreciation/depreciation on investments |  |                                   | 5,678,936   |   |                                   |  
|Net realized (losses)/gains                                       |  |                                   | (1,292,972  | ) |                                   |  
|Net increase in net assets
    resulting from operations          |  |                                   | 12,749,952  |   |                                   |  
|Distributions to stockholders:                                    |  |                                   |             |   |                                   |  
|Distributions from net investment income                          |  |                                   | (8,100,663  | ) |                                   |  
|Tax return of capital distributions                               |  |                                   | (1,429,529  | ) |                                   |  
|Total distributions to stockholders                               |  |                                   | (9,530,192  | ) |                                   |  
|Capital share transactions:                                       |  |                                   |             |   |                                   |  
|Repurchase of common stock                                        |  |                                   | —           |   |                                   |  
|Net decrease in net assets from capital share transactions        |  |                                   | —           |   |                                   |  
|Total increase/(decrease) in net assets                           |  |                                   | 3,219,760   |   |                                   |  
|Net assets at beginning of period                                 |  |                                   | 314,724,247 |   |                                   |  
|Net assets at end of period                                       |  | $                                 | 317,944,007 |   |                                   | $
|Capital share activity:                                           |  |                                   |             |   |                                   |  
|Shares repurchased                                                |  |                                   | —           |   |                                   |  
|Net decrease in capital share activity                            |  |                                   | —           |   |                                   |  



See Accompanying Notes.



13







OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED STATEMENTS OF CASH FLOWS
(unaudited)



|                                                                                                                            |  | Three Months Ended March 31, 2019 |             |   | Three Months Ended March 31, 2018 |  
|--------------------------------------------------------------------------------------------------------------------------- |  | --------------------------------- | ----------- | - | --------------------------------- | -
|CASH FLOWS FROM OPERATING ACTIVITIES                                                                                        |  |                                   |             |   |                                   |  
|Net increase in net assets resulting from operations                                                                        |  | $                                 | 12,749,952  |   |                                   | $
|Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: |  |                                   |             |   |                                   |  
|Accretion of discounts on investments                                                                                       |  |                                   | (134,992    | ) |                                   |  
|Amortization of deferred debt issuance costs                                                                                |  |                                   | 104,784     |   |                                   |  
|Increase in investments due to PIK interest income                                                                          |  |                                   | (89,290     | ) |                                   |  
|Purchases of investments                                                                                                    |  |                                   | —           |   |                                   |  
|Repayments of principal                                                                                                     |  |                                   | 436,790     |   |                                   |  
|Proceeds from the sale of investments                                                                                       |  |                                   | 3,613,882   |   |                                   |  
|Net realized losses/(gains) on investments                                                                                  |  |                                   | 1,278,866   |   |                                   |  
|Reductions to CLO equity cost value                                                                                         |  |                                   | 1,393,203   |   |                                   |  
|Net change in unrealized appreciation/depreciation on investments                                                           |  |                                   | (5,678,936  | ) |                                   |  
|Decrease in interest and distributions receivable                                                                           |  |                                   | 113,385     |   |                                   |  
|(Increase) decrease in other assets                                                                                         |  |                                   | (69,300     | ) |                                   |  
|Decrease in accrued interest payable                                                                                        |  |                                   | (149,201    | ) |                                   |  
|Decrease in base management fee and net investment income incentive  fee payable                                            |  |                                   | (444,867    | ) |                                   |  
|Increase (decrease) in accrued expenses                                                                                     |  |                                   | 54,671      |   |                                   |  
|Net cash provided by operating activities                                                                                   |  |                                   | 13,178,947  |   |                                   |  
|CASH FLOWS FROM FINANCING ACTIVITIES                                                                                        |  |                                   |             |   |                                   |  
|Distributions paid                                                                                                          |  |                                   | (9,530,192  | ) |                                   |  
|Repurchase of common stock                                                                                                  |  |                                   | —           |   |                                   |  
|Repayment of credit facility                                                                                                |  |                                   | (8,259,851  | ) |                                   |  
|Net realized losses on extinguishment of debt                                                                               |  |                                   | 14,106      |   |                                   |  
|Net cash used in financing activities                                                                                       |  |                                   | (17,775,937 | ) |                                   |  
|Net (decrease) increase in cash and cash equivalents                                                                        |  |                                   | (4,596,990  | ) |                                   |  
|Cash equivalents and restricted cash, beginning of period                                                                   |  |                                   | 17,080,864  |   |                                   |  
|Cash equivalents and restricted cash, end of period                                                                         |  | $                                 | 12,483,874  |   |                                   | $
|                                                                                                                            |  |                                   |             |   |                                   |  
|SUPPLEMENTAL DISCLOSURES                                                                                                    |  |                                   |             |   |                                   |  
|Cash paid for interest                                                                                                      |  | $                                 | 2,194,258   |   |                                   | $
|                                                                                                                            |  |                                   |             |   |                                   |  
|NON-CASH ACTIVITIES                                                                                                         |  |                                   |             |   |                                   |  
|Securities sold not settled                                                                                                 |  | $                                 | —           |   |                                   | $
|Securities purchased not settled                                                                                            |  | $                                 | 4,433,875   |   |                                   | $



See Accompanying Notes.



14







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 1. UNAUDITED INTERIM FINANCIAL STATEMENTS



Interim consolidated financial
statements of Oxford Square Capital Corp. (“OXSQ” and, together with its subsidiary, the “Company”),
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 Articles   6, 10 and 12 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, 2018, as filed with the Securities and Exchange Commission (“SEC”).



NOTE 2. ORGANIZATION



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”). 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”), its managing member and a related party, 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 subsidiary, Oxford Square Funding 2018, LLC (“OXSQ Funding”) for the periods
during which it was 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. 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 subsidiary, OXSQ Funding for the periods during which it
was held. All inter-company accounts and transactions have been eliminated upon 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.



15







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(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. The Company consolidates 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 equivalents consist of demand deposits
and highly liquid investments with original maturities of three months or less. The Company places its 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 respective indenture, and are not available
for general corporate purposes. There was approximately $2.4 million and $3.2 million of restricted cash as of March 31, 2019 and
December 31, 2018, respectively.



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.



16







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(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 March 31, 2019.



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 analyzes each syndicated loan by reviewing the portfolio company’s financial statements,
covenant compliance and 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 holds 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.



17







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



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



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, 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.



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 current  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 March 31, 2019
and as of December 31, 2018, 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.



18







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(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 March 31, 2019, approximately $4.6
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
consolidated 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.



19







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(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 are first applied to the remaining cost basis until it is reduced to zero,
after which distributions 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 March 31, 2019, 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 2019 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 March 31, 2019 and December 31, 2018, was
approximately $511.4 million and $502.7 million, respectively.



RECENT ACCOUNTING PRONOUNCEMENTS



In August 2018, the SEC adopted the final
rule under SEC Release No. 33-10532, Disclosure Update and Simplification, amending certain disclosure requirements
that were redundant, duplicative, overlapping, outdated or superseded. The amendments are intended to facilitate the disclosure
of information to investors and simplify compliance. The compliance date for the Amendments is for all filings on or after November 5,
2018. Management has adopted the amendments and included the required disclosures in the Company’s consolidated financial
statements herein. Prior periods have been reclassified to conform to the current year presentation.



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.



20







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(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.



NOTE 4. FAIR VALUE



The Company’s assets measured at
fair value on a recurring basis as of March 31, 2019 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(1) |  |                                                                | —    |  |                                                |  
|Cash equivalents                   |  |                                                                | 10.1 |  |                                                |  
|Total assets at fair value         |  | $                                                              | 10.1 |  |                                                | $








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



The Company’s assets measured at
fair value on a recurring basis at December 31, 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(1) |  |                                                                | —    |  |                                               |  
|Cash equivalents                   |  |                                                                | 13.9 |  |                                               |  
|Total assets at fair value         |  | $                                                              | 13.9 |  |                                               | $








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





21







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 4. FAIR VALUE(cont.)



Significant Unobservable Inputs for Level 3 Investments



The following tables provide quantitative
information about the Company’s Level 3 fair value measurements as of March 31, 2019 and December 31, 2018, 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
    March 31, 2019                            |      
|Senior Secured Notes                         |  | $                                                              | 220.9
|                                             |  |                                                                | 59.1 
|CLO Debt                                     |  |                                                                | 0.9  
|CLO Equity                                   |  |                                                                | 88.3 
|                                             |  |                                                                | 53.8 
|                                             |  |                                                                | 0.8  
|                                             |  |                                                                | 8.7  
|                                             |  |                                                                | 0.1  
|Equity and Other Investments                 |  |                                                                | 15.9 
|                                             |  |                                                                |      
|Total Fair Value for Level 3 Investments(11) |  | $                                                              | 448.6












| | (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 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”).
| | --- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (6) | 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.
| | --- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (7) | Discount rate represents the rate at which future cash
flows are discounted to calculate a present value, reflecting market assumptions for risk.
| | --- | -------------------------------------------------------------------------------------------------------------------------------------------------



| | (8) | 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.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------





22







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 4. FAIR VALUE(cont.)



| | (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.
| | ---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (11) | Total may not sum due to rounding.
| | ---- | ----------------------------------





|                                             |  | Quantitative Information about Level 3 Fair Value Measurements |      
|-------------------------------------------- |  | -------------------------------------------------------------- | -----
|Assets ($ in millions)                       |  | Fair Value as of December 31, 2018                             |      
|Senior Secured Notes                         |  | $                                                              | 270.9
|                                             |  |                                                                | 11.8 
|CLO Debt                                     |  |                                                                | 0.9  
|CLO Equity                                   |  |                                                                | 106.1
|                                             |  |                                                                | 36.2 
|                                             |  |                                                                | 3.6  
|                                             |  |                                                                | 0.8  
|                                             |  |                                                                | 0.1  
|Equity and Other Investments                 |  |                                                                | 14.5 
|Total Fair Value for Level 3 Investments(11) |  | $                                                              | 445.0










| | (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, 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.
| | --- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------



23







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 4. FAIR VALUE(cont.)



| | (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.
| | ---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (11) | Total may not sum due to rounding.
| | ---- | ----------------------------------



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 March 31, 2019
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 |     
|------------------------ |  | ----------------- | ----- |  | ---------- | - | ----- | ------- |  | - | ------- |  |  | ------- | ----
|Credit Facility(2)       |  | $                 | 77.3  |  |            | $ | 77.4  |         |  | $ | —       |  |  | $       | —   
|6.50% Unsecured Notes(3) |  |                   | 62.7  |  |            |   | 65.6  |         |  |   | —       |  |  |         | 65.6
|Total                    |  | $                 | 140.0 |  |            | $ | 143.0 |         |  | $ | —       |  |  | $       | 65.6










| | (1) | Carrying value is net of deferred debt issuance costs. As of March 31, 2019, the total unamortized deferred issuance costs
for the Credit Facility and the 6.50% Unsecured Notes was approximately $0.1 million and $1.6 million, respectively.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | Fair value represents the par amount of the Credit Facility.
| | --- | ------------------------------------------------------------

| | (3) | For the 6.50% Unsecured Notes, 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”).
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



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,
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 |     
|------------------------ |  | ----------------- | ----- |  | ---------- | - | ----- | ------- |  | - | ------- |  |  | ------- | ----
|Credit Facility(2)       |  | $                 | 85.5  |  |            | $ | 85.7  |         |  | $ | —       |  |  | $       | —   
|6.50% Unsecured Notes(3) |  |                   | 62.7  |  |            |   | 64.4  |         |  |   | —       |  |  |         | 64.4
|Total                    |  | $                 | 148.2 |  |            | $ | 150.1 |         |  | $ | —       |  |  | $       | 64.4










| | (1) | Carrying value is net of deferred debt issuance costs. Deferred debt issuance costs associated with the Credit Facility totaled
approximately $0.2 million as of December 31, 2018. Deferred debt issuance costs associated with the 6.50% Unsecured Notes totaled
approximately $1.7 million as of December 31, 2018.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | Fair value represents the par amount of the Facility.
| | --- | -----------------------------------------------------

| | (3) | For the 6.50% Unsecured Notes, 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”).
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



24







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 4. FAIR VALUE(cont.)



A reconciliation of the fair value of investments
for the three months ended March 31, 2019 and for the year ended December 31, 2018, utilizing significant unobservable inputs,
is as follows:



|($ in millions)                                                                                |  | Senior Secured Notes |       |   | CLO Debt |   |     | CLO Equity |  |   | Equity/ Other Investments |   |  | Total |     
|---------------------------------------------------------------------------------------------- |  | -------------------- | ----- | - | -------- | - | --- | ---------- |  | - | ------------------------- | - |  | ----- | ----
|Balance at December 31, 2018                                                                   |  | $                    | 282.7 |   |          | $ | 0.9 |            |  | $ | 146.8                     |   |  | $     | 14.5
|Realized losses included in earnings                                                           |  |                      | —     |   |          |   | —   |            |  |   | (1.3                      | ) |  |       | —   
|Unrealized (depreciation) appreciation included in
    earnings                                |  |                      | (4.0  | ) |          |   | —   |            |  |   | 8.2                       |   |  |       | 1.5 
|Accretion of discount                                                                          |  |                      | 0.1   |   |          |   | —   |            |  |   | —                         |   |  |       | —   
|Purchases                                                                                      |  |                      | 4.4   |   |          |   | —   |            |  |   | —                         |   |  |       | —   
|Repayments and Sales                                                                           |  |                      | (3.4  | ) |          |   | —   |            |  |   | (0.6                      | ) |  |       |     
|Reductions to CLO equity cost value(1)                                                         |  |                      | —     |   |          |   | —   |            |  |   | (1.4                      | ) |  |       | —   
|Capitalized PIK income                                                                         |  |                      | 0.1   |   |          |   | —   |            |  |   | —                         |   |  |       | —   
|Transfers in and/or (out) of level 3                                                           |  |                      | —     |   |          |   | —   |            |  |   | —                         |   |  |       | —   
|Balance at March 31, 2019(2)                                                                   |  | $                    | 280.0 |   |          | $ | 0.9 |            |  | $ | 151.7                     |   |  | $     | 15.9
|Net change in unrealized (losses) gains on Level 3 investments still held as of March 31, 2019 |  | $                    | (4.0  | ) |          | $ | —   |            |  | $ | 6.7                       |   |  | $     | 1.4 










| | (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 $8.2 million and the effective yield interest income of approximately $6.8 million.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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



25







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 4. FAIR VALUE(cont.)



|($ in millions)                                                                                      |  | Senior 
Secured 
Notes |        |   | Subordinated 
Debt |   |      | CLO Debt |  |   | CLO Equity |   |  | Equity and 
Other
 Investments |       |   | Total |  
|---------------------------------------------------------------------------------------------------- |  | ---------------------- | ------ | - | ------------------ | - | ---- | -------- |  | - | ---------- | - |  | ------------------------------ | ----- | - | ----- | -
|Balance at December 31, 2017                                                                         |  | $                      | 242.2  |   |                    | $ | 0.8  |          |  | $ | 4.7        |   |  | $                              | 156.0 |   |       | $
|Realized gains (losses) included in earnings                                                         |  |                        | 1.3    |   |                    |   | —    |          |  |   | 0.7        |   |  |                                | (5.5  | ) |       |  
|Unrealized depreciation included in earnings                                                         |  |                        | (9.6   | ) |                    |   | —    |          |  |   | (0.2       | ) |  |                                | (27.3 | ) |       |  
|Accretion of discount                                                                                |  |                        | 0.6    |   |                    |   | —    |          |  |   | —          |   |  |                                | —     |   |       |  
|Purchases                                                                                            |  |                        | 187.5  |   |                    |   | —    |          |  |   | 0.9        |   |  |                                | 54.2  |   |       |  
|Repayments and Sales                                                                                 |  |                        | (139.6 | ) |                    |   | (0.8 | )        |  |   | (5.3       | ) |  |                                | (11.7 | ) |       |  
|Reductions to CLO equity cost value(1)                                                               |  |                        | —      |   |                    |   | —    |          |  |   | —          |   |  |                                | (18.8 | ) |       |  
|Capitalized PIK income                                                                               |  |                        | 0.3    |   |                    |   | —    |          |  |   | —          |   |  |                                | —     |   |       |  
|Transfers in and/or (out) of  level 3                                                                |  |                        | —      |   |                    |   | —    |          |  |   | —          |   |  |                                | —     |   |       |  
|Balance at December 31, 2018(2)                                                                      |  | $                      | 282.7  |   |                    | $ | —    |          |  | $ | 0.9        |   |  | $                              | 146.8 |   |       | $
|Net change in unrealized (losses) gains on Level 3 investments still held as of December 31, 2018(2) |  | $                      | (9.5   | ) |                    | $ | —    |          |  | $ | —          |   |  | $                              | (36.6 | ) |       | $










| | (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 $46.6 million and the effective yield interest income of approximately
$27.8 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 March 31, 2019 and December 31, 2018:



|                             |  | March 31, 2019            |       |  | December 31, 2018             | 
|---------------------------- |  | ------------------------- | ----- |  | ----------------------------- | 
|($ in millions)              |  | Investments at Fair Value |       |  | Percentage of Total Portfolio | 
|Senior Secured Notes         |  | $                         | 280.0 |  |                               | 
|CLO Debt                     |  |                           | 0.9   |  |                               | 
|CLO Equity                   |  |                           | 151.7 |  |                               | 
|Equity and Other Investments |  |                           | 15.9  |  |                               | 
|Total(1)                     |  | $                         | 448.6 |  |                               | 










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



26







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 5. CASH, CASH EQUIVALENTS AND RESTRICTED CASH



As of March 31, 2019 and December 31, 2018,
respectively, cash, cash equivalents and restricted cash were as follows:



|                                |  | March 31, 2019 |            |  | December 31, 2018 |  
|------------------------------- |  | -------------- | ---------- |  | ----------------- | -
|Cash                            |  | $              | —          |  |                   | $
|Cash Equivalents                |  |                | 10,081,620 |  |                   |  
|Total Cash and Cash Equivalents |  | $              | 10,081,620 |  |                   | $
|Restricted Cash                 |  | $              | 2,402,254  |  |                   | $



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% (or 150% effective April 6, 2019), immediately after such borrowing. As of March 31, 2019 and December 31, 2018,
the Company’s asset coverage for borrowed amounts was 323.0% and 308.5%, respectively.



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 March 31, 2019 and December 31, 2018.
The fair value of the 6.50% Unsecured Notes 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). The Credit Facility fair value represents the par amount
of the debt obligation as of March 31, 2019 and December 31, 2018, respectively.



|                      |  | As of            |      
|--------------------- |  | ---------------- | -----
|                      |  | March 31, 2019   |      
|($ in millions)       |  | Principal Amount |      
|Credit Facility       |  | $                | 77.4 
|6.50% Unsecured Notes |  |                  | 64.4 
|Total                 |  | $                | 141.8










| | (1) | The Carrying Value represents the aggregate principal amount outstanding less the unamortized deferred issuance costs. As of
March 31, 2019, the total unamortized deferred issuance costs for the Credit Facility and the 6.50% Unsecured Notes was approximately
$0.1 million and $1.6 million, respectively. As of December 31, 2018, the total unamortized deferred issuance costs for the Credit
Facility and 6.50% Unsecured Notes was approximately $0.2 million and $1.7 million, respectively.
| | --- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



The weighted average stated interest
rate and weighted average maturity    on the Company’s debt outstanding as of March 31, 2019 were 5.61% and 2.9 years,
respectively, and as of December 31, 2018 were 5.64% and 3.1 years, respectively.



27







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 6. BORROWINGS (cont.)



The table below summarizes the components
of interest expense for the three months ended March 31, 2019 and March 31, 2018:



|                      |  | Three Months Ended March 31, 2019 |        
|--------------------- |  | --------------------------------- | -------
|($ in thousands)      |  | Stated Interest Expense           |        
|Credit Facility       |  | $                                 | 999.0  
|6.50% Unsecured Notes |  |                                   | 1,046.0
|Total                 |  | $                                 | 2,045.0



|                      |  | Three Months Ended March 31, 2018 |        
|--------------------- |  | --------------------------------- | -------
|($ in thousands)      |  | Stated Interest Expense           |        
|6.50% Unsecured Notes |  | $                                 | 1,046.0
|Total                 |  | $                                 | 1,046.0



Notes Payable — Credit Facility



On June 21, 2018, OXSQ Funding 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. 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 March 31, 2019, there were  18
investments in portfolio companies with a total fair value of approximately  $225.7 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.



The Company made partial principal
repayments under the Credit Facility on January 30, 2019 and March 21, 2019 of approximately $7.3 million and $1.0 million,
respectively. The Company recognized losses on debt extinguishment of approximately $13,000 and $1,000, respectively  in the consolidated statements of operations.
These  losses consisted of unamortized deferred debt issuance costs.



The aggregate accrued interest payable on
the Credit Facility as of March 31, 2019 was approximately $0.3 million. Deferred debt issuance costs consisted of fees and expenses
incurred in connection with the Credit Facility. As of March 31, 2019, the unamortized deferred debt issuance costs relating to
the Credit Facility was approximately $0.1 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 March 31, 2019 was approximately $1.1 million and 5.07%, respectively.



28







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 6. BORROWINGS (cont.)



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 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 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.



The aggregate accrued interest payable
on the 6.50% Unsecured Notes as of March 31, 2019 was approximately $11,600. As of March 31, 2019, the Company had unamortized
deferred debt issuance costs of approximately $1.6 million relating to the 6.50% Unsecured Notes. 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 statements of operations.
The cash paid and the effective annualized interest rate for the three months ended March 31, 2019 were approximately $1.0 million
and 7.09%, 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 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 months ended March 31, 2019 and March 31, 2018, respectively:



|         |  | Three Months Ended  March 31, 2019 |           |  | Three Months Ended  March 31, 2018 |  
|-------- |  | ---------------------------------- | --------- |  | ---------------------------------- | -
|Base Fee |  | $                                  | 1,626,538 |  |                                    | $



The Base Fee payable to Oxford Square Management
as of March 31, 2019 and December 31, 2018 was approximately $1.6 million and $2.1 million, respectively.



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).



29







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 7. RELATED PARTY TRANSACTIONS (cont.)



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 March 31, 2019 and March 31, 2018 were 7.51% and 7.20%, respectively.



30







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 7. RELATED PARTY TRANSACTIONS (cont.)



The following table represents the Net
Investment Income Incentive Fees for each of the three months ended March 31, 2019 and 2018, respectively:



|                                    |  | Three Months Ended  March 31, 2019 |           |  | Three Months Ended  March 31, 2018 |  
|----------------------------------- |  | ---------------------------------- | --------- |  | ---------------------------------- | -
|Net Investment Income Incentive Fee |  | $                                  | 1,156,051 |  |                                    | $



The Net Investment Income Incentive Fee
payable to Oxford Square Management as of March 31, 2019 and December 31, 2018 was approximately $1.2 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 March 31, 2019 and 2018. There were no accrued Capital Gains Incentive Fees payable to Oxford
Square Management as of March 31, 2019 and December 31, 2018.



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, Treasurer, Controller, 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.



31







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 7. RELATED PARTY TRANSACTIONS (cont.)



For the three months ended March 31, 2019
and 2018, the Company incurred approximately $0.2 million and $0.3 million 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.
Further, the Company incurred approximately $16,000 and $5,000 for facility costs allocated under the Administration Agreement
for the three months ended March 31, 2019 and 2018, respectively. As of March 31, 2019, there was approximately $40,000 payable
under the Administration Agreement. As of December 31, 2018, 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.



32







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(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 months ended March 31,
2019 and 2018, respectively:



|                                                                                 |  | Three Months Ended  March 31, 2019 |            |  | Three Months Ended  March 31, 2018 |  
|-------------------------------------------------------------------------------- |  | ---------------------------------- | ---------- |  | ---------------------------------- | -
|Net investment income                                                            |  | $                                  | 8,363,988  |  |                                    | $
|Weighted average common shares outstanding                                       |  |                                    | 47,650,959 |  |                                    |  
|Net increase in net assets resulting from net investment income per common share |  | $                                  | 0.18       |  |                                    | $



The following table sets forth the computation
of basic and diluted net increase in net assets resulting from operations per share for the three months ended March 31, 2019 and
2018:



|                                                                      |  | Three Months Ended  March 31, 2019 |            |  | Three Months  Ended  March 31, 2018 |  
|--------------------------------------------------------------------- |  | ---------------------------------- | ---------- |  | ----------------------------------- | -
|Net increase in net assets resulting from operations                  |  | $                                  | 12,749,952 |  |                                     | $
|Weighted average common shares outstanding                            |  |                                    | 47,650,959 |  |                                     |  
|Net increase in net assets resulting from operations per common share |  | $                                  | 0.27       |  |                                     | $



33







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



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.



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 its common stockholders. As a result, if the Company makes a cash distribution,
then stockholders’ cash distributions will be automatically reinvested in additional shares of the Company’s
common stock, unless they specifically “opt out” of the distribution reinvestment plan so as to receive cash
distributions. During the three months ended March 31, 2019 and 2018, the Company did not issue any shares of common stock to
stockholders in connection with the distribution reinvestment plan. During the three months ended March 31, 2019 and 2018, as
part of the Company’s dividend reinvestment plan for its common stockholders, the Company’s dividend reinvestment
administrator purchased 18,790 shares and 59,647 shares, respectively, of common stock for $0.1 million and $0.4 million,
respectively, in the open market to satisfy the reinvestment portion of the Company’s dividends. On March 29, 2019, the
Company paid a distribution of approximately $9.5 million or $0.20 per share.



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 March 31, 2019 represented, on an estimated basis, $0.17 per share from
ordinary income and $0.03 per share as a tax return of capital. For the three months ended March 31, 2019, the amounts and
sources of distributions reported are only estimates (based on an average of the reported tax character historically) 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 all years from
inception of the Company 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 and 2019 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 March 31, 2019 and December 31, 2018 was $6.67 and $6.60, 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.



34







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



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 March 31, 2019, under that repurchase program, the Company did not repurchase any shares of
outstanding common stock.



The following table summarizes the Company’s
share repurchases under its stock repurchase program for the three months ended March 31, 2018:



|                                               |  | Three Months Ended  March 31,  2018 |           
|---------------------------------------------- |  | ----------------------------------- | ----------
|Shares repurchased                             |  |                                     | 990,260   
|Dollar amount repurchased                      |  | $                                   | 5,947,490 
|Average price per share (including commission) |  | $                                   | 6.01      
|Weighted average discount to net asset value   |  |                                     | 20.92     
|Remaining cost of shares to be repurchased     |  | $                                   | 19,052,510



NOTE 12. INVESTMENT INCOME



The following table sets forth the components
of investment income for the three months ended March 31, 2019 and 2018, respectively:



|                                                            |  | Three Months Ended  March 31, 2019 |            |  | Three Months Ended  March 31, 2018 |  
|----------------------------------------------------------- |  | ---------------------------------- | ---------- |  | ---------------------------------- | -
|Interest income                                             |  |                                    |            |  |                                    |  
|Stated interest income                                      |  | $                                  | 6,910,526  |  |                                    | $
|Original issue discount and market discount income          |  |                                    | 134,992    |  |                                    |  
|Payment-in-kind income                                      |  |                                    | 89,288     |  |                                    |  
|Discount income derived from unscheduled remittances at par |  |                                    | 13,675     |  |                                    |  
|Total interest income                                       |  | $                                  | 7,148,481  |  |                                    | $
|Income from securitization vehicles                         |  | $                                  | 6,846,925  |  |                                    | $
|Other income                                                |  |                                    |            |  |                                    |  
|Fee letters                                                 |  | $                                  | 101,800    |  |                                    | $
|Loan prepayment and bond call fees                          |  |                                    | —          |  |                                    |  
|All other fees                                              |  |                                    | 127,908    |  |                                    |  
|Total other income                                          |  | $                                  | 229,708    |  |                                    | $
|Total investment income                                     |  | $                                  | 14,225,114 |  |                                    | $



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 months ended March 31, 2019 and 2018, respectively, the
Company received no fee income for managerial assistance.



35







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



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 March
31, 2019, the Company did not have any commitments to purchase additional debt 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.



NOTE 14. FINANCIAL HIGHLIGHTS



Financial highlights for the three months
ended March 31, 2019 and 2018, respectively, are as follows:



|Per Share Data                                          |  | Three Months Ended  March 31, 2019 |            |   | Three Months Ended  March 31, 2018 |  
|------------------------------------------------------- |  | ---------------------------------- | ---------- | - | ---------------------------------- | -
|Net asset value as of beginning of period               |  | $                                  | 6.60       |   |                                    | $
|Net investment income(1)                                |  |                                    | 0.18       |   |                                    |  
|Net realized and unrealized gains(2)                    |  |                                    | 0.09       |   |                                    |  
|Net increase  in net asset value
    from operations    |  |                                    | 0.27       |   |                                    |  
|Distributions per share from net investment income      |  |                                    | (0.17      | ) |                                    |  
|Tax return of capital distributions(3)                  |  |                                    | (0.03      | ) |                                    |  
|Total distributions                                     |  |                                    | (0.20      | ) |                                    |  
|Effect of shares repurchased, gross                     |  |                                    | —          |   |                                    |  
|Net asset value at end of period                        |  | $                                  | 6.67       |   |                                    | $
|Per share market value at beginning of period           |  | $                                  | 6.47       |   |                                    | $
|Per share market value at end of period                 |  | $                                  | 6.50       |   |                                    | $
|Total return based on Market Value(4)                   |  |                                    | 3.55       | % |                                    |  
|Total return based on Net Asset Value(5)                |  |                                    | 4.09       | % |                                    |  
|Shares outstanding at end of period                     |  |                                    | 47,650,959 |   |                                    |  
|                                                        |  |                                    |            |   |                                    |  
|Ratios/Supplemental Data(8)                             |  |                                    |            |   |                                    |  
|Net assets at end of period (000’s)                     |  | $                                  | 317,944    |   |                                    | $
|Average net assets (000’s)                              |  |                                    | 316,334    |   |                                    |  
|Ratio of operating expenses to average net assets(6)    |  |                                    | 7.41       | % |                                    |  
|Ratio of net investment income to average net assets(6) |  |                                    | 10.58      | % |                                    |  
|Portfolio turnover rate(7)                              |  |                                    | 0.91       | % |                                    |  



36







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 14. FINANCIAL HIGHLIGHTS (cont.)










| | (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 tax 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 tax 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.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (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. For the three months ended March 31, 2019 the
portfolio turnover rate is calculated using the year-to-date cash investment sales and debt repayments over the average of the
total investments at fair value since there were no cash investment purchases during the period.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (8) | The following table provides supplemental performance ratios (annualized) measured for the three months ended March 31, 2019
and 2018:
| | --- | --------------------------------------------------------------------------------------------------------------------------------------



|                                                   |  | Three Months Ended  March 31, 2019 |      |   | Three Months Ended  March 31, 2018 | 
|-------------------------------------------------- |  | ---------------------------------- | ---- | - | ---------------------------------- | 
|Ratio of operating expenses to average net assets: |  |                                    |      |   |                                    | 
|Operating expenses before incentive fees           |  |                                    | 5.95 | % |                                    | 
|Net investment income incentive fees               |  |                                    | 1.46 | % |                                    | 
|Ratio of expenses, excluding interest expense      |  |                                    | 4.69 | % |                                    | 



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.





37







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2019
(unaudited)



NOTE 15. RISKS AND UNCERTAINTIES (cont.)



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



On April 3, 2019, the Company completed
an underwritten public offering of approximately $42.5 million in aggregate principal amount of our 6.25% Unsecured Notes due 2026
(the “6.25% Notes”). On April 9, 2019, the Company issued an additional approximately $2.3 million in aggregate principal
amount of the 6.25% Notes pursuant to the underwriters’ exercise of their overallotment option. The 6.25% Notes will mature
on April 30, 2026, 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 April 30, 2022. The 6.25% Notes bear interest at a rate of 6.25% per year payable quarterly on January 31, April 30, July
31 and October 31 of each year. The 6.25% Notes are listed on the NASDAQ Global Select Market under the trading symbol “OXSQZ.”



The Board has declared monthly
distributions to stockholders for the subsequent periods as follows:





|Per Share Distribution Amount Declared |       |  | Record Dates |                    | Payable Dates |                    | Date Declared
|-------------------------------------- | ----- |  | ------------ | ------------------ | ------------- | ------------------ | -------------
|$                                      | 0.067 |  |              | April 23, 2019     |               | April 30, 2019     |              
|$                                      | 0.067 |  |              | May 24, 2019       |               | May 31, 2019       |              
|$                                      | 0.067 |  |              | June 21, 2019      |               | June 28, 2019      |              
|$                                      | 0.067 |  |              | July 24, 2019      |               | July 31, 2019      |              
|$                                      | 0.067 |  |              | August 23, 2019    |               | August 30, 2019    |              
|$                                      | 0.067 |  |              | September 23, 2019 |               | September 30, 2019 |              





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.



38







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 Item 1A. — Risk Factors contained in our Annual Report
on Form 10-K for the year ended December 31, 2018, 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, 2018, and elsewhere

39







in this Quarterly Report on Form 10-Q. 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 subsidiary Oxford Square Funding 2018, LLC (“OXSQ Funding”); “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 early-stage CLO vehicles intended to
aggregate loans that may be used to form the basis of a traditional 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.



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, 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. 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 March 31, 2019, our debt
investments had stated interest rates of between 6.02% and 13.14% and maturity dates of between 26 and 148 months. In addition,
our total portfolio had a weighted average annualized yield on debt investments of approximately 9.80%.



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 March 31, 2019, 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.



40







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 March 31, 2019.



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
valuationfirms 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 consolidated statement of operations as net change in unrealized appreciation/depreciation.



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.





41







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 current 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.



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 March 31, 2019
and December 31, 2018, we had no investments on non-accrual status.





42







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 statement 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.  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.



43







PORTFOLIO COMPOSITION AND INVESTMENT ACTIVITY



The total fair value of our investment
portfolio was approximately $448.6 million and $445.0 million as of March 31, 2019 and December 31, 2018, respectively. The increase
in the value of investments during the three month period ended March 31, 2019 was due primarily to purchases of investments of
approximately $4.4 million and net unrealized appreciation on our investment portfolio of approximately $5.7 million (which incorporates
reductions to CLO equity cost value of $1.4 million) partially offset by debt repayments and sales of securities totaling approximately
$4.1 million partially offset by net realized losses of $1.3 million. A reconciliation of the investment portfolio for the three
months ended March 31, 2019 and the year ended December 31, 2018 follows:



|($ in millions)                                    |  | March 31, 2019 |       |   | December 31, 2018 |  
|-------------------------------------------------- |  | -------------- | ----- | - | ----------------- | -
|Beginning investment portfolio                     |  | $              | 445.0 |   |                   | $
|Portfolio investments acquired                     |  |                | 4.4   |   |                   |  
|Debt repayments                                    |  |                | (0.4  | ) |                   |  
|Sales of securities                                |  |                | (3.6  | ) |                   |  
|Reductions to CLO equity cost value(1)             |  |                | (1.4  | ) |                   |  
|Payment-in-kind                                    |  |                | 0.1   |   |                   |  
|Accretion of discounts on investments(2)           |  |                | 0.1   |   |                   |  
|Net change in unrealized appreciation/depreciation |  |                | 5.7   |   |                   |  
|Net realized losses on investments                 |  |                | (1.3  | ) |                   |  
|Ending investment portfolio                        |  | $              | 448.6 |   |                   | $










| | (1) | For the three months ended March 31, 2019, reduction to cost value on our CLO equity investments represents the difference
between distributions received, or entitled to be received for the three months ended March 31, 2019, of approximately $8.2 million
and the effective yield interest income of approximately $6.8 million. For the year ended December 31, 2018, 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, 2018, of approximately $46.6 million and the effective yield interest income of approximately $27.8 million.
| | --- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | Includes rounding adjustment to reconcile ending investment portfolio as of March 31, 2019 and December 31, 2018.
| | --- | -----------------------------------------------------------------------------------------------------------------



During the three months ended March 31,
2019 we purchased approximately $4.4 million in portfolio investments, which represented an additional investment in an existing
portfolio company. For the year ended December 31, 2018, we purchased approximately $244.6 million in portfolio investments, including
additional investments of approximately $90.3 million in existing portfolio companies and approximately $154.3 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 March 31, 2019
and the year ended December 31, 2018, we recognized proceeds from the sales of securities of approximately $3.6 million and $25.9
million, respectively. Also, during the three months ended March 31, 2019 and the year ended December 31, 2018, we had debt repayments
of approximately $0.4 million and $131.5 million, respectively.



As of March 31, 2019, we had investments
in debt securities of, or loans to, 22 portfolio companies, with a fair value of approximately $281.0 million, and equity investments
of approximately $167.7 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, 2018, we had investments
in debt securities of, or loans to, 22 portfolio companies, with a fair value of approximately $283.7 million, and equity investments
of approximately $161.3million. Our debt investments included
approximately $0.3 million in capitalized PIK interest.



44







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



|Three Months Ended ($ in millions) |  | Purchases of Investments |       |  | Debt Repayments |   |       | Reductionsto CLOEquity Cost(1) |  |   | Sales of Investments | 
|---------------------------------- |  | ------------------------ | ----- |  | --------------- | - | ----- | ------------------------------ |  | - | -------------------- | 
|March 31, 2019                     |  | $                        | 4.4   |  |                 | $ | 0.4   |                                |  | $ | 1.4                  | 
|Total                              |  | $                        | 4.4   |  |                 | $ | 0.4   |                                |  | $ | 1.4                  | 
|December 31, 2018                  |  | $                        | 39.2  |  |                 | $ | 38.9  |                                |  | $ | 7.9                  | 
|September 31, 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(2)                           |  | $                        | 244.6 |  |                 | $ | 131.5 |                                |  | $ | 18.8                 | 










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

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



The following table shows the fair value
of our portfolio of investments by asset class as of March 31, 2019 and December 31, 2018:



|                             |  | March 31, 2019            |       |  | December 31, 2018             | 
|---------------------------- |  | ------------------------- | ----- |  | ----------------------------- | 
|($ in millions)              |  | Investments at Fair Value |       |  | Percentage of Total Portfolio | 
|Senior Secured Notes         |  | $                         | 280.0 |  |                               | 
|CLO Debt                     |  |                           | 0.9   |  |                               | 
|CLO Equity                   |  |                           | 151.7 |  |                               | 
|Equity and Other Investments |  |                           | 15.9  |  |                               | 
|Total(1)                     |  | $                         | 448.6 |  |                               | 










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



Qualifying assets must represent at least
70.0% of the Company’s total assets at the time of acquisition
of any additional non-qualifying assets. As of March 31, 2019, we held qualifying assets that represented 66.9% of our total assets.
No additional non-qualifying assets were acquired during the periods when qualifying assets were less than 70.0% of the total assets.



The following table shows our portfolio
of investments by industry at fair value, as of March 31, 2019 and December 31, 2018:



|                           |  | March 31, 2019            |       |  | December 31, 2018        | 
|-------------------------- |  | ------------------------- | ----- |  | ------------------------ | 
|                           |  | Investments at Fair Value |       |  | Percentage of Fair Value | 
|                           |  | ($ in millions)           |       |  |                          | 
|Structured finance(1)      |  | $                         | 152.6 |  |                          | 
|Business services          |  |                           | 80.0  |  |                          | 
|Software                   |  |                           | 59.6  |  |                          | 
|Healthcare                 |  |                           | 47.0  |  |                          | 
|Financial intermediaries   |  |                           | 21.1  |  |                          | 
|Telecommunication services |  |                           | 16.6  |  |                          | 
|IT consulting              |  |                           | 15.9  |  |                          | 
|Diversified insurance      |  |                           | 14.9  |  |                          | 
|Logistics                  |  |                           | 13.2  |  |                          | 
|Utilities                  |  |                           | 12.4  |  |                          | 
|Aerospace and defense      |  |                           | 5.4   |  |                          | 
|Education                  |  |                           | 5.0   |  |                          | 
|Printing and publishing    |  |                           | 4.9   |  |                          | 
|Total(2)                   |  | $                         | 448.6 |  |                          | 










| | (1) | Reflects our debt and equity investments in CLOs as of
March 31, 2019 and December 31, 2018, respectively.
| | --- | ----------------------------------------------------------------------------------------------------------

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



45







PORTFOLIO GRADING



We have adopted a credit grading system
to monitor the quality of our debt investment portfolio. As of March 31, 2019 and December 31, 2018, our portfolio had a weighted
average grade of 2.1 and 2.1, respectively, based upon the fair
value of the debt investments in the portfolio. Equity securities and investments in CLOs are not graded.



At March 31, 2019 and December 31, 2018,
our debt investment portfolio was graded as follows:



|      |  |                                                                                                                                                                                                                                        |  | March 31, 2019  |      
|----- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | --------------- | -----
|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.                                                                                                                       |  |                 | 262.1
|3     |  | Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.                                                                                        |  |                 | 36.0 
|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.                                                                             |  |                 | —    
|      |  | Total                                                                                                                                                                                                                                  |  | $               | 298.1



|      |  |                                                                                                                                                                                                                                        |  | December 31, 2018 |      
|----- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ----------------- | -----
|Grade |  | Summary Description                                                                                                                                                                                                                    |  | PrincipalValue    |      
|      |  |                                                                                                                                                                                                                                        |  | ($ 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.                                                                                                                       |  |                   | 260.8
|3     |  | Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.                                                                                        |  |                   | 36.2 
|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.                                                                            |  |                   | —    
|      |  | Total(1)                                                                                                                                                                                                                               |  | $                 | 297.0










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



46







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 months ended March 31, 2019 to the three months ended March 31, 2018.



Investment Income



Investment income for the three months
ended March 31, 2019 and March 31, 2018 was approximately $14.2 million and $13.3 million, respectively, reflecting a decrease
of approximately $0.9 million. The following tables set forth the components of investment income for the three months ended March
31, 2019 and March 31, 2018:



|                                                            |  | Three Months Ended March 31, 2019 |            |  | Three Months Ended March 31, 2018 |  
|----------------------------------------------------------- |  | --------------------------------- | ---------- |  | --------------------------------- | -
|Interest income                                             |  |                                   |            |  |                                   |  
|Stated interest income                                      |  | $                                 | 6,910,526  |  |                                   | $
|Original issue discount and market discount income          |  |                                   | 134,992    |  |                                   |  
|Payment-in-kind income                                      |  |                                   | 89,288     |  |                                   |  
|Discount income derived from unscheduled remittances at par |  |                                   | 13,675     |  |                                   |  
|Total interest income                                       |  | $                                 | 7,148,481  |  |                                   | $
|Income from securitization vehicles                         |  | $                                 | 6,846,925  |  |                                   | $
|                                                            |  |                                   |            |  |                                   |  
|Other income                                                |  |                                   |            |  |                                   |  
|Fee letters                                                 |  | $                                 | 101,800    |  |                                   | $
|Loan prepayment and bond call fees                          |  |                                   | —          |  |                                   |  
|All other fees                                              |  |                                   | 127,908    |  |                                   |  
|Total other income                                          |  | $                                 | 229,708    |  |                                   | $
|Total investment income                                     |  | $                                 | 14,225,114 |  |                                   | $



The increase in total investment income
was primarily due to an increase in interest income of approximately $1.2 million. The total principal value of income producing
debt investments as of March 31, 2019 and March 31, 2018 was approximately $298.1 million and $250.3 million, respectively.



As of March 31, 2019, our debt investments
had stated interest rates of between 6.02% and 13.14% and maturity dates of between 26 and 148 months compared to stated interest
rates of 5.88% to 15.00% and maturity dates between 9 and 106 months as of March 31, 2018. In addition, our total debt portfolio
had a weighted average yield on debt investments of approximately 9.80% as of March 31, 2019, compared to approximately 9.90% as
of March 31, 2018.



Income
from securitization vehicles for the three months ended March 31, 2019 was approximately $6.8 million, which is approximately equal
to the amount for the three months ended March 31, 2018.The total principal outstanding on our investments in CLOs as of
March 31, 2019 and December 31, 2018 was approximately $254.4 million and $269.4 million, respectively. The weighted average yield
on CLO equity investments as of March 31, 2019 and December 31, 2018 was approximately 14.6% and 15.6%, respectively.



Operating Expenses



Total expenses for the three months ended
March 31, 2019 and 2018 were approximately $5.9 million and $4.6 million, respectively. These amounts consisted of base management
fees, interest expense, professional fees, compensation expense, general and administrative expenses, and incentive fees.





47







Expenses before incentive fees for the
three months ended March 31, 2019 were approximately $4.7 million, which increased by approximately $1.1 million from the quarter
ended March 31, 2018, largely attributable to higher interest expense and professional fees. Expenses before incentive fees for
the quarter ended March 31, 2018 were approximately $3.6 million.



The base management fee for the three months
ended March 31, 2019 was approximately $1.6 million compared with $1.7 million for the three months ended March 31, 2018. The decrease
was due largely to a decline in the weighted average gross assets.



Interest expense for the three months ended
March 31, 2019 was approximately $2.1 million, which relates to our 6.50% unsecured notes due 2024 (the “6.50% Unsecured
Notes”) and Credit Facility with Citibank, N.A., compared to interest expense of approximately $1.1 million for the three
months ended March 31, 2018. The increase was a result of entering into the Credit Facility in the second quarter of 2018.



Professional fees, consisting of legal,
consulting, valuation, audit and tax fees, were approximately $0.4 million for the quarter ended March 31, 2019, compared to approximately
$0.2 million for the quarter ended March 31, 2018. This represented an increase of approximately $0.2 million primarily due to
higher audit fees.



Compensation expenses were approximately
$0.2 million for the three months ended March 31, 2019, compared to approximately $0.3 million for the three months ended March
31, 2018, reflecting the allocation of compensation expenses for the services of our Chief Financial Officer, accounting personnel,
and other administrative support staff.



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 $0.3 million for the three months ended March 31, 2019, compared to approximately $0.4 million
for the three months ended March 31, 2018. 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 March 31, 2019 was approximately $1.2 million, compared to $1.0 million for the three months
ended March 31, 2018.



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 months ended March 31, 2019 and March
31, 2018, 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 months
ended March 31, 2019 and March 31, 2018, such an accrual was not required under the terms of the Investment Advisory Agreement.



Realized and Unrealized Gains/Losses on Investments



For the three months ended March 31, 2019,
we recognized net realized losses on investments of approximately $1.3 million, which primarily reflects the loss from the sale
of several CLO equity investments.



48







For the three months ended March 31, 2019,
our net change in unrealized appreciation/depreciation was approximately $5.7 million primarily due to improvements in the corporate
loan market, composed of $12.0 million in gross unrealized appreciation, $7.9 million in gross unrealized depreciation and approximately
$1.6 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 $1.4 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 March 31, 2019 were as follows (in millions):



|Portfolio Company               |  | Change in Unrealized Appreciation (Depreciation) |     
|------------------------------- |  | ------------------------------------------------ | ----
|KVK CLO 2013-2, Ltd..           |  | $                                                | 1.5 
|Unitek Global Services, Inc..   |  |                                                  | 1.5 
|Cedar Funding II CLO, Ltd..     |  |                                                  | 1.4 
|AMMC CLO XII, Ltd..             |  |                                                  | 1.2 
|Premiere Global Services, Inc.. |  |                                                  | (5.5
|Net all other(1)                |  |                                                  | 5.6 
|Total                           |  | $                                                | 5.7 










| | (1) | Unrealized gains and losses of less than $1.0 million have
been combined.
| | --- | -------------------------------------------------------------------------



For the three months ended March 31, 2018,
we recognized net realized gains on investments of approximately $0.3 million, which primarily reflects the gains from the sale
of several CLO equity investments and full repayment of a senior secured note investment.



For the three months ended March 31, 2018,
our net change in unrealized appreciation/depreciation was approximately $2.5 million primarily due to improvements in the corporate
loan market, composed of $8.2 million in gross unrealized appreciation, $5.7 million in gross unrealized depreciation. This includes net unrealized appreciation of approximately $3.9 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 components of the
net change in unrealized appreciation and depreciation during the three months ended March 31, 2018 were as follows (in millions):



|Portfolio Company         |  | Change in Unrealized Appreciation (Depreciation) |     
|------------------------- |  | ------------------------------------------------ | ----
|Catamaran CLO 2012-1 Ltd. |  | $                                                | 2.0 
|Telos CLO 2014-5, Ltd.    |  |                                                  | 1.6 
|Net all other(1)          |  |                                                  | (1.1
|Total                     |  | $                                                | 2.5 










| | (1) | Unrealized gains and losses of less than $1.0 million have
been combined.
| | --- | -------------------------------------------------------------------------



49







Net Increase in Net Assets Resulting from Net Investment
Income



Net investment income for the three months
ended March 31, 2019 and March 31, 2018 was approximately $8.4 million and $8.7 million, respectively. The increase in total expenses
was partially offset by an increase in investment income over the period.



For the three months ended March 31, 2019,
the net increase in net assets resulting from net investment income per common share was $0.18 (basic and diluted), compared to
the net increase in net assets resulting from net investment income per share of $0.17 (basic and diluted) for the three months
ended March 31, 2018. The per share increase is due to lower weighted average common shares outstanding for the three months ended
March 31, 2019.



Net Increase in Net Assets Resulting from Operations



Net increase in net assets resulting from
operations for the three months ended March 31, 2019 was approximately $12.7 million compared with a net increase in net assets
resulting from operations of approximately $11.5 million for the three months ended March 31, 2018. This increase was largely due
to unrealized appreciation on investments of $5.7 million for the three months ended March 31, 2019, partially offset by net realized
losses on investments of $1.3 million for the same period.



For the three months ended March 31, 2019,
the net increase in net assets resulting from operations per common share was $0.27 (basic and diluted), compared to a net increase
in net assets resulting from operations per share of approximately $0.22 (basic and diluted) for the three months ended March 31,
2018.



LIQUIDITY AND CAPITAL RESOURCES



As of March 31, 2019, cash and cash equivalents
were approximately $12.5 million as compared to approximately $17.1 million as of December 31, 2018. For the three months ended
March 31, 2019, net cash provided by operating activities for the period, consisting primarily of the items described in “—
Results of Operations,” was approximately $13.2 million, largely reflecting proceeds from principal repayments and sales
of investments of approximately $4.1 million, reductions to CLO equity cost value of $1.4 million and net realized losses on investments
of approximately $1.3 million partially offset by net change in unrealized appreciation/depreciation of $5.7 million. For the three
months ended March 31, 2019, net cash used in financing activities was approximately $17.8 million, reflecting the distribution
of dividends and partial repayment of the Credit Facility.



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.



Contractual Obligations



A summary of our significant contractual
payment obligations as of March 31, 2019 is as follows:



|                                        |  |                  |       |  | Payments Due by Period |   |      |             | 
|--------------------------------------- |  | ---------------- | ----- |  | ---------------------- | - | ---- | ----------- | 
|Contractual obligations ($ in millions) |  | Principal Amount |       |  | Less than 1 year       |   |      | 1 – 3 years | 
|Long-term debt obligations:             |  |                  |       |  |                        |   |      |             | 
|Credit Facility                         |  | $                | 77.4  |  |                        | $ | 14.3 |             | 
|6.50% Unsecured Notes                   |  |                  | 64.4  |  |                        |   | —    |             | 
|                                        |  | $                | 141.8 |  |                        | $ | 14.3 |             | 



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



Off-Balance Sheet Arrangements



As of March 31, 2019, we did not have any
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, as of March 31, 2019, we were only allowed to borrow amounts such that our asset coverage, as defined in the
1940 Act, was at least 200%, immediately after such borrowing. As of March 31, 2019, our asset coverage for borrowed amounts was
323.0%.





50







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 was 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 March 31, 2019 were 5.61% and 2.9 years, respectively,
and as of December 31, 2018 were 5.64% and 3.1 years, respectively.



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 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.



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. 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.



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.



For the quarter ended March 31, 2019, management
estimated that a tax return of capital occurred of approximately $0.03 per share. We may not be able to achieve operating results
that will allow us to make distributions at a specific level or to increase the amount of these distributions from time to time.
In addition, we may be limited in our ability to make distributions due to the asset coverage requirements applicable to us as
a BDC under the 1940 Act. If we do not distribute a certain percentage of our income annually, we will suffer adverse tax consequences,
including possible loss of favorable regulated investment company tax treatment. We cannot assure stockholders that they will receive
any distributions.



To the extent our taxable earnings fall
below the total amount of our distributions for that fiscal year, a portion of those distributions may be deemed a return of capital
to our stockholders. Thus, the source of a distribution to our stockholders may be the original capital invested by the stockholder
rather than our taxable ordinary income or capital gains. Stockholders should read any written disclosure accompanying a distribution
payment carefully and should not assume that the source of any distribution is taxable ordinary income or capital gains. The final
determination of the nature of our distributions can only be made upon the filing of our tax return. We have until October 15,
2019 to file our federal income tax return for the year ended December 31, 2018.



51







The following table reflects the cash distributions,
including distributions reinvested, if any, per share that our Board has declared on our common stock since the beginning of 2017:



|Date Declared     |  | Record Date        |  | Payment Date       |  | Distributions |      |     | GAAP net investment income |   |      | Distributions in excess of net investment income | 
|----------------- |  | ------------------ |  | ------------------ |  | ------------- | ---- | --- | -------------------------- | - | ---- | ------------------------------------------------ | 
|Fiscal 2019       |  |                    |  |                    |  |               |      |     |                            |   |      |                                                  | 
|February 22, 2019 |  | March 15, 2019     |  | March 29, 2019     |  | $             | 0.20 |     |                            | $ | 0.18 |                                                  | 
|Total (2019)      |  |                    |  |                    |  | $             | 0.20 |     |                            | $ | —    | (1)                                              | 
|Fiscal 2018       |  |                    |  |                    |  |               |      |     |                            |   |      |                                                  | 
|October 26, 2018  |  | December 17, 2018  |  | December 31, 2018  |  | $             | 0.20 |     |                            | $ | 0.18 |                                                  | 
|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 | (2) |                            | $ | 0.67 | (4)                                              | 
|                  |  |                    |  |                    |  |               |      |     |                            |   |      |                                                  | 
|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 |                                                  | 










| | (1) | We have not yet reported earnings for this period.
| | --- | --------------------------------------------------

| | (2) | The tax characterization of cash distributions for the year ended December 31, 2018 will not be known
until the tax return for such year is finalized. For the year ended December 31, 2018, the amounts and sources of distributions
reported are only estimates and are not being provided for U.S. tax reporting purposes. 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) | 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.



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.





52







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



On April 3, 2019, we completed an underwritten
public offering of approximately $42.5 million in aggregate principal amount of our 6.25% Unsecured Notes due 2026 (the “6.25%
Notes”). On April 9, 2019, we issued an additional approximately $2.3 million in aggregate principal amount of the 6.25%
Notes pursuant to the underwriters’ exercise of their overallotment option. The 6.25% Notes will mature on April 30, 2026,
and may be redeemed in whole or in part at any time or from time to time at our option on or after April 30, 2022. The 6.25% Notes
bear interest at a rate of 6.25% per year payable quarterly on January 31, April 30, July 31 and October 31 of each year. The 6.25%
Notes are listed on the NASDAQ Global Select Market under the trading symbol “OXSQZ.”



The Board has declared monthly
distributions to stockholders for the subsequent periods as follows:





|Per Share Distribution Amount Declared |       |  | Record Dates |                    | Payable Dates |                    | Date Declared
|-------------------------------------- | ----- |  | ------------ | ------------------ | ------------- | ------------------ | -------------
|$                                      | 0.067 |  |              | April 23, 2019     |               | April 30, 2019     |              
|$                                      | 0.067 |  |              | May 24, 2019       |               | May 31, 2019       |              
|$                                      | 0.067 |  |              | June 21, 2019      |               | June 28, 2019      |              
|$                                      | 0.067 |  |              | July 24, 2019      |               | July 31, 2019      |              
|$                                      | 0.067 |  |              | August 23, 2019    |               | August 30, 2019    |              
|$                                      | 0.067 |  |              | September 23, 2019 |               | September 30, 2019 |              





53







ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET
RISK.



We are subject to financial market risks,
including changes in interest rates. As of March 31, 2019, all of our debt investments in our portfolio were at variable rates.
As of March 31, 2019, 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 March 31, 2019, 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 March 31, 2019. These hypothetical calculations are based on a model of the investments
in our portfolio, held as of March 31, 2019, and are only adjusted for assumed changes in the underlying base interest rates. 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                   |  |                                                  | 5.2 
|Up 200 basis points                   |  |                                                  | 10.5
|Up 300 basis points                   |  |                                                  | 15.7
|Down 25 basis points                  |  |                                                  | (1.3



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 March 31, 2019 (the end of the period
covered by this report), we, 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.



(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 March 31, 2019 that have materially affected, or are reasonably likely to materially affect,
the Company’s internal control over financial reporting.



54







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 risk factors discussed in Item 1A. Risk Factors in our Annual Report
on Form 10-K for the fiscal year ended December 31, 2018, which could materially affect our business, financial condition and/or
operating results, including the Risk Factor titled “Beginning on 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.” The risks described in our Annual Report on Form 10-K are not the only risks facing us. 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. There have been no material changes during the three months ended March 31, 2019 to the risk
factors discussed in Item 1A. Risk Factors in our Annual Report on Form 10-K for the year ended December 31, 2018.



55







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 March 31, 2019, and we did not issue shares of common stock under our distribution
reinvestment plan. During the three months ended March 31, 2019, as part of our dividend reinvestment plan for our common stockholders,
our dividend reinvestment administrator purchased 18,790 shares of our common stock for $0.1 million in the open market to satisfy
the reinvestment portion of our dividends.



Issuer Purchases of Equity Securities



None.



ITEM 3. DEFAULTS UPON SENIOR SECURITIES.



None.



ITEM 4. MINE SAFETY DISCLOSURES.



Not applicable.



ITEM 5. OTHER INFORMATION.



None.



56







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).                                                                                                                                                             
|4.2  | Form of Second Supplemental Indenture relating to the 6.25% Notes due 2026, by and between the Registrant and U.S. Bank National Association, as trustee (Incorporated by reference to Exhibit d.6 to Post-Effective Amendment No. 1 to the Registrant’s Registration Statement on Form N-2 (File No. 333-229337), filed on April 3, 2019).
|4.3  | Form of Global Note with respect to the 6.25% Notes due 2026 (Included as Exhibit A of Exhibit d.6 to Post-Effective Amendment No. 1 to the Registrant’s Registration Statement on Form N-2 (File No. 333-229337), filed on April 3, 2019).                                                                                                
|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
| | - | --------------



57







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: May 1, 2019 | By:                        
|                  |                            
|                  |                            
|                  |                            
|                  |                            
|Date: May 1, 2019 | By:                        
|                  |                            
|                  |                            
|                  |                            



58