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, 2018
|                                              |  |                                                                                         
| ̈                                             |  | TRANSITION REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934



COMMISSION FILE NUMBER: 0-50398










OXFORD SQUARE CAPITAL CORP.

(Exact name of registrant as specified in
its charter)










|MARYLAND                                                      |  | 20-0188736                         
|------------------------------------------------------------- |  | -----------------------------------
|(State or other jurisdiction ofincorporation or organization) |  | (I.R.S. EmployerIdentification No.)



8 SOUND SHORE DRIVE, SUITE 255
GREENWICH, CONNECTICUT 06830

(Address of principal executive office)



(203) 983-5275

(Registrant’s telephone number, including
area code)










Indicate
by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange
Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports),
and (2) has been subject to such filing requirements for the past 90 days.   Yesx No ̈



Indicate
by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive
Data File required to be submitted and posted 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 and post such files). Yes ̈
No ̈



Indicate by check mark whether the registrant
is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company or an emerging growth company.
See definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company,”
and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):



|Large accelerated filer ̈ |  | Accelerated filerx        
|------------------------ |  | --------------------------
|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 ̈
Nox



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 May 1, 2018 was 50,388,693.


















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, 2018 (unaudited) and December 31, 2017                                           
|                              |                                                                                                                                                        
|                              | Consolidated Schedule of
    Investments as of March 31, 2018 (unaudited)                                                                              
|                              |                                                                                                                                                        
|                              | Consolidated Schedule of Investments as of December 31, 2017                                                                                           
|                              |                                                                                                                                                        
|                              | Consolidated Statements of
    Operations for the three months ended March 31, 2018 and 2017 (unaudited)                                               
|                              |                                                                                                                                                        
|                              | Consolidated Statements of
    Changes in Net Assets for the three months ended March 31, 2018 (unaudited) and for the year ended December 31,
    2017
|                              |                                                                                                                                                        
|                              | Consolidated Statements of
    Cash Flows for the three months ended March 31, 2018 and 2017 (unaudited)                                               
|                              |                                                                                                                                                        
|                              | Notes to Consolidated
    Financial Statements (unaudited)                                                                                             
|                              |                                                                                                                                                        
|Item 2.                       | Management’s Discussion and Analysis of Financial Condition and Results of Operations                                                                  
|                              |                                                                                                                                                        
|Item 3.                       | Quantitative and Qualitative Disclosures About Market Risk                                                                                             
|                              |                                                                                                                                                        
|Item 4.                       | Controls and Procedures                                                                                                                                
|                              |                                                                                                                                                        
|PART II. OTHER INFORMATION    | 54                                                                                                                                                     
|                              |                                                                                                                                                        
|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                    | 57                                                                                                                                                     



i







PART I — FINANCIAL
INFORMATION



ITEM 1. FINANCIAL STATEMENTS (UNAUDITED)



OXFORD SQUARE CAPITAL CORP.
 
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES



|                                                                                                                                    |  | March 31, 2018 |             |   | December 31, 2017 |  
|----------------------------------------------------------------------------------------------------------------------------------- |  | -------------- | ----------- | - | ----------------- | -
|                                                                                                                                    |  | (unaudited)    |             |   |                   |  
|ASSETS                                                                                                                              |  |                |             |   |                   |  
|Non-affiliated/non-control investments
    (cost: $412,283,070 @ 3/31/18; $418,990,080 @ 12/31/17)                                  |  | $              | 396,868,031 |   |                   | $
|Affiliated investments (cost: $10,561,529 @ 3/31/18; $10,528,740 @ 12/31/17)                                                        |  |                | 17,378,006  |   |                   |  
|Cash equivalents                                                                                                                    |  |                | 48,805,440  |   |                   |  
|Interest and distributions receivable                                                                                               |  |                | 2,769,831   |   |                   |  
|Securities sold not settled                                                                                                         |  |                | 1,656,745   |   |                   |  
|Other assets                                                                                                                        |  |                | 574,128     |   |                   |  
|Total assets                                                                                                                        |  | $              | 468,052,181 |   |                   | $
|LIABILITIES                                                                                                                         |  |                |             |   |                   |  
|Notes payable – 6.50% Unsecured Notes, net of deferred issuance costs                                                               |  | $              | 62,420,223  |   |                   | $
|Securities purchased not settled                                                                                                    |  |                | 18,611,209  |   |                   |  
|Base management fee and net investment income incentive fee payable to affiliate                                                    |  |                | 2,680,046   |   |                   |  
|Accrued interest payable                                                                                                            |  |                | 11,621      |   |                   |  
|Accrued expenses                                                                                                                    |  |                | 519,872     |   |                   |  
|Total liabilities                                                                                                                   |  |                | 84,242,971  |   |                   |  
|COMMITMENTS AND CONTINGENCIES (Note 13)                                                                                             |  |                |             |   |                   |  
|NET ASSETS                                                                                                                          |  |                |             |   |                   |  
|Common stock, $0.01 par value, 100,000,000 shares authorized; 50,489,149 and 51,479,409 shares issued and outstanding, respectively |  |                | 504,891     |   |                   |  
|Capital in excess of par value                                                                                                      |  |                | 523,360,162 |   |                   |  
|Distributions in excess of net investment income                                                                                    |  |                | (26,501,171 | ) |                   |  
|Net unrealized depreciation on investments                                                                                          |  |                | (8,598,562  | ) |                   |  
|Accumulated net realized losses on investments                                                                                      |  |                | (99,718,994 | ) |                   |  
|Accumulated realized losses on extinguishment of debt                                                                               |  |                | (5,237,116  | ) |                   |  
|Total net assets                                                                                                                    |  |                | 383,809,210 |   |                   |  
|Total liabilities and net assets                                                                                                    |  | $              | 468,052,181 |   |                   | $
|Net asset value per common share                                                                                                    |  | $              | 7.60        |   |                   | $



See Accompanying Notes.



1







OXFORD SQUARE CAPITAL CORP.
 CONSOLIDATED SCHEDULE OF INVESTMENTS (unaudited)
March 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, 6.88% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(15)                   |  | $                    | 5,571,750  |  |      | $ | 5,521,413  |                   |  | $ | 5,395,293           | 
|Total
    Aerospace and Defense                                                                                               |  |                      |            |  |      | $ | 5,521,413  |                   |  | $ | 5,395,293           | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Business Services                                                                                                             |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Access CIG, LLC                                                                                                               |  |                      |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 9.63% (LIBOR + 7.75%), (0.00% floor) due February 27, 2026(4)(5)(15)                    |  | $                    | 6,031,804  |  |      | $ | 6,040,973  |                   |  | $ | 6,065,763           | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Convergint Technologies, LLC                                                                                                  |  |                      |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 9.05% (LIBOR + 6.75%), (0.75% floor) due February 2, 2026(4)(5)(15)                     |  |                      | 1,500,000  |  |      |   | 1,492,664  |                   |  |   | 1,507,500           | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Imagine! Print Solutions                                                                                                      |  |                      |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 11.06% (LIBOR + 8.75%), (1.00% floor) due June 21, 2023(4)(5)(15)                       |  |                      | 15,000,000 |  |      |   | 14,825,178 |                   |  |   | 13,650,000          | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Intralinks, Inc.                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 5.88% (LIBOR + 4.00%), (1.00% floor) due November 10, 2024(4)(5)(15)                     |  |                      | 4,987,500  |  |      |   | 4,964,034  |                   |  |   | 4,999,969           | 
|second
    lien senior secured notes, 9.88% (LIBOR + 8.00%), (1.00% floor) due November 14, 2025(4)(5)(6)(15)                 |  |                      | 10,560,000 |  |      |   | 10,496,328 |                   |  |   | 10,665,600          | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Polycom, Inc.                                                                                                                 |  |                      |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 11.88% (LIBOR + 10.00%), (1.00% floor) due September 27, 2024(4)(5)(16)                 |  |                      | 13,000,000 |  |      |   | 12,765,498 |                   |  |   | 13,000,000          | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Premiere Global Services,
    Inc.                                                                                            |  |                      |            |  |      |   |            |                   |  |   |                     | 
|senior
    secured notes, 8.29% (LIBOR + 6.50%), (1.00% floor) due December 8, 2021(4)(5)(6)(14)(15)                          |  |                      | 15,390,700 |  |      |   | 14,290,638 |                   |  |   | 15,352,223          | 
|second
    lien senior secured notes, 11.20% (LIBOR + 9.50%), (1.00% floor) due June 6, 2022(4)(5)(14)(16)                    |  |                      | 10,000,000 |  |      |   | 9,750,654  |                   |  |   | 9,466,700           | 
|Total
    Business Services                                                                                                   |  |                      |            |  |      | $ | 74,625,967 |                   |  | $ | 74,707,755          | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Consumer Services                                                                                                             |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Jackson Hewitt Tax Service,
    Inc.                                                                                          |  |                      |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 8.77% (LIBOR + 7.00%), (1.00% floor) due July 30, 2020(4)(5)(6)(14)(15)                  |  | $                    | 19,601,471 |  |      | $ | 19,341,755 |                   |  | $ | 19,527,965          | 
|Total
    Consumer Services                                                                                                   |  |                      |            |  |      | $ | 19,341,755 |                   |  | $ | 19,527,965          | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Diversified Insurance                                                                                                         |  |                      |            |  |      |   |            |                   |  |   |                     | 
|AmeriLife Group LLC                                                                                                           |  |                      |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 6.63%  (LIBOR + 4.75%), (1.00% floor)  due July 10, 2022(4)(5)(6)(16)                    |  | $                    | 15,145,140 |  |      | $ | 15,037,758 |                   |  | $ | 15,220,866          | 
|Total
    Diversified Insurance                                                                                               |  |                      |            |  |      | $ | 15,037,758 |                   |  | $ | 15,220,866          | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Education                                                                                                                     |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Edmentum, Inc. (f/k/a Plato,
    Inc.)                                                                                        |  |                      |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 10.27%  (LIBOR + 4.50%), (1.00% floor) Cash, 4.00% PIK due June 09, 2021(3)(4)(5)(6)(15) |  | $                    | 5,780,916  |  |      | $ | 5,729,181  |                   |  | $ | 4,547,673           | 
|Total
    Education                                                                                                           |  |                      |            |  |      | $ | 5,729,181  |                   |  | $ | 4,547,673           | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Financial Intermediaries                                                                                                      |  |                      |            |  |      |   |            |                   |  |   |                     | 
|First American Payment
    Systems                                                                                            |  |                      |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 12.19%  (LIBOR + 10.50%), (1.00% floor) due July 5, 2024(4)(5)(16)                      |  | $                    | 1,500,000  |  |      | $ | 1,459,912  |                   |  | $ | 1,485,000           | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Lighthouse Network, LLC
    (f/k/a Harbortouch Payments, LLC)                                                                 |  |                      |            |  |      |   |            |                   |  |   |                     | 
|senior
    secured notes, 6.38%  (LIBOR + 4.50%), (1.00% floor) due November 30, 2024(4)(5)(16)                               |  |                      | 3,491,250  |  |      |   | 3,474,439  |                   |  |   | 3,513,070           | 
|second
    lien senior secured notes, 10.38%  (LIBOR + 8.50%), (1.00% floor) due November 30, 2025(4)(5)(16)                  |  |                      | 12,000,000 |  |      |   | 11,883,297 |                   |  |   | 11,955,000          | 
|Total
    Financial Intermediaries                                                                                            |  |                      |            |  |      | $ | 16,817,648 |                   |  | $ | 16,953,070          | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Healthcare                                                                                                                    |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Keystone Acquisition Corp.                                                                                                    |  |                      |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 7.55%  (LIBOR + 5.25%), (1.00% floor) due May 1, 2024(4)(5)(6)(15)                       |  | $                    | 2,985,000  |  |      | $ | 2,930,804  |                   |  | $ | 2,992,463           | 
|second
    lien senior secured notes, 11.55%  (LIBOR + 9.25%), (1.00% floor) due May 1, 2025(4)(5)(6)(15)                     |  |                      | 10,000,000 |  |      |   | 9,813,479  |                   |  |   | 10,050,000          | 
|Total
    Healthcare                                                                                                          |  |                      |            |  |      | $ | 12,744,283 |                   |  | $ | 13,042,463          | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|IT Consulting                                                                                                                 |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Unitek Global Services,
    Inc.                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured tranche B term loan, 10.81%  (LIBOR + 8.50%), (1.00% floor)  due January 13, 2019(4)(5)(15)     |  | $                    | 2,638,748  |  |      | $ | 2,630,105  |                   |  | $ | 2,665,135           | 
|Total
    IT Consulting                                                                                                       |  |                      |            |  |      | $ | 2,630,105  |                   |  | $ | 2,665,135           | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Logistics                                                                                                                     |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Capstone Logistics Acquisition,
    Inc.                                                                                      |  |                      |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 6.38%  (LIBOR + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(16)                   |  | $                    | 10,573,496 |  |      | $ | 10,556,903 |                   |  | $ | 10,338,870          | 
|Total
    Logistics                                                                                                           |  |                      |            |  |      | $ | 10,556,903 |                   |  | $ | 10,338,870          | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Printing and Publishing                                                                                                       |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Merrill Communications,
    LLC                                                                                               |  |                      |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 7.02%  (LIBOR + 5.25%), (1.00% floor ) due June 01, 2022(4)(5)(6)(15)                    |  | $                    | 11,374,901 |  |      | $ | 11,304,646 |                   |  | $ | 11,460,213          | 
|Total
    Printing and Publishing                                                                                             |  |                      |            |  |      | $ | 11,304,646 |                   |  | $ | 11,460,213          | 
|                                                                                                                              |  |                      |            |  |      |   |            |                   |  |   |                     | 
|Software                                                                                                                      |  |                      |            |  |      |   |            |                   |  |   |                     | 
|ECI Software Solutions                                                                                                        |  |                      |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 10.30%  (LIBOR + 8.00%), (1.00% floor) due September 29, 2025(4)(5)(15)                 |  | $                    | 15,000,000 |  |      | $ | 14,904,472 |                   |  | $ | 14,925,000          | 
|Help/Systems Holdings,
    Inc.                                                                                               |  |                      |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 10.05%  (LIBOR + 7.75%), (1.00% floor) due March 27, 2026(4)(5)(15)                     |  |                      | 15,500,000 |  |      |   | 15,491,875 |                   |  |   | 15,480,625          | 
|Total
    Software                                                                                                            |  |                      |            |  |      | $ | 30,396,347 |                   |  | $ | 30,405,625          | 





(continued on next page)



See Accompanying Notes.



2







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF
INVESTMENTS (unaudited) — (continued)

March 31, 2018



|COMPANY/INVESTMENT(1)(20)                                                                                     |  | PRINCIPAL

    AMOUNT |            |  | COST |   |             | FAIR
    VALUE(2) |  |   | %
    of Net Assets | 
|------------------------------------------------------------------------------------------------------------- |  | --------------------- | ---------- |  | ---- | - | ----------- | ----------------- |  | - | ------------------- | 
|Senior Secured Notes
    - (continued)                                                                        |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Telecommunications Services                                                                                   |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Birch Communications, Inc.                                                                                    |  |                       |            |  |      |   |             |                   |  |   |                     | 
|first
    lien senior secured notes, 8.96%  (LIBOR + 7.25%), (1.00% floor) due July 17, 2020(4)(5)(6)(14)(15) |  | $                     | 20,867,475 |  |      | $ | 20,317,985  |                   |  | $ | 20,606,632          | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Global Tel Link Corp                                                                                          |  |                       |            |  |      |   |             |                   |  |   |                     | 
|second
    lien senior secured notes, 10.55%  (LIBOR + 8.25%), (1.25% floor) due November 23, 2020(4)(5)(15)  |  |                       | 17,000,000 |  |      |   | 16,913,197  |                   |  |   | 16,978,750          | 
|Total
    Telecommunication Services                                                                          |  |                       |            |  |      | $ | 37,231,182  |                   |  | $ | 37,585,382          | 
|Total
    Senior Secured Notes                                                                                |  |                       |            |  |      | $ | 241,937,188 |                   |  | $ | 241,850,310         | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Subordinated Debt                                                                                             |  |                       |            |  |      |   |             |                   |  |   |                     | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|IT Consulting                                                                                                 |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Unitek Global Services,
    Inc.                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Holdco
    PIK Debt Cash 0.00%, 15.00% PIK, due July 13, 2019(3)(5)                                           |  | $                     | 808,619    |  |      | $ | 807,043     |                   |  | $ | 816,705             | 
|Total
    IT Consulting                                                                                       |  |                       |            |  |      | $ | 807,043     |                   |  | $ | 816,705             | 
|Total
    Subordinated Debt                                                                                   |  |                       |            |  |      | $ | 807,043     |                   |  | $ | 816,705             | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Collateralized Loan
    Obligation - Debt Investments                                                         |  |                       |            |  |      |   |             |                   |  |   |                     | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Structured Finance                                                                                            |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Jamestown CLO V Ltd.                                                                                          |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    secured class F notes, 7.58% (LIBOR + 5.85%), due January 17, 2027(4)(5)(11)(12)(15)                  |  | $                     | 4,000,000  |  |      | $ | 3,326,914   |                   |  | $ | 3,513,200           | 
|Total
    Structured Finance                                                                                  |  |                       |            |  |      | $ | 3,326,914   |                   |  | $ | 3,513,200           | 
|Total
    Collateralized Loan Obligation - Debt Investments                                                   |  |                       |            |  |      | $ | 3,326,914   |                   |  | $ | 3,513,200           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Collateralized Loan
    Obligation - Equity Investments                                                       |  |                       |            |  |      |   |             |                   |  |   |                     | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Structured Finance                                                                                            |  |                       |            |  |      |   |             |                   |  |   |                     | 
|AMMC CLO XI, Ltd.                                                                                             |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 4.16% due October 30, 2023(9)(11)(12)(17)                         |  | $                     | 6,000,000  |  |      | $ | 3,727,500   |                   |  | $ | 3,300,000           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|AMMC CLO XII, Ltd.                                                                                            |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 15.30% due November 10, 2030(9)(11)(12)(17)                       |  |                       | 12,921,429 |  |      |   | 6,689,801   |                   |  |   | 6,202,286           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Ares XXVI CLO Ltd.                                                                                            |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 0.00% due April 15, 2025(9)(10)(11)(12)(17)                       |  |                       | 17,630,000 |  |      |   | 2,203,459   |                   |  |   | 352,600             | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Carlyle Global Market Strategies
    CLO 2013-2, Ltd.                                                         |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 26.19% due January 18, 2029(9)(11)(12)(17)                        |  |                       | 9,250,000  |  |      |   | 5,955,239   |                   |  |   | 6,346,305           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Catamaran CLO 2012-1 Ltd.                                                                                     |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield -0.49% due December 20, 2023(9)(10)(11)(12)(17)                   |  |                       | 23,000,000 |  |      |   | 5,714,605   |                   |  |   | 2,760,000           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Cedar Funding II CLO, Ltd.                                                                                    |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 13.90% due March 09, 2025(9)(11)(12)(17)                          |  |                       | 18,000,000 |  |      |   | 13,694,781  |                   |  |   | 12,600,000          | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Cedar Funding VI CLO, Ltd.                                                                                    |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 14.40% due October 20, 2028(9)(11)(12)(17)                        |  |                       | 7,700,000  |  |      |   | 7,090,870   |                   |  |   | 7,315,000           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CIFC Funding 2012-1, Ltd.                                                                                     |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 0.00% due August 14, 2024(9)(10)(11)(12)(17)                      |  |                       | 12,750,000 |  |      |   | 4,867       |                   |  |   | -                   | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CIFC Funding 2014-3, Ltd.                                                                                     |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 10.06% due July 22, 2026(9)(11)(12)(17)                           |  |                       | 10,000,000 |  |      |   | 6,798,373   |                   |  |   | 5,800,000           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Galaxy XVII CLO, Ltd.                                                                                         |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 25.27% due July 15, 2026(9)(11)(12)(17)                           |  |                       | 2,000,000  |  |      |   | 906,470     |                   |  |   | 963,944             | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|GoldenTree Loan Opportunities
    VII, Ltd.                                                                   |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 11.23% due April 25, 2025(9)(11)(12)(17)                          |  |                       | 4,670,000  |  |      |   | 2,581,084   |                   |  |   | 2,475,100           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Hull Street CLO Ltd.                                                                                          |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 2.69% due October 18, 2026(9)(11)(12)(17)                         |  |                       | 5,000,000  |  |      |   | 2,586,042   |                   |  |   | 1,350,000           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Ivy Hill Middle Market
    Credit Fund VII, Ltd.                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 18.00% due October 20, 2029(9)(11)(12)(17)                        |  |                       | 10,800,000 |  |      |   | 8,977,708   |                   |  |   | 7,814,379           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Jamestown CLO V Ltd.                                                                                          |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 2.98% due January 17, 2027(9)(11)(12)(17)                         |  |                       | 8,000,000  |  |      |   | 4,803,652   |                   |  |   | 2,800,000           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|KVK CLO 2013-2, Ltd.                                                                                          |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 12.68% due January 15, 2026(9)(11)(12)(17)                        |  |                       | 14,200,000 |  |      |   | 6,594,779   |                   |  |   | 4,828,000           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Madison Park Funding XIX,
    Ltd.                                                                            |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 14.81% due January 22, 2028(9)(11)(12)(17)                        |  |                       | 5,422,500  |  |      |   | 5,331,932   |                   |  |   | 6,073,200           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Regatta V Funding, Ltd.                                                                                       |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 17.64% due October 25, 2026(9)(11)(12)(17)                        |  |                       | 3,000,000  |  |      |   | 1,849,725   |                   |  |   | 1,830,000           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Steele Creek CLO 2014-1,
    Ltd.                                                                             |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 16.68% due April 21, 2031(9)(11)(12)(17)                          |  |                       | 6,000,000  |  |      |   | 4,262,606   |                   |  |   | 4,680,000           | 
|                                                                                                              |  |                       |            |  |      |   |             |                   |  |   |                     | 
|Telos CLO 2013-3, Ltd.                                                                                        |  |                       |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 14.26% due July 17, 2026(9)(11)(12)(17)                           |  |                       | 14,447,790 |  |      |   | 9,766,285   |                   |  |   | 8,379,718           | 





(continued on next page)



See Accompanying Notes.





3









OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF
INVESTMENTS (unaudited) — (continued)

March 31, 2018



|COMPANY/INVESTMENT(1)(20)                                                              |  | PRINCIPALAMOUNT/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 21.74% due January 17, 2030(9)(11)(12)(17) |  | $                      | 11,350,000 |  |      | $ | 7,548,905   |                   |  | $ | 7,624,573           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Telos CLO 2014-5, Ltd.                                                                 |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 27.67% due April 17, 2025(9)(11)(12)(17)   |  |                        | 28,500,000 |  |      |   | 19,515,058  |                   |  |   | 19,095,000          | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Venture XIV, Ltd.                                                                      |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 17.33%  due August 28, 2029(9)(11)(12)(17) |  |                        | 5,250,000  |  |      |   | 3,311,040   |                   |  |   | 2,887,500           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Venture XVII, Ltd.                                                                     |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 19.86% due July 15, 2026(9)(11)(12)(17)    |  |                        | 6,200,000  |  |      |   | 4,354,962   |                   |  |   | 4,096,060           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Venture XXIV CLO, Ltd.                                                                 |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 16.96% due October 20, 2028(9)(11)(12)(17) |  |                        | 3,750,000  |  |      |   | 3,392,301   |                   |  |   | 3,487,500           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Vibrant CLO V, Ltd.                                                                    |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 17.42% due January 20, 2029(9)(11)(12)(17) |  |                        | 13,475,000 |  |      |   | 11,912,700  |                   |  |   | 11,184,250          | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|West CLO 2014-1, Ltd.                                                                  |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 23.83% due July 18, 2026(9)(11)(12)(17)    |  |                        | 9,250,000  |  |      |   | 6,541,486   |                   |  |   | 6,290,000           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Windriver 2012-1 CLO, Ltd.                                                             |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 9.23% due January 15, 2024(9)(11)(12)(17)  |  |                        | 7,500,000  |  |      |   | 4,723,844   |                   |  |   | 3,990,781           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Zais CLO 6, Ltd.                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 23.20% due July 15, 2029(9)(11)(12)(17)    |  |                        | 10,500,000 |  |      |   | 8,183,999   |                   |  |   | 8,610,000           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    Equity Side Letter Related Investments(11)(12)(13)                             |  |                        |            |  |      |   | 125,000     |                   |  |   | 1,033,460           | 
|Total
    Structured Finance                                                           |  |                        |            |  |      | $ | 169,149,073 |                   |  | $ | 154,169,656         | 
|Total
    Collateralized Loan Obligation  - Equity Investments                         |  |                        |            |  |      | $ | 169,149,073 |                   |  | $ | 154,169,656         | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Common Stock                                                                           |  |                        |            |  |      |   |             |                   |  |   |                     | 
|IT Consulting                                                                          |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Unitek Global Services                                                                 |  |                        |            |  |      |   |             |                   |  |   |                     | 
|common
    equity(7)                                                                   |  |                        | 1,244,188  |  |      | $ | 684,960     |                   |  | $ | 1,741,863           | 
|Total
    IT Consulting                                                                |  |                        |            |  |      | $ | 684,960     |                   |  | $ | 1,741,863           | 
|Total
    Common Stock                                                                 |  |                        |            |  |      | $ | 684,960     |                   |  | $ | 1,741,863           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Preferred Equity                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|IT Consulting                                                                          |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Unitek Global Services,
    Inc.                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Series
    A Senior Preferred Equity(7)                                                |  |                        | 3,002,455  |  |      | $ | 2,762,421   |                   |  | $ | 3,422,798           | 
|Series
    A Preferred Equity(7)                                                       |  |                        | 5,706,866  |  |      |   | 3,677,000   |                   |  |   | 8,731,505           | 
|Total
    IT Consulting                                                                |  |                        |            |  |      | $ | 6,439,421   |                   |  | $ | 12,154,303          | 
|Total
    Preferred Equity                                                             |  |                        |            |  |      | $ | 6,439,421   |                   |  | $ | 12,154,303          | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Warrants                                                                               |  |                        |            |  |      |   |             |                   |  |   |                     | 
|IT Consulting                                                                          |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Unitek Global Services,
    Inc.                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Warrants
    to purchase common stock(7)                                               |  |                        | 159,795    |  |      | $ | -           |                   |  | $ | -                   | 
|Total
    IT Consulting                                                                |  |                        |            |  |      | $ | -           |                   |  | $ | -                   | 
|Total
    Warrants                                                                     |  |                        |            |  |      | $ | -           |                   |  | $ | -                   | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Other Investments                                                                      |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Software                                                                               |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Algorithmic Implementations, Inc. (d/b/a "Ai
    Squared")                             |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Earnout
    payments(7)(18)                                                            |  |                        |            |  |      |   | 500,000     |                   |  |   | -                   | 
|Total
    Software                                                                     |  |                        |            |  |      | $ | 500,000     |                   |  | $ | -                   | 
|Total
    Other Investments                                                            |  |                        |            |  |      | $ | 500,000     |                   |  | $ | -                   | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Total
    Investments in Securities(8)                                                 |  |                        |            |  |      | $ | 422,844,599 |                   |  | $ | 414,246,037         | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Cash Equivalents                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|First
    American Government Obligations Fund(19)                                     |  |                        |            |  |      | $ | 48,805,440  |                   |  | $ | 48,805,440          | 
|Total
    Cash Equivalents                                                             |  |                        |            |  |      | $ | 48,805,440  |                   |  | $ | 48,805,440          | 
|Total Investments in Securities
    and Cash Equivalents                               |  |                        |            |  |      | $ | 471,650,039 |                   |  | $ | 463,051,477         | 



See Accompanying Notes.





4







OXFORD SQUARE CAPITAL CORP.

CONSOLIDATED SCHEDULE OF
INVESTMENTS (unaudited) — (continued)

March 31, 2018










| | (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 $6,589,535 of principal amount of debt investments which contain a PIK provision at March 31, 2018.
| | --- | ----------------------------------------------------------------------------------------------------------------------

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

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

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

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

| | (8) | Aggregate gross unrealized appreciation for federal income tax purposes is $18,948,302; aggregate gross unrealized depreciation
for federal income tax purposes is $71,680,596. Net unrealized depreciation is $52,732,294 based upon a tax cost basis of $466,978,331.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

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

| | (11) | Indicates assets that the Company believes do not represent “qualifying assets” under Section 55(a) of the 1940
Act. Qualifying assets must represent at least 70% of the Company’s total assets at the time of acquisition of any additional
non-qualifying assets. As of March 31, 2018, the Company held qualifying assets that represented 64.9% 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, 2018.
| | ---- | -------------------------------------------------------------------------------

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



See Accompanying Notes.



5







OXFORD SQUARE CAPITAL CORP.
 
CONSOLIDATED SCHEDULE OF INVESTMENTS
December  31, 2017





|COMPANY/INVESTMENT(1)(20)                                                                                                    |  | PRINCIPAL
     AMOUNT |            |  | COST |   |            | FAIR
    VALUE(2) |  |   | %
    of Net Assets | 
|---------------------------------------------------------------------------------------------------------------------------- |  | --------------------- | ---------- |  | ---- | - | ---------- | ----------------- |  | - | ------------------- | 
|Senior Secured Notes                                                                                                         |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Aerospace and Defense                                                                                                        |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Novetta, LLC                                                                                                                 |  |                       |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 6.70% (LIBOR + 5.00%), (1.00% floor) due October 16, 2022(4)(5)(6)(15)                  |  | $                     | 5,586,000  |  |      | $ | 5,534,900  |                   |  | $ | 5,399,819           | 
|Total
    Aerospace and Defense                                                                                              |  |                       |            |  |      | $ | 5,534,900  |                   |  | $ | 5,399,819           | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Business Services                                                                                                            |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Imagine! Print Solutions                                                                                                     |  |                       |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 10.45% (LIBOR + 8.75%), (1.00% floor) due June 21, 2023(4)(5)(15)                      |  | $                     | 15,000,000 |  |      | $ | 14,815,027 |                   |  | $ | 14,400,000          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Intralinks, Inc.                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 5.70% (LIBOR + 4.00%), (1.00% floor) due November 14, 2024(4)(5)(15)                    |  |                       | 5,000,000  |  |      |   | 4,975,253  |                   |  |   | 4,968,750           | 
|second
    lien senior secured notes, 9.70% (LIBOR + 8.00%), (1.00% floor) due November 14, 2025(4)(5)(6)(15)                |  |                       | 10,560,000 |  |      |   | 10,492,764 |                   |  |   | 10,494,000          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Polycom, Inc.                                                                                                                |  |                       |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 11.52% (LIBOR + 10.00%), (1.00% floor) due September 27, 2024(4)(5)(16)                |  |                       | 13,000,000 |  |      |   | 12,759,617 |                   |  |   | 12,983,750          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Premiere Global Services,
    Inc.                                                                                           |  |                       |            |  |      |   |            |                   |  |   |                     | 
|senior
    secured notes, 7.90% (LIBOR + 6.50%), (1.00% floor) due December 8, 2021(4)(5)(6)(14)(15)                         |  |                       | 15,605,055 |  |      |   | 14,450,063 |                   |  |   | 15,312,460          | 
|second
    lien senior secured notes, 10.85% (LIBOR + 9.50%), (1.00% floor) due June 6, 2022(4)(5)(14)(16)                   |  |                       | 10,000,000 |  |      |   | 9,739,241  |                   |  |   | 9,341,700           | 
|Total
    Business Services                                                                                                  |  |                       |            |  |      | $ | 67,231,965 |                   |  | $ | 67,500,660          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Consumer Services                                                                                                            |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Jackson Hewitt Tax Service,
    Inc.                                                                                         |  |                       |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 8.38% (LIBOR + 7.00%), (1.00% floor) due July 30, 2020(4)(5)(6)(15)                     |  | $                     | 19,601,471 |  |      | $ | 19,318,775 |                   |  | $ | 19,282,947          | 
|Total
    Consumer Services                                                                                                  |  |                       |            |  |      | $ | 19,318,775 |                   |  | $ | 19,282,947          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Diversified Insurance                                                                                                        |  |                       |            |  |      |   |            |                   |  |   |                     | 
|AmeriLife Group LLC                                                                                                          |  |                       |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 6.32%  (LIBOR + 4.75%), (1.00% floor)  due July 10, 2022(4)(5)(6)(16)                   |  | $                     | 15,408,145 |  |      | $ | 15,294,886 |                   |  | $ | 15,177,023          | 
|Total
    Diversified Insurance                                                                                              |  |                       |            |  |      | $ | 15,294,886 |                   |  | $ | 15,177,023          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Education                                                                                                                    |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Edmentum, Inc. (f/k/a Plato,
    Inc.)                                                                                       |  |                       |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 7.88%  (LIBOR + 4.50%), (1.00% floor) Cash, 2.00% PIK due June 10, 2019(3)(4)(5)(6)(15) |  | $                     | 5,765,441  |  |      | $ | 5,745,684  |                   |  | $ | 4,473,002           | 
|Total
    Education                                                                                                          |  |                       |            |  |      | $ | 5,745,684  |                   |  | $ | 4,473,002           | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Financial Intermediaries                                                                                                     |  |                       |            |  |      |   |            |                   |  |   |                     | 
|First American Payment
    Systems                                                                                           |  |                       |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 11.89%  (LIBOR + 10.50%), (1.00% floor) due July 5, 2024(4)(5)(16)                     |  | $                     | 1,500,000  |  |      | $ | 1,458,866  |                   |  | $ | 1,492,515           | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Lighthouse Network                                                                                                           |  |                       |            |  |      |   |            |                   |  |   |                     | 
|senior
    secured notes, 6.07%  (LIBOR + 4.50%), (1.00% floor) due November 30, 2024(4)(5)(16)                              |  | $                     | 3,500,000  |  |      | $ | 3,482,683  |                   |  | $ | 3,506,580           | 
|second
    lien senior secured notes, 10.07%  (LIBOR + 8.50%), (1.00% floor) due November 30, 2025(4)(5)(16)                 |  |                       | 12,000,000 |  |      |   | 11,880,523 |                   |  |   | 11,940,000          | 
|Total
    Financial Intermediaries                                                                                           |  |                       |            |  |      | $ | 16,822,072 |                   |  | $ | 16,939,095          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Healthcare                                                                                                                   |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Keystone Acquisition Corp.                                                                                                   |  |                       |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 6.94%  (LIBOR + 5.25%), (1.00% floor) due May 1, 2024(4)(5)(6)(15)                      |  | $                     | 2,992,500  |  |      | $ | 2,935,933  |                   |  | $ | 3,003,722           | 
|second
    lien senior secured notes, 10.94%  (LIBOR + 9.25%), (1.00% floor) due May 1, 2025(4)(5)(6)(15)                    |  |                       | 10,000,000 |  |      |   | 9,805,957  |                   |  |   | 9,950,000           | 
|Total
    Healthcare                                                                                                         |  |                       |            |  |      | $ | 12,741,890 |                   |  | $ | 12,953,722          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|IT Consulting                                                                                                                |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Unitek Global Services,
    Inc.                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured tranche B term loan, 10.20%  (LIBOR + 8.50%), (1.00% floor)  due January 13, 2019(4)(5)(15)    |  | $                     | 2,638,748  |  |      | $ | 2,627,442  |                   |  | $ | 2,665,135           | 
|Total
    IT Consulting                                                                                                      |  |                       |            |  |      | $ | 2,627,442  |                   |  | $ | 2,665,135           | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Logistics                                                                                                                    |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Capstone Logistics Acquisition,
    Inc.                                                                                     |  |                       |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 6.07%  (LIBOR + 4.50%), (1.00% floor) due October 7, 2021(4)(5)(6)(16)                  |  | $                     | 10,573,496 |  |      | $ | 10,555,951 |                   |  | $ | 10,406,118          | 
|Total
    Logistics                                                                                                          |  |                       |            |  |      | $ | 10,555,951 |                   |  | $ | 10,406,118          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Printing and Publishing                                                                                                      |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Merrill Communications,
    LLC                                                                                              |  |                       |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 6.63%  (LIBOR + 5.25%), (1.00% floor ) due June 01, 2022(4)(5)(6)(15)                   |  | $                     | 11,374,901 |  |      | $ | 11,300,971 |                   |  | $ | 11,431,776          | 
|Total
    Printing and Publishing                                                                                            |  |                       |            |  |      | $ | 11,300,971 |                   |  | $ | 11,431,776          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Software                                                                                                                     |  |                       |            |  |      |   |            |                   |  |   |                     | 
|ECI Software Solutions                                                                                                       |  |                       |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 9.69%  (LIBOR + 8.00%), (1.00% floor) due September 29, 2025(4)(5)(15)                 |  | $                     | 15,000,000 |  |      | $ | 14,898,256 |                   |  | $ | 14,925,000          | 
|Help/Systems Holdings,
    Inc.                                                                                              |  |                       |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 11.19%  (LIBOR + 9.50%), (1.00% floor) due October 8, 2022(4)(5)(15)                   |  |                       | 10,000,000 |  |      |   | 9,719,036  |                   |  |   | 9,841,700           | 
|Total
    Software                                                                                                           |  |                       |            |  |      | $ | 24,617,292 |                   |  | $ | 24,766,700          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Telecommunications Services                                                                                                  |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Aricent Technologies, Inc.                                                                                                   |  |                       |            |  |      |   |            |                   |  |   |                     | 
|second
    lien senior secured notes, 9.97%  (LIBOR + 8.50%), (1.00% floor) due April 14, 2022(4)(5)(16)                     |  | $                     | 14,000,000 |  |      | $ | 14,007,813 |                   |  | $ | 14,077,000          | 
|                                                                                                                             |  |                       |            |  |      |   |            |                   |  |   |                     | 
|Birch Communications, Inc.                                                                                                   |  |                       |            |  |      |   |            |                   |  |   |                     | 
|first
    lien senior secured notes, 8.60%  (LIBOR + 7.25%), (1.00% floor) due July 17, 2020(4)(5)(6)(14)(15)                |  |                       | 21,171,285 |  |      |   | 20,571,906 |                   |  |   | 20,112,721          | 



(continued on next page)



See Accompanying Notes.





6









OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS
- (continued)

December 31, 2017





|COMPANY/INVESTMENT(1)(20)                                                                                   |  | PRINCIPAL
    AMOUNT |            |  | COST |   |             | FAIR
    VALUE(2) |  |   | %
    of Net Assets | 
|----------------------------------------------------------------------------------------------------------- |  | -------------------- | ---------- |  | ---- | - | ----------- | ----------------- |  | - | ------------------- | 
|Senior Secured Notes
    - (continued)                                                                      |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Telecommunications Services
    (continued)                                                                 |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Global Tel Link Corp                                                                                        |  |                      |            |  |      |   |             |                   |  |   |                     | 
|second
    lien senior secured notes, 9.94%  (LIBOR + 8.25%), (1.25% floor) due November 23, 2020(4)(5)(15) |  |                      | 17,000,000 |  |      |   | 16,906,033  |                   |  |   | 16,978,750          | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Total
    Telecommunication Services                                                                        |  |                      |            |  |      | $ | 51,485,752  |                   |  | $ | 51,168,471          | 
|Total
    Senior Secured Notes                                                                              |  |                      |            |  |      | $ | 243,277,580 |                   |  | $ | 242,164,468         | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Subordinated Debt                                                                                           |  |                      |            |  |      |   |             |                   |  |   |                     | 
|IT Consulting                                                                                               |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Unitek Global Services,
    Inc.                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Holdco
    PIK Debt Cash 0.00%, 15.00% PIK, due July 13, 2019(3)(5)                                         |  | $                    | 778,766    |  |      | $ | 776,917     |                   |  | $ | 786,554             | 
|Total
    IT Consulting                                                                                     |  |                      |            |  |      | $ | 776,917     |                   |  | $ | 786,554             | 
|Total
    Subordinated Debt                                                                                 |  |                      |            |  |      | $ | 776,917     |                   |  | $ | 786,554             | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Collateralized Loan
    Obligation - Debt Investments                                                       |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Structured Finance                                                                                          |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Catamaran CLO 2012-1 Ltd.                                                                                   |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    secured class F notes, 7.88% (LIBOR + 6.25%), due December 20, 2023(4)(5)(11)(12)(15)               |  | $                    | 1,250,000  |  |      | $ | 1,185,390   |                   |  | $ | 1,250,000           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Jamestown CLO V Ltd.                                                                                        |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    secured class F notes, 7.20% (LIBOR + 5.85%), due January 17, 2027(4)(5)(11)(12)(15)                |  |                      | 4,000,000  |  |      |   | 3,308,060   |                   |  |   | 3,470,000           | 
|Total
    Structured Finance                                                                                |  |                      |            |  |      | $ | 4,493,450   |                   |  | $ | 4,720,000           | 
|Total
    Collateralized Loan Obligation - Debt Investments                                                 |  |                      |            |  |      | $ | 4,493,450   |                   |  | $ | 4,720,000           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Collateralized Loan
    Obligation - Equity Investments                                                     |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Structured Finance                                                                                          |  |                      |            |  |      |   |             |                   |  |   |                     | 
|AMMC CLO XI, Ltd.                                                                                           |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 5.02% due October 30, 2023(9)(11)(12)(17)                       |  | $                    | 6,000,000  |  |      | $ | 3,677,571   |                   |  | $ | 3,180,000           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|AMMC CLO XII, Ltd.                                                                                          |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 15.85% due November 10, 2030(9)(11)(12)(17)                     |  |                      | 12,921,429 |  |      |   | 6,771,090   |                   |  |   | 6,848,357           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Ares XXV CLO Ltd.                                                                                           |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 0.00% due January 17, 2024(9)(10)(11)(12)(17)                   |  |                      | 15,500,000 |  |      |   | 317,125     |                   |  |   | -                   | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Ares XXVI CLO Ltd.                                                                                          |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 0.60% due April 15, 2025(9)(11)(12)(17)                         |  |                      | 17,630,000 |  |      |   | 3,939,835   |                   |  |   | 1,969,952           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Carlyle Global Market Strategies
    CLO 2013-2, Ltd.                                                       |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 21.86% due January 18, 2029(9)(11)(12)(17)                      |  |                      | 9,250,000  |  |      |   | 5,714,900   |                   |  |   | 6,485,378           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Catamaran CLO 2012-1 Ltd.                                                                                   |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield -3.04% due December 20, 2023(9)(11)(12)(17)                     |  |                      | 23,000,000 |  |      |   | 9,100,628   |                   |  |   | 4,140,000           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Cedar Funding II CLO, Ltd.                                                                                  |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 14.01% due March 09, 2025(9)(11)(12)(17)                        |  |                      | 18,000,000 |  |      |   | 13,720,760  |                   |  |   | 13,320,000          | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Cedar Funding VI CLO, Ltd.                                                                                  |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 13.91% due October 20, 2028(9)(11)(12)(17)                      |  |                      | 7,700,000  |  |      |   | 6,979,156   |                   |  |   | 6,776,000           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CIFC Funding 2012-1, Ltd.                                                                                   |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 0.00% due August 14, 2024(9)(10)(11)(12)(17)                    |  |                      | 12,750,000 |  |      |   | 213,307     |                   |  |   | 223,125             | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CIFC Funding 2014-3, Ltd.                                                                                   |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 11.67% due July 22, 2026(9)(11)(12)(17)                         |  |                      | 10,000,000 |  |      |   | 6,865,057   |                   |  |   | 6,200,000           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Galaxy XVII CLO, Ltd.                                                                                       |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 35.05% due July 15, 2026(9)(11)(12)(17)                         |  |                      | 2,000,000  |  |      |   | 887,235     |                   |  |   | 815,304             | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|GoldenTree Loan Opportunities
    VII, Ltd.                                                                 |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 12.95% due April 25, 2025(9)(11)(12)(17)                        |  |                      | 4,670,000  |  |      |   | 2,567,366   |                   |  |   | 2,521,800           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Hull Street CLO Ltd.                                                                                        |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield -4.73% due October 18, 2026(9)(11)(12)(17)                      |  |                      | 5,000,000  |  |      |   | 2,710,747   |                   |  |   | 1,500,000           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Ivy Hill Middle Market
    Credit Fund VII, Ltd.                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 17.49% due October 20, 2029(9)(11)(12)(17)                      |  |                      | 10,800,000 |  |      |   | 8,973,086   |                   |  |   | 8,053,212           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Jamestown CLO V Ltd.                                                                                        |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 9.42% due January 17, 2027(9)(11)(12)(17)                       |  |                      | 8,000,000  |  |      |   | 4,841,345   |                   |  |   | 2,880,000           | 
|KVK CLO 2013-2, Ltd.                                                                                        |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 19.78% due January 15, 2026(9)(11)(12)(17)                      |  |                      | 14,200,000 |  |      |   | 6,731,819   |                   |  |   | 5,254,000           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Madison Park Funding XIX,
    Ltd.                                                                          |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 13.35% due January 22, 2028(9)(11)(12)(17)                      |  |                      | 5,422,500  |  |      |   | 5,300,799   |                   |  |   | 6,127,425           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Mountain Hawk III CLO,
    Ltd.                                                                             |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    M notes due April 18, 2025(11)(12)(13)                                                              |  |                      | 2,389,676  |  |      |   | -           |                   |  |   | 73,526              | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Regatta V Funding, Ltd.                                                                                     |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 20.45% due October 25, 2026(9)(11)(12)(17)                      |  |                      | 3,000,000  |  |      |   | 1,834,823   |                   |  |   | 1,920,000           | 
|                                                                                                            |  |                      |            |  |      |   |             |                   |  |   |                     | 
|Steele Creek CLO 2014-1,
    Ltd.                                                                           |  |                      |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 21.88% due August 21, 2026(9)(11)(12)(17)                       |  |                      | 6,000,000  |  |      |   | 4,309,580   |                   |  |   | 4,320,000           | 



(continued on next page)



See Accompanying Notes.





7









OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS
- (continued)

December 31, 2017





|COMPANY/INVESTMENT(1)(20)                                                              |  | PRINCIPALAMOUNT/SHARES |            |  | 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 17.45% due July 17, 2026(9)(11)(12)(17)    |  |                        | 14,447,790 |  |      |   | 9,548,557   |                   |  |   | 8,090,762           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Telos CLO 2013-4, Ltd.                                                                 |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 30.14% due July 17, 2024(9)(11)(12)(17)    |  |                        | 11,350,000 |  |      |   | 7,468,980   |                   |  |   | 6,810,000           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Telos CLO 2014-5, Ltd.                                                                 |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 19.95% due April 17, 2025(9)(11)(12)(17)   |  |                        | 28,500,000 |  |      |   | 18,258,468  |                   |  |   | 16,267,667          | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Venture XIV, Ltd.                                                                      |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 17.23%  due August 28, 2029(9)(11)(12)(17) |  |                        | 5,250,000  |  |      |   | 3,324,796   |                   |  |   | 2,835,000           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Venture XVII, Ltd.                                                                     |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 19.92% due July 15, 2026(9)(11)(12)(17)    |  |                        | 6,200,000  |  |      |   | 4,196,382   |                   |  |   | 3,919,298           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Venture XXIV CLO, Ltd.                                                                 |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 15.98% due October 20, 2028(9)(11)(12)(17) |  |                        | 3,750,000  |  |      |   | 3,331,706   |                   |  |   | 3,375,000           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Vibrant CLO V, Ltd.                                                                    |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 17.01% due January 20, 2029(9)(11)(12)(17) |  |                        | 13,475,000 |  |      |   | 11,931,713  |                   |  |   | 11,319,000          | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|West CLO 2014-1, Ltd.                                                                  |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 27.80% due July 18, 2026(9)(11)(12)(17)    |  |                        | 9,250,000  |  |      |   | 6,472,541   |                   |  |   | 6,290,000           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Windriver 2012-1 CLO, Ltd.                                                             |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 13.19% due January 15, 2024(9)(11)(12)(17) |  |                        | 7,500,000  |  |      |   | 4,823,259   |                   |  |   | 4,105,937           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Zais CLO 6, Ltd.                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    subordinated notes, estimated yield 21.30% due July 15, 2029(9)(11)(12)(17)    |  |                        | 10,500,000 |  |      |   | 8,408,861   |                   |  |   | 9,030,000           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|CLO
    Equity Side Letter Related Investments(11)(12)(13)                             |  |                        |            |  |      |   | 125,000     |                   |  |   | 1,353,363           | 
|Total
    Structured Finance                                                           |  |                        |            |  |      | $ | 173,346,492 |                   |  | $ | 156,004,106         | 
|Total
    Collateralized Loan Obligation  - Equity Investments                         |  |                        |            |  |      | $ | 173,346,492 |                   |  | $ | 156,004,106         | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Common Stock                                                                           |  |                        |            |  |      |   |             |                   |  |   |                     | 
|IT Consulting                                                                          |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Unitek Global Services                                                                 |  |                        |            |  |      |   |             |                   |  |   |                     | 
|common
    equity(7)                                                                   |  |                        | 1,244,188  |  |      | $ | 684,960     |                   |  | $ | 3,048,261           | 
|Total
    IT Consulting                                                                |  |                        |            |  |      | $ | 684,960     |                   |  | $ | 3,048,261           | 
|Total
    Common Stock                                                                 |  |                        |            |  |      | $ | 684,960     |                   |  | $ | 3,048,261           | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Preferred Equity                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|IT Consulting                                                                          |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Unitek Global Services,
    Inc.                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Series
    A Senior Preferred Equity(7)                                                |  |                        | 3,002,455  |  |      | $ | 2,762,421   |                   |  | $ | 3,272,675           | 
|Series
    A Preferred Equity(7)                                                       |  |                        | 5,706,866  |  |      |   | 3,677,000   |                   |  |   | 8,446,162           | 
|Total
    IT Consulting                                                                |  |                        |            |  |      | $ | 6,439,421   |                   |  | $ | 11,718,837          | 
|Total
    Preferred Equity                                                             |  |                        |            |  |      | $ | 6,439,421   |                   |  | $ | 11,718,837          | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Warrants                                                                               |  |                        |            |  |      |   |             |                   |  |   |                     | 
|IT Consulting                                                                          |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Unitek Global Services,
    Inc.                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Warrants
    to purchase common stock(7)                                               |  |                        | 159,795    |  |      | $ | -           |                   |  | $ | -                   | 
|Total
    IT Consulting                                                                |  |                        |            |  |      | $ | -           |                   |  | $ | -                   | 
|Total
    Warrants                                                                     |  |                        |            |  |      | $ | -           |                   |  | $ | -                   | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Other Investments                                                                      |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Software                                                                               |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Algorithmic Implementations, Inc. (d/b/a "Ai
    Squared")                             |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Earnout
    payments(7)(18)                                                            |  |                        |            |  |      |   | 500,000     |                   |  |   | -                   | 
|Total
    Software                                                                     |  |                        |            |  |      | $ | 500,000     |                   |  | $ | -                   | 
|Total
    Other Investments                                                            |  |                        |            |  |      | $ | 500,000     |                   |  | $ | -                   | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Total
    Investments in Securities(8)                                                 |  |                        |            |  |      | $ | 429,518,820 |                   |  | $ | 418,442,226         | 
|                                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|Cash Equivalents                                                                       |  |                        |            |  |      |   |             |                   |  |   |                     | 
|First
    American Government Obligations Fund(19)                                     |  |                        |            |  |      | $ | 30,013,842  |                   |  | $ | 30,013,842          | 
|Total
    Cash Equivalents                                                             |  |                        |            |  |      | $ | 30,013,842  |                   |  | $ | 30,013,842          | 
|Total Investments in Securities
    and Cash Equivalents                               |  |                        |            |  |      | $ | 459,532,662 |                   |  | $ | 448,456,068         | 



See Accompanying Notes.





8









OXFORD SQUARE CAPITAL CORP.



CONSOLIDATED SCHEDULE OF INVESTMENTS
- (continued)

December 31, 2017



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

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

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

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

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

| | (8) | Aggregate gross unrealized appreciation for federal income
tax purposes is $19,352,263; aggregate gross unrealized depreciation for federal income tax purposes is $55,593,978. Net unrealized
depreciation is $36,247,715 based upon a tax cost basis of $454,683,941.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

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

| | (11) | Indicates assets that the Company believes do not represent
“qualifying assets” under Section 55(a) of the 1940 Act Qualifying assets must represent at least 70% of the Company’s
total assets at the time of acquisition of any additional non-qualifying assets. As of  2017, the Company held qualifying
assets that represented 64.6% of its total assets.
| | ---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (12) | Investment not domiciled in the United States.
| | ---- | ----------------------------------------------

| | (13) | Fair value represents discounted cash flows associated
with fees earned from CLO equity investments.
| | ---- | ----------------------------------------------------------------------------------------------------

| | (14) | Aggregate investments represent greater than 5% of net
assets.
| | ---- | --------------------------------------------------------------

| | (15) | The principal balance outstanding for this debt investment,
in whole or in part, is indexed to 90-day LIBOR.
| | ---- | ------------------------------------------------------------------------------------------------------------

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

| | (17) | The CLO subordinated notes and income notes are considered
equity positions in the CLO funds. Equity investments are entitled to recurring distributions which are generally equal to the
remaining cash flow of the payments made by the underlying fund’s securities less contractual payments to debt holders and
fund expenses. The estimated yield indicated is based upon a current projection of the amount and timing of these recurring distributions
and the estimated amount of repayment of principal upon expected redemption. Such projections are periodically reviewed and adjusted,
and the estimated yield may not ultimately be realized.
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

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

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



See Accompanying Notes.





9







OXFORD SQUARE CAPITAL CORP.
 
CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)



|                                                                                                     |  | Three Months Ended March 31, 2018 |            |   | Three Months Ended March 31, 2017 |  
|---------------------------------------------------------------------------------------------------- |  | --------------------------------- | ---------- | - | --------------------------------- | -
|INVESTMENT INCOME                                                                                    |  |                                   |            |   |                                   |  
|From non-affiliated investments:                                                                     |  |                                   |            |   |                                   |  
|Interest income – debt investments                                                                   |  | $                                 | 5,821,737  |   |                                   | $
|Income from securitization vehicles and investments                                                  |  |                                   | 6,802,864  |   |                                   |  
|Other income                                                                                         |  |                                   | 621,983    |   |                                   |  
|Total investment income from non-affiliated investments                                              |  |                                   | 13,246,584 |   |                                   |  
|From affiliated investments:                                                                         |  |                                   |            |   |                                   |  
|Interest income – debt investments                                                                   |  |                                   | 100,216    |   |                                   |  
|Total investment income from affiliated investments                                                  |  |                                   | 100,216    |   |                                   |  
|Total investment income                                                                              |  |                                   | 13,346,800 |   |                                   |  
|EXPENSES                                                                                             |  |                                   |            |   |                                   |  
|Base management fees                                                                                 |  |                                   | 1,679,814  |   |                                   |  
|Interest expense                                                                                     |  |                                   | 1,126,080  |   |                                   |  
|Compensation expense                                                                                 |  |                                   | 260,089    |   |                                   |  
|Professional fees                                                                                    |  |                                   | 156,918    |   |                                   |  
|General and administrative                                                                           |  |                                   | 400,571    |   |                                   |  
|Total expenses before incentive fees                                                                 |  |                                   | 3,623,472  |   |                                   |  
|Net investment income incentive fees                                                                 |  |                                   | 1,000,232  |   |                                   |  
|Capital gains incentive fees                                                                         |  |                                   | —          |   |                                   |  
|Total incentive fees                                                                                 |  |                                   | 1,000,232  |   |                                   |  
|Total expenses                                                                                       |  |                                   | 4,623,704  |   |                                   |  
|Net investment income                                                                                |  |                                   | 8,723,096  |   |                                   |  
|Net change in unrealized appreciation/depreciation on investments                                    |  |                                   |            |   |                                   |  
|Non-Affiliate investments                                                                            |  |                                   | 3,351,602  |   |                                   |  
|Affiliated investments                                                                               |  |                                   | (873,570   | ) |                                   |  
|Total net change in unrealized appreciation/depreciation on investments                              |  |                                   | 2,478,032  |   |                                   |  
|Net realized gains/(losses)                                                                          |  |                                   |            |   |                                   |  
|Non-Affiliated investments                                                                           |  |                                   | 288,935    |   |                                   |  
|Extinguishment of debt                                                                               |  |                                   | —          |   |                                   |  
|Total net realized gains/(losses)                                                                    |  |                                   | 288,935    |   |                                   |  
|Net increase in net assets resulting from operations                                                 |  | $                                 | 11,490,063 |   |                                   | $
|Net increase in net assets resulting from net investment income per common share (Basic and Diluted) |  | $                                 | 0.17       |   |                                   | $
|Net increase in net assets resulting from operations per common share (Basic and Diluted)            |  | $                                 | 0.22       |   |                                   | $
|Weighted average shares of common stock outstanding:                                                 |  |                                   |            |   |                                   |  
|Basic                                                                                                |  |                                   | 51,200,060 |   |                                   |  
|Diluted                                                                                              |  |                                   | 51,200,060 |   |                                   |  
|Distributions per share                                                                              |  | $                                 | 0.20       |   |                                   | $



See Accompanying Notes.



10







OXFORD SQUARE CAPITAL CORP.
 
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS



|                                                                                                                            |  | Three Months Ended March 31, 2018 |             |   | Year Ended December 31, 2017 |  
|--------------------------------------------------------------------------------------------------------------------------- |  | --------------------------------- | ----------- | - | ---------------------------- | -
|                                                                                                                            |  | (unaudited)                       |             |   |                              |  
|Increase in net assets from operations:                                                                                     |  |                                   |             |   |                              |  
|Net investment income                                                                                                       |  | $                                 | 8,723,096   |   |                              | $
|Net change in unrealized appreciation/depreciation on investments                                                           |  |                                   | 2,478,032   |   |                              |  
|Net realized gains/(losses)                                                                                                 |  |                                   | 288,935     |   |                              |  
|Net increase in net assets resulting from operations                                                                        |  |                                   | 11,490,063  |   |                              |  
|Distributions to stockholders                                                                                               |  |                                   |             |   |                              |  
|Distributions from net investment income                                                                                    |  |                                   | (10,152,005 | ) |                              |  
|Tax return of capital distributions                                                                                         |  |                                   | —           |   |                              |  
|Total distributions to stockholders                                                                                         |  |                                   | (10,152,005 | ) |                              |  
|                                                                                                                            |  |                                   |             |   |                              |  
|Capital share transactions:                                                                                                 |  |                                   |             |   |                              |  
|Repurchase of common stock                                                                                                  |  |                                   | (5,947,490  | ) |                              |  
|Net decrease in net assets from capital share transactions                                                                  |  |                                   | (5,947,490  | ) |                              |  
|Total (decrease)/increase in net assets                                                                                     |  |                                   | (4,609,432  | ) |                              |  
|Net assets at beginning of period                                                                                           |  |                                   | 388,418,642 |   |                              |  
|Net assets at end of period (including over distributed net investment income of $26,501,171 and $25,072,262, respectively) |  | $                                 | 383,809,210 |   |                              | $
|Capital share activity:                                                                                                     |  |                                   |             |   |                              |  
|Shares repurchased                                                                                                          |  |                                   | (990,260    | ) |                              |  
|Net decrease in capital share activity                                                                                      |  |                                   | (990,260    | ) |                              |  



See Accompanying Notes.



11







OXFORD SQUARE CAPITAL CORP.
 
CONSOLIDATED STATEMENTS OF CASH FLOWS
(unaudited)



|                                                                                                                            |  | Three Months Ended March 31, 2018 |             |   | Three Months Ended March 31, 2017 |  
|--------------------------------------------------------------------------------------------------------------------------- |  | --------------------------------- | ----------- | - | --------------------------------- | -
|CASH FLOWS FROM OPERATING ACTIVITIES                                                                                        |  |                                   |             |   |                                   |  
|Net increase in net assets resulting from operations                                                                        |  | $                                 | 11,490,063  |   |                                   | $
|Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: |  |                                   |             |   |                                   |  
|Accretion of discounts on investments                                                                                       |  |                                   | (198,239    | ) |                                   |  
|Accretion of discount on notes payable and deferred debt issuance costs                                                     |  |                                   | 80,070      |   |                                   |  
|Increase in investments due to PIK                                                                                          |  |                                   | (59,321     | ) |                                   |  
|Payment of original discount on TICC CLO 2012-1 LLC                                                                         |  |                                   |             |   |                                   |  
|Purchases of investments                                                                                                    |  |                                   | (6,060,373  | ) |                                   |  
|Repayments of principal                                                                                                     |  |                                   | 24,887,326  |   |                                   |  
|Proceeds from the sale of investments                                                                                       |  |                                   | 1,412,943   |   |                                   |  
|Net realized (gains)/losses                                                                                                 |  |                                   | (288,935    | ) |                                   |  
|Reductions to CLO equity cost value                                                                                         |  |                                   | 3,930,990   |   |                                   |  
|Net change in unrealized appreciation/depreciation on investments                                                           |  |                                   | (2,478,032  | ) |                                   |  
|Decrease in interest and distributions receivable                                                                           |  |                                   | 2,315,663   |   |                                   |  
|Decrease (increase) in other assets                                                                                         |  |                                   | 9,854       |   |                                   |  
|Decrease in accrued interest payable                                                                                        |  |                                   | —           |   |                                   |  
|Decrease in base management fee and net investment income incentive fee payable                                             |  |                                   | (26,053     | ) |                                   |  
|Decrease in accrued expenses                                                                                                |  |                                   | (124,863    | ) |                                   |  
|Net cash provided by operating activities                                                                                   |  |                                   | 34,891,093  |   |                                   |  
|CASH FLOWS FROM FINANCING ACTIVITIES                                                                                        |  |                                   |             |   |                                   |  
|Distributions paid                                                                                                          |  |                                   | (10,152,005 | ) |                                   |  
|Repurchase of common stock                                                                                                  |  |                                   | (5,947,490  | ) |                                   |  
|Repayment of original proceeds of notes payable – TICC CLO 2012-1 LLC                                                       |  |                                   | —           |   |                                   |  
|Net cash used in financing activities                                                                                       |  |                                   | (16,099,495 | ) |                                   |  
|Net increase in cash and cash equivalents                                                                                   |  |                                   | 18,791,598  |   |                                   |  
|Cash, cash equivalents and restricted cash, beginning of period                                                             |  |                                   | 30,013,842  |   |                                   |  
|Cash, cash equivalents and restricted cash, end of period                                                                   |  | $                                 | 48,805,440  |   |                                   | $
|                                                                                                                            |  |                                   |             |   |                                   |  
|SUPPLEMENTAL DISCLOSURES                                                                                                    |  |                                   |             |   |                                   |  
|Cash paid for interest                                                                                                      |  | $                                 | 1,046,016   |   |                                   | $
|                                                                                                                            |  |                                   |             |   |                                   |  
|NON-CASH ACTIVITIES                                                                                                         |  |                                   |             |   |                                   |  
|Securities sold not settled                                                                                                 |  | $                                 | 1,656,745   |   |                                   | $
|Securities purchased not settled                                                                                            |  | $                                 | 18,611,209  |   |                                   | $



See Accompanying Notes.



12







OXFORD SQUARE CAPITAL CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 1. UNAUDITED INTERIM FINANCIAL STATEMENTS



Interim consolidated financial statements
of Oxford Square Capital Corp. (“OXSQ” and, together with its subsidiaries, the “Company”), formerly TICC
Capital Corp., are prepared in accordance with generally accepted accounting principles in the United States of America (“GAAP”)
for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X.
Accordingly, certain disclosures accompanying annual financial statements prepared in accordance with GAAP are omitted. The current period’s consolidated results of operations are
not necessarily indicative of results that may be achieved for the year. The interim consolidated financial statements and notes
thereto should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s
Form 10-K for the year ended December 31, 2017, as filed with the Securities and Exchange Commission (“SEC”).



NOTE 2. ORGANIZATION



Effective March 19, 2018, TICC Capital Corp.
changed its name to Oxford Square Capital Corp. The Company made this change in order to more closely align the branding of the
Company with its affiliated funds. OXSQ was incorporated under the General Corporation Laws of the State of Maryland on July 21,
2003 and is a non-diversified, closed-end investment company. The Company has elected to be regulated as a business development
company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). In addition, the
Company has elected to be treated for tax purposes as a regulated investment company (“RIC”), under Subchapter M of
the Internal Revenue Code of 1986, as amended (the “Code”). The Company’s investment objective is to maximize
its total return, by investing primarily in corporate debt securities.



The Company’s investment activities
are managed by Oxford Square Management, LLC (“Oxford Square Management”), formerly TICC Management, LLC. Oxford Square
Management is an investment adviser registered under the Investment Advisers Act of 1940, as amended. Oxford Square Management
is owned by Oxford Funds, LLC (“Oxford Funds”), formerly BDC Partners, LLC, its managing member and a related party,
and Charles M. Royce, a member of the Company’s Board of Directors (the “Board”) who holds a minority, non-controlling
interest in Oxford Square Management. Under the investment advisory agreement with Oxford Square Management (the “Investment
Advisory Agreement”), the Company has agreed to pay Oxford Square Management an annual base management fee based on its gross
assets as well as an incentive fee based on its performance. For further details please refer to “Note 7. Related Party Transactions.”



The Company’s consolidated operations
include the activities of its wholly-owned subsidiary, TICC CLO 2012-1 LLC (“2012 Securitization Issuer” or “TICC
CLO 2012-1”) for the periods during which it was held. TICC CLO 2012-1 was formed for the purpose of enabling the Company
to obtain debt financing and is operated solely for the investment activities of the Company, and the Company had substantial equity
at risk. TICC CLO 2012-1 ceased operations on August 25, 2017. During the quarter ended December 31, 2017, the Company, as collateral
manager of TICC CLO 2012-1, dissolved TICC CLO 2012-1 pursuant to Delaware law by filing a certificate of cancellation with the
Secretary of State in Delaware. Refer to “Note 6. Borrowings” for additional information on the Company’s borrowings.



NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES



BASIS OF PRESENTATION



The accompanying consolidated financial statements
include the accounts of the Company and its wholly-owned subsidiary, TICC CLO 2012-1 for the periods during which it was held.
All inter-company accounts and transactions have been eliminated in consolidation.



The Company follows the accounting and reporting
guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic
946, Financial Services — Investment Companies.Certain prior period figures have been reclassified from
those originally published in quarterly and annual reports to conform to the current period presentation for comparative purposes.



13







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  – (continued)



In the normal course of business, the Company
may enter into contracts that contain a variety of representations and provide indemnifications. The Company’s maximum exposure
under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet
occurred. However, based upon experience, the Company expects the risk of loss to be remote.



USE OF ESTIMATES



The consolidated financial statements have
been prepared in accordance with GAAP, which requires management to make estimates and assumptions that affect the amounts reported
in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates, and these differences
could be material.



CONSOLIDATION



As provided under Regulation S-X and ASC
Topic 946-810, Consolidation, the Company will generally not consolidate its investment in a company other than a wholly-owned
investment company or a controlled operating company whose business consists of providing services to the Company for the periods
during which it was held. TICC CLO 2012-1 would have been considered an investment company but for the exceptions under Sections
3(c)(1) and 3(c)(7) under the 1940 Act, and was established solely for the purpose of allowing the Company to borrow funds for
the purpose of making investments. The Company owned all of the equity in this entity and controlled the decision making power
that drove its economic performance. Accordingly, the Company consolidated TICC CLO 2012-1 in its financial statements, for the
periods which it was held, and follows the accounting and reporting guidance in ASC 946-810.



CASH, CASH EQUIVALENTS AND RESTRICTED CASH



Cash and cash equivalents consist of demand
deposits and cash held in a money market fund which contain investments with original maturities of three months or less. The Company
places its cash and cash equivalents with financial institutions and, at times, cash held in bank accounts may exceed the Federal
Deposit Insurance Corporation insured limit. Cash equivalents are classified as Level 1 assets and are included on the Company’s
Consolidated Schedule of Investments. Cash equivalents are carried at cost or amortized cost which approximates fair value.



Restricted cash represents the cash held
by the trustee of the 2012 Securitization Issuer. The amounts were 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 were not available for general corporate purposes. There was no restricted cash as of March 31, 2018 and December 31, 2017
as TICC CLO 2012-1 effectively ceased operations on August 25, 2017.



INVESTMENT VALUATION



The Company measures its investment portfolio
at fair value in accordance with the provisions of ASC 820, Fair Value Measurement and Disclosure. Estimates made in the
preparation of the Company’s consolidated financial statements include the valuation of investments and the related amounts
of unrealized appreciation and depreciation of investments recorded. The Company believes that there is no single definitive method
for determining fair value in good faith. As a result, determining fair value requires that judgment be applied to the specific
facts and circumstances of each portfolio investment while employing a consistently applied valuation process for the types of
investments the Company makes.



14







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  – (continued)



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, 2018.



The Board determines the value of its investment
portfolio each quarter. In connection with that determination, members of Oxford Square Management’s portfolio management
team prepare a quarterly analysis of each portfolio investment using the most recent portfolio company financial statements, forecasts
and other relevant financial and operational information. Since March 2004, the Company has engaged 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
investments that we own may not be determinative of their fair value or when no market indicative quote is available, the Company
may engage third-party valuation firms to provide assistance in valuing certain syndicated investments that OXSQ owns. In addition,
Oxford Square Management prepares an analysis of each syndicated loan, including a financial summary, 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.



15







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  – (continued)



Collateralized Loan Obligations — Debt
and Equity



The Company has acquired a number of debt
and equity positions in collateralized loan obligation (“CLO”) investment vehicles and CLO warehouse investments. These
investments are special purpose financing vehicles. In valuing such investments, the Company considers the indicative prices provided
by a recognized industry pricing service as a primary source, and the implied yield of such prices, supplemented by actual trades
executed in the market at or around period-end, as well as the indicative prices provided by the broker who arranges transactions
in such investment vehicles. The Company also considers those instances in which the record date for an equity distribution payment
falls on 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, 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 previous quarter, after taking into account any repayment of principal during the current quarter. In addition, in those instances
where a third-party valuation is prepared for a portfolio investment which meets the parameters noted in (i) and (ii) above, the
frequency of those third-party valuations is based upon the grade assigned to each such security under its credit grading system
as follows: Grade 1, at least annually; Grade 2, at least semi-annually; Grades 3, 4, and 5, at least quarterly. Bilateral investments
which do not meet the parameters in (i) and (ii) above are not required to have a third-party valuation and, in those instances,
a valuation analysis will be prepared by Oxford Square Management. Oxford Square Management also retains the authority to seek,
on the Company’s behalf, additional third-party valuations with respect to the Company’s bilateral portfolio securities,
syndicated loan investments, and CLO investment vehicles. The 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 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, 2018
and as of December 31, 2017, the Company had no investments that were on non-accrual status.



16







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  – (continued)



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.



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.



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. This amortization expense is included in interest expense in the Company’s consolidated financial statements.
Upon early termination of debt, or a credit facility, the remaining balance of unamortized fees related to such debt is accelerated
into realized losses on extinguishment of debt on the Company’s statement of operations. Deferred offering costs are presented
on the balance sheet as a direct deduction from the related debt liability.



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.



17







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  – (continued)



SHARE REPURCHASES



From time to time, the Board may authorize
a share repurchase program under which shares are purchased in open market transactions. Since the Company is incorporated in the
State of Maryland, state law requires share repurchases to be accounted for as a share retirement. The cost of repurchased shares
is charged against capital on the settlement date.



SECURITIES TRANSACTIONS



Securities transactions are recorded on
trade date. Realized gains and losses on investments sold are recorded on the basis of specific identification. Distributions received
on CLO equity investments which were optionally redeemed for which the cost basis has been reduced to zero are recorded as realized
gains. An optional redemption feature of a CLO allows a majority of the holders of the equity securities issued by the CLO issuer,
after the end of a specified non-call period, to cause the redemption of the secured notes issued by the CLO with proceeds of either
the liquidation of the CLO’s assets or through a refinancing with new debt. The optional redemption is effectively a voluntary
prepayment of the secured debt issued by the CLO prior to the stated maturity of such debt.



U.S. FEDERAL INCOME TAXES



The Company intends to operate so as to qualify
to be taxed as a RIC under Subchapter M of the Code and, as such, to not be subject to U.S. federal income tax on the portion of
its taxable income and gains distributed to stockholders. To qualify for RIC tax treatment, the Company is required to distribute
at least 90% of its investment company taxable income annually, meet diversification requirements quarterly and file Form 1120-RIC,
as defined by the Code.



Because U.S. federal income tax regulations
differ from GAAP, distributions in accordance with tax regulations may differ from net investment income and realized gains recognized
for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital
accounts in the consolidated financial statements to reflect their tax character. Temporary differences arise when certain items
of income, expense, gain or loss are recognized at some time in the future. Differences in classification may also result from
the treatment of short-term gains as ordinary income for tax purposes.



The Company recognizes the tax benefits of
uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities.
Through March 31, 2018, management has analyzed the Company’s tax positions and concluded that no liability for unrecognized
tax benefits should be recorded related to uncertain tax positions expected to be taken in the Company’s 2018 tax returns.
The Company identifies its major tax jurisdictions as U.S Federal and Connecticut State; however, the Company is not aware of any
tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in
the next 12 months.



For tax purposes, the cost basis of the portfolio
investments at March 31, 2018 and December 31, 2017, was approximately $466,978,331 and $454,683,941, respectively.



18







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  – (continued)



RECENT ACCOUNTING PRONOUNCEMENTS



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



In November 2016, the FASB issued ASU 2016-18,
Statement of Cash Flows (Topic 230): Restricted Cash (a Consensus of the Emerging Issues Task Force) (“ASU 2016-18”),
which requires that the statement of cash flows explain the change during the period in the total of cash, cash equivalents, and
amounts generally described as restricted cash or restricted cash equivalents. ASU 2016-18 is effective for annual reporting periods
beginning after December 15, 2017, including interim periods within those fiscal years, with early adoption permitted. Management
adopted the new guidance as of January 1, 2018 and upon adoption of the standard, restricted cash was included as part of beginning
and ending cash and cash equivalents on the consolidated statement of cash flows for the three months ended March 31, 2018 and
2017. The Company did not hold any restricted cash as of March 31, 2018.



NOTE 4. FAIR VALUE



The Company’s assets measured at fair
value on a recurring basis as of March 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            |  | $                                                               | —    |  |                                                  | $
|Subordinated Debt               |  |                                                                 | —    |  |                                                  |  
|CLO Debt                        |  |                                                                 | —    |  |                                                  |  
|CLO Equity                      |  |                                                                 | —    |  |                                                  |  
|Equity and Other Investments    |  |                                                                 | —    |  |                                                  |  
|Total Investments at fair value |  |                                                                 | —    |  |                                                  |  
|Cash equivalents                |  |                                                                 | 48.8 |  |                                                  |  
|Total assets at fair value      |  | $                                                               | 48.8 |  |                                                  | $










(1) Totals may not sum due to
rounding



The Company’s assets measured at fair value on
a recurring basis at December 31, 2017 were as follows:



|                                |  | Fair Value Measurements at Reporting Date Using                 |      |  |                                                  |  
|------------------------------- |  | --------------------------------------------------------------- | ---- |  | ------------------------------------------------ | -
|Assets ($ in millions)          |  | Quoted Prices in Active Markets for Identical Assets  (Level 1) |      |  | Significant Other  Observable  Inputs  (Level 2) |  
|Senior Secured Notes            |  | $                                                               | —    |  |                                                  | $
|Subordinated Debt               |  |                                                                 | —    |  |                                                  |  
|CLO Debt                        |  |                                                                 | —    |  |                                                  |  
|CLO Equity                      |  |                                                                 | —    |  |                                                  |  
|Equity and Other Investments    |  |                                                                 | —    |  |                                                  |  
|Total Investments at fair value |  |                                                                 | —    |  |                                                  |  
|Cash equivalents                |  |                                                                 | 30.0 |  |                                                  |  
|Total assets at fair value      |  | $                                                               | 30.0 |  |                                                  | $



19







OXFORD SQUARE CAPITAL CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 4. FAIR VALUE  – (continued)



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, 2018 and December 31, 2017, respectively.
The Company’s valuation policy, as described above, establishes parameters for the sources and types of valuation analysis,
as well as the methodologies and inputs that the Company uses in determining fair value. If the Valuation Committee or Oxford Square
Management determines that additional techniques, sources or inputs are appropriate or necessary in a given situation, such additional
work will be undertaken. The tables, therefore, are not all-inclusive, but provide information on the significant Level 3 inputs
that are pertinent to the Company’s fair value measurements. The weighted average calculations in the table below are based
on principal balances for all debt related calculations and CLO equity.



|                                             |  | Quantitative Information about Level 3 Fair Value Measurements
|-------------------------------------------- |  | --------------------------------------------------------------
|Assets ($ in millions)                       |  | Fair Value as of 
    March 31, 2018                          
|Senior Secured
    Notes                     |  | $                                                             
|                                             |  |                                                               
|                                             |  |                                                               
|Subordinated Debt                            |  |                                                               
|CLO Debt                                     |  |                                                               
|CLO Equity                                   |  |                                                               
|                                             |  |                                                               
|                                             |  |                                                               
|Equity Shares                                |  |                                                               
|Other
    investments                        |  |                                                               
|Total
    Fair Value for Level 3 Investments |  | $                                                             










| | (1) | 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.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | EBITDA, or earnings before interest expense, taxes, depreciation
and amortization, is an unobservable input which is generally based on 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.
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (3) | Discount rate represents the rate at which future cash
flows are discounted to calculate a present value, reflecting market assumptions for risk.
| | --- | -------------------------------------------------------------------------------------------------------------------------------------------------

| | (4) | The calculation of weighted average for a range of values,
for multiple investments within a given asset category, is not considered to provide a meaningful representation (“ncm”).
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



20







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 4. FAIR VALUE  – (continued)



(5) The Company will calculate
the fair value of certain CLO equity investments based upon the net present value of expected contractual payment streams discounted
using estimated market yields for the equity tranche of the respective CLO vehicle. The Company will also consider those investments
in which the record date for an equity distribution payment falls on the last day of the period, and the likelihood that a prospective
purchaser would require an adjustment to the transaction price representing substantially all of the pending distribution.

(6) 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.

(7) For the corporate debt
investments and equity investments, third-party valuation firms evaluate the financial and operational information of the portfolio
companies that we provide 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.

(8) Weighted averages are
calculated based on fair value of investments.



|                                             |  | Quantitative Information about Level 3 Fair Value Measurements
|-------------------------------------------- |  | --------------------------------------------------------------
|Assets ($ in millions)                       |  | Fair Value as of 
    December 31, 2017                       
|Senior Secured
    Notes                     |  | $                                                             
|                                             |  |                                                               
|                                             |  |                                                               
|                                             |  |                                                               
|Subordinated Debt                            |  |                                                               
|CLO Debt                                     |  |                                                               
|CLO Equity                                   |  |                                                               
|                                             |  |                                                               
|Equity Shares                                |  |                                                               
|Other
    investments                        |  |                                                               
|Total
    Fair Value for Level 3 Investments |  | $                                                             










| | (1) | 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.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | EBITDA, or earnings before interest expense, taxes, depreciation
and amortization, is an unobservable input which is generally based on 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.
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (3) | Discount rate represents the rate at which future cash
flows are discounted to calculate a present value, reflecting market assumptions for risk.
| | --- | -------------------------------------------------------------------------------------------------------------------------------------------------

| | (4) | The calculation of weighted average for a range of values,
for multiple investments within a given asset category, is not considered to provide a meaningful representation (“ncm”).
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



21







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 4. FAIR VALUE  – (continued)



| | (5) | The Company will calculate the fair value of certain CLO
equity investments based upon the net present value of expected contractual payment streams discounted using estimated market
yields for the equity tranche of the respective CLO vehicle. The Company will also consider those investments in which the record
date for an equity distribution payment falls on the last day of the period, and the likelihood that a prospective purchaser would
require an adjustment to the transaction price representing substantially all of the pending distribution.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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

| | (7) | For the corporate debt investments and equity investments,
third-party valuation firms evaluate the financial and operational information of the portfolio companies that we provide 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.
| | --- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (8) | Weighted averages are calculated based on fair value of
investments.
| | --- | --------------------------------------------------------------------



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



|($ in thousands)      |  | Carrying Value(1) |        |  | Fair Value(2) |   |        | Level 1 |  |   | Level 2 |  |  | Level 3 |       
|--------------------- |  | ----------------- | ------ |  | ------------- | - | ------ | ------- |  | - | ------- |  |  | ------- | ------
|6.50% Unsecured Notes |  | $                 | 62,420 |  |               | $ | 65,875 |         |  | $ | —       |  |  | $       | 65,875
|Total                 |  | $                 | 62,420 |  |               | $ | 65,875 |         |  | $ | —       |  |  | $       | 65,875










| | (1) | Carrying value is net of deferred debt issuance costs,
which totaled approximately $2.0 million as of March 31, 2018.
| | --- | ---------------------------------------------------------------------------------------------------------------------

| | (2) | Fair value is based upon the closing price on the last
day of the period. The 6.50% unsecured notes due 2024 (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,
2017 and the level of each financial liability within the fair value hierarchy:



|($ in thousands)      |  | Carrying Value(1) |        |  | Fair Value(2) |   |        | Level 1 |  |   | Level 2 |  |  | Level 3 |       
|--------------------- |  | ----------------- | ------ |  | ------------- | - | ------ | ------- |  | - | ------- |  |  | ------- | ------
|6.50% Unsecured Notes |  | $                 | 62,340 |  |               | $ | 66,546 |         |  | $ | —       |  |  | $       | 66,546
|Total                 |  | $                 | 62,340 |  |               | $ | 66,546 |         |  | $ | —       |  |  | $       | 66,546










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

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



22







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 4. FAIR VALUE  – (continued)



A reconciliation of the fair value of investments
for the three months ended March 31, 2018 and for the year ended December 31, 2017, utilizing significant unobservable inputs,
is as follows:



|($ in millions)                                                                                                                                                                                                                                                                                                       |  | Senior Secured Notes |       |   | Subordinated Debt |   |     | CLO Debt |  |   | CLO Equity |   |  | Equity/ Other Investments |       |   | Total |  
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | -------------------- | ----- | - | ----------------- | - | --- | -------- |  | - | ---------- | - |  | ------------------------- | ----- | - | ----- | -
|Balance at December 31, 2017                                                                                                                                                                                                                                                                                          |  | $                    | 242.2 |   |                   | $ | 0.8 |          |  | $ | 4.7        |   |  | $                         | 156.0 |   |       | $
|Realized gains (losses) included in earnings                                                                                                                                                                                                                                                                          |  |                      | 0.2   |   |                   |   | —   |          |  |   | 0.1        |   |  |                           | (0.1  | ) |       |  
|Unrealized appreciation (depreciation) included in
    earnings                                                                                                                                                                                                                                                       |  |                      | 1.0   |   |                   |   | —   |          |  |   | —          |   |  |                           | 2.4   |   |       |  
|Accretion of discount                                                                                                                                                                                                                                                                                                 |  |                      | 0.2   |   |                   |   | —   |          |  |   | —          |   |  |                           | —     |   |       |  
|Purchases                                                                                                                                                                                                                                                                                                             |  |                      | 24.7  |   |                   |   | —   |          |  |   | —          |   |  |                           | —     |   |       |  
|Repayments and Sales                                                                                                                                                                                                                                                                                                  |  |                      | (26.5 | ) |                   |   | —   |          |  |   | (1.3       | ) |  |                           | (0.2  | ) |       |  
|Reductions to CLO equity cost value(1)                                                                                                                                                                                                                                                                                |  |                      | —     |   |                   |   | —   |          |  |   | —          |   |  |                           | (3.9  | ) |       |  
|Payment-in-Kind income                                                                                                                                                                                                                                                                                                |  |                      | 0.1   |   |                   |   | —   |          |  |   | —          |   |  |                           | —     |   |       |  
|Transfers in and/or (out) of level 3                                                                                                                                                                                                                                                                                  |  |                      | —     |   |                   |   | —   |          |  |   | —          |   |  |                           | —     |   |       |  
|Balance at March 31, 2018(2)                                                                                                                                                                                                                                                                                          |  | $                    | 241.9 |   |                   | $ | 0.8 |          |  | $ | 3.5        |   |  | $                         | 154.2 |   |       | $
|The amount of total gains or losses for the period included in earnings attributable to the change in unrealized gains or losses relating to our Level 3 assets still held at the reporting date and reported within the net change in unrealized gains or losses on investments in our Statement of Operations(1)(2) |  | $                    | 1.2   |   |                   | $ | —   |          |  | $ | —          |   |  | $                         | 2.1   |   |       | $










| | (1) | Reduction to cost value on the Company’s CLO equity
investments represents the difference between distributions received, or entitled to be received, of approximately $10.7 million
and the effective yield interest income of approximately $6.8 million.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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



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










| | (1) | Reduction to cost value on the Company’s CLO equity
investments represents the difference between distributions received, or entitled to be received, of approximately $70.4 million
and the effective yield interest income of approximately $33.3 million.
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

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



23







OXFORD SQUARE CAPITAL CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 4. FAIR VALUE  – (continued)



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



|                             |  | March 31, 2018             |       |  | December 31, 2017              | 
|---------------------------- |  | -------------------------- | ----- |  | ------------------------------ | 
|($ in millions)              |  | Investments at  Fair Value |       |  | Percentage of  Total Portfolio | 
|Senior Secured Notes         |  | $                          | 241.9 |  |                                | 
|Subordinated Debt            |  |                            | 0.8   |  |                                | 
|CLO Debt                     |  |                            | 3.5   |  |                                | 
|CLO Equity                   |  |                            | 154.2 |  |                                | 
|Equity and Other Investments |  |                            | 13.9  |  |                                | 
|Total(1)                     |  | $                          | 414.2 |  |                                | 








(1) Totals
may not sum due to rounding.



NOTE 5. CASH, CASH EQUIVALENTS AND RESTRICTED CASH



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



|                                |  | March 31, 2018 |            |  | December 31, 2017 |  
|------------------------------- |  | -------------- | ---------- |  | ----------------- | -
|Cash                            |  | $              | —          |  |                   | $
|Cash Equivalents                |  |                | 48,805,440 |  |                   |  
|Total Cash and Cash Equivalents |  | $              | 48,805,440 |  |                   | $
|Restricted Cash                 |  | $              | —          |  |                   | $



For further details regarding the composition
of cash, cash equivalents and restricted cash refer to Note 3 — “Summary of Significant Accounting Policies.”



NOTE 6. BORROWINGS



In accordance with the 1940 Act, with certain
limited exceptions, the Company is only allowed to borrow amounts such that its asset coverage, as defined in the 1940 Act, is
at least 200%, immediately after such borrowing. As of March 31, 2018, the Company’s asset coverage for borrowed amounts
was 693.2%.



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.



24







OXFORD SQUARE CAPITAL CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 6. BORROWINGS  – (continued)



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



|                         |  | As of             |       
|------------------------ |  | ----------------- | ------
|                         |  | March 31, 2018    |       
|($ in thousands)         |  | Principal  Amount |       
|6.50% Unsecured Notes(1) |  | $                 | 64,370
|Total                    |  | $                 | 64,370










(1) Represents
the aggregate principal amount outstanding less the unamortized deferred issuance costs. As of March 31, 2018 and December 31,
2017, the total unamortized deferred issuance costs for the 6.50% Unsecured Notes was approximately $2.0 million.



The weighted average stated interest rate
and weighted average maturity on all of the Company’s debt outstanding as of March 31, 2018 were 6.50% and 6.0 years, respectively,
and as of December 31, 2017 were 6.50% and 6.2 years, respectively.



The table below summarizes the components
of interest expense for the three months ended March 31, 2018 and March 31, 2017:



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



|                                              |  | Three Months Ended March 31, 2017 |        
|--------------------------------------------- |  | --------------------------------- | -------
|($ in thousands)                              |  | Stated
Interest Expense           |        
|TICC CLO 2012-1 LLC Class A-1 Notes           |  | $                                 | 381.8  
|TICC CLO 2012-1 LLC Class B-1 Notes           |  |                                   | 223.7  
|TICC CLO 2012-1 LLC Class C-1 Notes           |  |                                   | 329.2  
|TICC CLO 2012-1 LLC Class D-1 Notes           |  |                                   | 353.1  
|TICC CLO 2012-1 amortization of deferred debt |  |                                   | —      
|Convertible Notes                             |  |                                   | 1,772.7
|Total                                         |  | $                                 | 3,060.5



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 will bear interest at a rate of 6.50% per year payable
quarterly on March 30, June 30, September 30, and December 30 of each year, commencing June 30, 2017.



The aggregate accrued interest payable on the 6.50%
Unsecured Notes as of March 31, 2018 was approximately $11,600. As of March 31, 2018, the Company had unamortized deferred
debt issuance costs of approximately $2.0 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, 2018 were
approximately $1.0 million and 7.09%, respectively.



25







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 6. BORROWINGS  – (continued)



Notes Payable — Convertible Notes



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



In connection with the repurchase of approximately
$20.5 million of the Convertible Notes in December 2016, the Company recognized a net extinguishment loss of approximately $815,000,
which consisted of approximately $716,000 from repurchasing the Convertible Notes at a premium to par and approximately $99,000
in previously unamortized deferred debt issuance costs. These costs are recorded within realized losses on extinguishment of debt
in the statement of operations. The realized loss on extinguishment of debt incurred in prior periods was reclassified from interest
expense in the statement of operations to conform with the current period presentation for comparative purposes. The effective
annualized interest rate for the three months ended March 31, 2017 was 8.14%. There was no cash paid for interest for the three
months ended March 31, 2017.



Notes Payable — TICC CLO 2012-1 LLC



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



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



26







OXFORD SQUARE CAPITAL CORP.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 6. BORROWINGS  – (continued)



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



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



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



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



The accelerated note discount expense and
accelerated deferred debt issuance costs are recorded within Realized Losses on Extinguishment of Debt in the Consolidated Statement
of Operations. The realized loss on extinguishment of debt incurred in prior periods was reclassified from Interest Expense in
the Consolidated Statement of Operations to conform with the current period presentation for comparative purposes. The cash paid
and the effective annualized interest rate for the three months ended March 31, 2017 were $1.4 million and 4.77%, 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”) and an incentive fee. The cost of both the Base Fee payable to Oxford Square Management and any
incentive fees earned by Oxford Square Management are ultimately borne by the Company’s common stockholders.



Base Management Fee



Through March 31, 2016, the Base Fee was
calculated at an annual rate of 2.00%. Effective April 1, 2016, the Base Fee is calculated at an annual rate of 1.50%. The Base
Fee is payable quarterly in arrears, and is calculated based on the average value of the Company’s gross assets at the end
of the two most recently completed calendar quarters, and appropriately adjusted for any equity or debt capital raises, repurchases
or redemptions during the current calendar quarter (however, no Base Fee will be payable on the cash proceeds received by the Company
in connection with any share or debt issuances until such proceeds have been invested in accordance with the Company’s investment
objective). Accordingly, the Base Fee will be payable regardless of whether the value of the Company’s gross assets has decreased
during the quarter. The Base Fee for any partial quarter will be appropriately prorated.



The following table represents the Base Fee
for the three months ended March 31, 2018 and March 31, 2017, respectively:



|         |  | Three Months Ended March 31, 2018 |           |  | Three Months Ended March 31, 2017 |  
|-------- |  | --------------------------------- | --------- |  | --------------------------------- | -
|Base Fee |  | $                                 | 1,679,814 |  |                                   | $



27







OXFORD SQUARE CAPITAL CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 7. RELATED PARTY TRANSACTIONS  – (continued)



The Base Fee payable to Oxford Square Management
as of March 31, 2018 and December 31, 2017 was $1,679,814 and $1,683,444, 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). 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, 2018 and March 31, 2017 were 7.20% and 6.93%, respectively.



28







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 7. RELATED PARTY TRANSACTIONS  – (continued)



The following table represents the Net Investment
Income Incentive Fees for each of the three months ended March 31, 2018 and 2017, respectively:



|                                    |  | Three Months Ended March 31, 2018 |           |  | Three Months Ended March 31, 2017 |  
|----------------------------------- |  | --------------------------------- | --------- |  | --------------------------------- | -
|Net Investment Income Incentive Fee |  | $                                 | 1,000,232 |  |                                   | $



The Net Investment Income Incentive Fee payable
to Oxford Square Management as of March 31, 2018 and December 31, 2017 was approximately $1,000,232 and $1,022,655, 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, it should
be noted that 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, 2018 and 2017. There were no accrued Capital Gains Incentive Fees payable to Oxford
Square Management as of March 31, 2018 and December 31, 2017.



Administration Agreement



The Company has also entered into the Administration
Agreement with Oxford Funds under which Oxford Funds provides administrative services to the Company. The Company pays Oxford Funds
an allocable portion of overhead and other expenses incurred by Oxford Funds in performing its obligations under the Administration
Agreement, including a portion of the rent and the compensation of the Chief Financial Officer, accounting staff and other administrative
support personnel, which creates potential conflicts of interest that the Board must monitor. The Company also reimburses Oxford
Funds for the costs associated with the functions performed by the Company’s Chief Compliance Officer that Oxford Funds pays
on the Company’s behalf pursuant to the terms of an agreement between the Company and Alaric Compliance Services, LLC.



Oxford Square Management is controlled by
Oxford Funds, its managing member. Charles M. Royce, a member of the Board, holds a minority, non-controlling interest in Oxford
Square Management. Oxford Funds manages the business and internal affairs of Oxford Square Management. Jonathan H. Cohen, the Company’s
Chief Executive Officer, as well as a Director, is the managing member of Oxford Funds. Saul B. Rosenthal, the Company’s
President and Chief Operating Officer, is also the President of Oxford Square Management and a member of Oxford Funds. Messrs.
Cohen and Rosenthal have an equal equity interest in Oxford Funds. Mr. Royce does not take part in the management or participate
in the operations of Oxford Square Management.



For the three months ended March 31, 2018
and 2017, the Company incurred $260,089 and $235,034, 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 $4,518 and $27,738 for facility costs allocated under the Administration Agreement for the three months ended March 31,
2018 and 2017, respectively. As of March 31, 2018 and December 31, 2017, there were no amounts payable under the Administration
Agreement.



29







OXFORD SQUARE CAPITAL CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 7. RELATED PARTY TRANSACTIONS  – (continued)



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.



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,
2018 and 2017, respectively:



|                                                                                                                                                               |  | Three Months Ended March 31, 2018(1) |            |  | Three Months Ended March 31, 2017 |  
|-------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------------ | ---------- |  | --------------------------------- | -
|Net increase in net assets resulting from net investment income per common share – basic:                                                                      |  |                                      |            |  |                                   |  
|Net investment income                                                                                                                                          |  | $                                    | 8,723,096  |  |                                   | $
|Weighted average common shares outstanding – basic                                                                                                             |  |                                      | 51,200,060 |  |                                   |  
|Net increase in net assets resulting from net investment income per common share – basic                                                                       |  | $                                    | 0.17       |  |                                   | $
|Net increase in net assets resulting from net investment income per common share – diluted:                                                                    |  |                                      |            |  |                                   |  
|Net investment income, before adjustments                                                                                                                      |  | $                                    | 8,723,096  |  |                                   | $
|Adjustments for interest and deferred issuance costs on the Convertible Notes, and related impact on the Base Fees and Net Investment Income Incentive Fees(2) |  |                                      | —          |  |                                   |  
|Net investment income, as adjusted(2)                                                                                                                          |  | $                                    | 8,723,096  |  |                                   | $
|Weighted average common shares outstanding – basic                                                                                                             |  |                                      | 51,200,060 |  |                                   |  
|Share adjustments for dilutive effect of the Convertible Notes(2)                                                                                              |  |                                      | —          |  |                                   |  
|Weighted average common shares outstanding – diluted(2)                                                                                                        |  |                                      | 51,200,060 |  |                                   |  
|Net increase in net assets resulting from net investment income per common share – diluted(1)                                                                  |  | $                                    | 0.17       |  |                                   | $



30







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 8. EARNINGS PER SHARE – (continued)



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, 2018 and
2017:



|                                                                                                                                                            |  | Three Months Ended March 31, 2018(1) |            |  | Three Months Ended March 31, 2017 |  
|----------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------------ | ---------- |  | --------------------------------- | -
|Net increase in net assets resulting from operations per common share – basic:                                                                              |  |                                      |            |  |                                   |  
|Net increase in net assets resulting from operations                                                                                                        |  | $                                    | 11,490,063 |  |                                   | $
|Weighted average common shares outstanding – basic                                                                                                          |  |                                      | 51,200,060 |  |                                   |  
|Net increase in net assets resulting from operations per common share – basic                                                                               |  | $                                    | 0.22       |  |                                   | $
|Net increase in net assets resulting from operations per common share – diluted:                                                                            |  |                                      |            |  |                                   |  
|Net increase in net assets resulting from operations, before adjustments                                                                                    |  | $                                    | 11,490,063 |  |                                   | $
|Adjustments for interest and deferred issuance costs on the Convertible Notes, and related impact on the Base Fees and Net Investment Income Incentive Fees |  |                                      | —          |  |                                   |  
|Net increase in net assets resulting from operations, as adjusted                                                                                           |  | $                                    | 11,490,063 |  |                                   | $
|Weighted average common shares outstanding – basic                                                                                                          |  |                                      | 51,200,060 |  |                                   |  
|Share adjustments for dilutive effect of the Convertible Notes                                                                                              |  |                                      | —          |  |                                   |  
|Weighted average common shares outstanding – diluted                                                                                                        |  |                                      | 51,200,060 |  |                                   |  
|Net increase in net assets resulting from operations per common share – diluted(3)                                                                          |  | $                                    | 0.22       |  |                                   | $










(1) Subsequent
to the maturity and full repayment of the Convertible Notes on November 1, 2017, there are no dilutive potential common shares
or adjustments for purposes of the computation of diluted earnings per share.



(2) Due
to the anti-dilutive effect on the computation of diluted earnings per share for the three months ended March 31, 2017, the adjustments
for interest and deferred issuance costs on the Convertible Notes, and the related impact on the Base Fees and net investment income
incentive fees as well as share adjustments for dilutive effect of the Convertible Notes were excluded from the respective periods’
diluted earnings per share computation. The following table represents the respective adjustments which were not made due to the
anti-dilutive effect on the computation of diluted change in net assets resulting from net investment income per common share for
the three months ended March 31, 2017:



|                                                                                                                                                            |  | Three Months Ended March 31, 2017 |          
|----------------------------------------------------------------------------------------------------------------------------------------------------------- |  | --------------------------------- | ---------
|Net increase in net assets resulting from net investment income per common share – diluted:                                                                 |  |                                   |          
|Adjustments for interest and deferred issuance costs on the Convertible Notes, and related impact on the Base Fees and net investment income incentive fees |  | $                                 | 1,518,516
|Share adjustments for dilutive effect of the Convertible Notes                                                                                              |  |                                   | 8,248,298



(3) Net
increase in net assets resulting from operations per common share diluted is dilutive on a rounded basis.



31







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(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. As of March 31, 2018, the Company has paid cumulative distributions of approximately $466.0 million from
net investment income.



The Company intends to comply with the applicable
provisions of the Code pertaining to RICs to make distributions of taxable income sufficient to relieve it of substantially all
federal income taxes. The Company, at its discretion, may carry forward taxable income in excess of calendar year distributions
and pay a 4% excise tax on such income. The Company will accrue excise tax on estimated excess taxable income, if any, as required.



The Company has adopted an “opt out”
distribution reinvestment plan for our common stockholders. As a result, if we make a cash distribution, then stockholders’
cash distributions will be automatically reinvested in additional shares of our common stock, unless they specifically “opt
out” of the distribution reinvestment plan so as to receive cash distributions. During the three months ended March 31, 2018
and 2017, 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, 2018 and
2017, as part of our dividend reinvestment plan for our common stockholders, our dividend reinvestment administrator purchased
59,647 shares and 38,159 shares, respectively, of our common stock for $0.4 million and $0.3 million, respectively, in the open
market to satisfy the reinvestment portion of our dividends. On March 30, 2018,the Company paid a distribution of $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.



NOTE 10. NET ASSET VALUE PER SHARE



The Company’s net asset value per share
as of March 31, 2018 and December 31, 2017 was $7.60 and $7.55, respectively. In determining the Company’s net asset value
per share, the Board determined in good faith the fair value of the Company’s portfolio investments for which reliable market
quotations are not readily available.



32







OXFORD SQUARE CAPITAL CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(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, 2018, under that repurchase program, the Company repurchased 990,260 shares of outstanding
common stock for approximately $5.9 million, while complying with the prohibitions under the Company’s Insider Trading Policies
and Procedures and the guidelines specified in Rule 10b-18 of the Securities Exchange Act of 1934, as amended, including certain
price, market volume and timing constraints. The remaining cost of shares that may be repurchased under the program was $19.1 million
as of March 31, 2018. In addition, repurchases were conducted in accordance with the 1940 Act.



The following table summarizes the Company’s
share repurchases under its stock repurchase program for the three months ended March 31, 2018 and 2017:



|                                               |  | Three Months Ended March 31, 2018 |            |   | Three Months Ended March 31, 2017 | 
|---------------------------------------------- |  | --------------------------------- | ---------- | - | --------------------------------- | 
|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, 2018 and 2017, respectively:



|                                                            |  | Three Months Ended March 31, 2018 |            |  | Three Months Ended March 31, 2017 |  
|----------------------------------------------------------- |  | --------------------------------- | ---------- |  | --------------------------------- | -
|Interest income                                             |  |                                   |            |  |                                   |  
|Stated interest income                                      |  | $                                 | 5,662,791  |  |                                   | $
|Original issue discount and market discount income          |  |                                   | 198,239    |  |                                   |  
|Payment-in-kind income                                      |  |                                   | 59,321     |  |                                   |  
|Discount income derived from unscheduled remittances at par |  |                                   | 1,602      |  |                                   |  
|Total interest income                                       |  | $                                 | 5,921,953  |  |                                   | $
|Income from securitization vehicles                         |  | $                                 | 6,802,864  |  |                                   | $
|Other income                                                |  |                                   |            |  |                                   |  
|Fee letters                                                 |  | $                                 | 274,915    |  |                                   | $
|Loan prepayment and bond call fees                          |  |                                   | 240,000    |  |                                   |  
|All other fees                                              |  |                                   | 107,068    |  |                                   |  
|Total other income                                          |  | $                                 | 621,983    |  |                                   | $
|Total investment income                                     |  | $                                 | 13,346,800 |  |                                   | $



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



33







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(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, 2018, the Company had commitments to purchase additional debt investments totaling approximately $1.1 million.



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, 2018 and 2017, respectively, are as follows:



|Per Share Data                                          |  | Three Months Ended March 31, 2018 |            |   | Three Months Ended March 31, 2017 |  
|------------------------------------------------------- |  | --------------------------------- | ---------- | - | --------------------------------- | -
|Net asset value as of beginning of period               |  | $                                 | 7.55       |   |                                   | $
|Net investment income(1)                                |  |                                   | 0.17       |   |                                   |  
|Net
    realized and unrealized gains(2)                |  |                                   | 0.05       |   |                                   |  
|Net change in net asset value from operations(2)        |  |                                   | 0.22       |   |                                   |  
|Distributions per share from net investment income      |  |                                   | (0.20      | ) |                                   |  
|Distributions based on weighted average share impact    |  |                                   | —          |   |                                   |  
|Total distributions(3)                                  |  |                                   | (0.20      | ) |                                   |  
|Effect of shares repurchased, gross                     |  |                                   | 0.03       |   |                                   |  
|Net asset value at end of period                        |  | $                                 | 7.60       |   |                                   | $
|Per share market value at beginning of period           |  | $                                 | 5.74       |   |                                   | $
|Per share market value at end of period                 |  | $                                 | 6.11       |   |                                   | $
|Total return(4)                                         |  |                                   | 9.93       | % |                                   |  
|Shares outstanding at end of period                     |  |                                   | 50,489,149 |   |                                   |  
|                                                        |  |                                   |            |   |                                   |  
|Ratios/Supplemental Data(7)                             |  |                                   |            |   |                                   |  
|Net assets at end of period (000’s)                     |  | $                                 | 383,809    |   |                                   | $
|Average net assets (000’s)                              |  |                                   | 387,442    |   |                                   |  
|Ratio of operating expenses to average net assets(5)    |  |                                   | 4.77       | % |                                   |  
|Ratio of net investment income to average net assets(5) |  |                                   | 9.01       | % |                                   |  
|Portfolio turnover rate(6)                              |  |                                   | 1.45       | % |                                   |  










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



34







OXFORD SQUARE CAPITAL CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 14. FINANCIAL HIGHLIGHTS  – (continued)



| | (4) | Total return 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) | Annualized.
| | --- | -----------

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

| | (7) | The following table provides supplemental performance
ratios (annualized) measured for the three months ended March 31, 2018 and 2017:
| | --- | --------------------------------------------------------------------------------------------------------------------------------------



|                                                   |  | Three Months Ended March 31, 2018 |      |   | Three Months Ended March 31, 2017 | 
|-------------------------------------------------- |  | --------------------------------- | ---- | - | --------------------------------- | 
|Ratio of operating expenses to average net assets: |  |                                   |      |   |                                   | 
|Operating expenses before incentive fees           |  |                                   | 3.74 | % |                                   | 
|Net investment income incentive fees               |  |                                   | 1.03 | % |                                   | 
|Ratio of expenses, excluding interest expense      |  |                                   | 3.61 | % |                                   | 



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 a company
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.



35







OXFORD SQUARE CAPITAL CORP.
 
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2018
(unaudited)



NOTE 15. RISKS AND UNCERTAINTIES  – (continued)



As a BDC, the Company is required to carry
its investments at fair value as determined in good faith by or under the direction of its Board. Decreases in fair values of the
Company’s investments are recorded as unrealized depreciation. Depending on market conditions, the Company could incur substantial
losses in future periods, which could have a material adverse impact on its business, financial condition and results of operations.



The Company places its cash in an overnight
money market account and, at times, cash and cash equivalents may exceed the Federal Deposit Insurance Corporation insured limit.
In addition, the Company’s portfolio may be concentrated in a limited number of portfolio companies, which will subject the
Company to a risk of significant loss if any of these companies defaults on its obligations under any of its debt securities that
the Company holds or if those sectors experience a market downturn.



NOTE 16. SUBSEQUENT EVENTS



From April 1, 2018 through May 2,
2018, an additional 100,456 shares of the Company’s common stock settled through its share repurchase program, for an
aggregate cost of approximately $617,085 at a weighted average price per share of common stock of approximately $6.14.



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.



On April 24, 2018, the Board declared quarterly
distributions to stockholders as follows:



|Per Share Distribution Amount Declared |      |  | 2018 Record Dates |               | 2018 Payable Dates
|-------------------------------------- | ---- |  | ----------------- | ------------- | ------------------
|$                                      | 0.20 |  |                   | June 15, 2018 |                   



The Company’s management evaluated
subsequent events through the date of issuance of these Consolidated Financial Statements and noted no other events that necessitate
adjustments to or disclosure in the financial statements.



36







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
onForm 10-K for the year ended December 31, 2017, elsewhere in this Quarterly
Report on Form 10-Q and in our other filings with the SEC.
| | - | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



Although we believe that the assumptions
on which these forward-looking statements are based are reasonable, any of those assumptions could prove to be inaccurate, and
as a result, the forward-looking statements based on those assumptions also could be inaccurate. Important assumptions include
our ability to originate new loans and investments, certain margins and levels of profitability and the availability of additional
capital. In light of these and other uncertainties, the inclusion of a projection or forward-looking statement in this Quarterly
Report on Form 10-Q should not be regarded as a representation by us that our plans and objectives will be achieved. These risks
and uncertainties include those described or identified in Item 1A. — Risk Factors contained in our Annual
Report on Form 10-K for the year ended December 31, 2017, and elsewhere in this Quarterly Report on Form 10-Q. 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, TICC CLO 2012-1 LLC (“2012 Securitization Issuer” or “TICC CLO 2012-1”);
“Oxford Square Management” refers to Oxford Square Management, LLC; and “Oxford Funds” refers to Oxford
Funds, LLC.



The following analysis of our financial condition
and results of operations should be read in conjunction with our consolidated financial statements and the related notes thereto
contained elsewhere in this Quarterly Report on Form 10-Q.



37







OVERVIEW



Our investment objective is to maximize our
portfolio’s total return. Our primary focus is to seek an attractive risk-adjusted total return by investing primarily in
corporate debt securities and in collateralized loan obligation (“CLO”) structured finance investments that own corporate
debt securities. CLO investments may also include warehouse facilities, which are financing structures intended to aggregate loans
that may be used to form the basis of a CLO vehicle. We operate as a closed-end, non-diversified management investment company
and have elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940,
as amended (the “1940 Act”). We have elected to be treated for tax purposes as a regulated investment company (“RIC”),
under the Internal Revenue Code of 1986, as amended (the “Code”), beginning with our 2003 taxable year.



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



Our investment activities are managed by
Oxford Square Management, LLC (“Oxford Square Management”), a registered investment adviser under the Investment Advisers
Act of 1940, as amended. Oxford Square Management is owned by Oxford Funds, LLC (“Oxford Funds”), its managing member
and a related party, and Charles M. Royce, a member of Oxford Square Capital Corp.’s Board of Directors (the “Board”)
who holds a minority, non-controlling interest in Oxford Square Management. Oxford Square Management and Oxford Funds changed their
names from TICC Management, LLC and BDC Partners, LLC, respectively, effective March 19, 2018 to align the branding of these entities
and our affiliated funds. Jonathan H. Cohen, our Chief Executive Officer, and Saul B. Rosenthal, our President, are the controlling
members of Oxford Funds. Under an investment advisory agreement (the “Investment Advisory Agreement”), we have agreed
to pay Oxford Square Management an annual base fee calculated on gross assets, and an incentive fee based upon our performance.
Under an amended and restated administration agreement (the “Administration Agreement”), we have agreed to pay or reimburse
Oxford Funds, as administrator, for certain expenses incurred in operating the Company. Our executive officers and directors, and
the executive officers of Oxford Square Management and Oxford Funds, serve or may serve as officers and directors of entities that
operate in a line of business similar to our own. Accordingly, they may have obligations to investors in those entities, the fulfillment
of which might not be in the best interests of us or our stockholders.



We generally expect to invest between $5
million and $50 million in each of our portfolio companies, although this investment size may vary proportionately as the size
of our capital base changes and market conditions warrant. We expect that our investment portfolio will be diversified among a
large number of investments with few investments, if any, exceeding 5.0% of the total portfolio. As of March 31, 2018, our debt
investments had stated interest rates of between 5.88% and 15.00% and maturity dates of between 9 and 106 months. In addition,
our total portfolio had a weighted average annualized yield on debt investments of approximately 9.90%.



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, 2018, including accretion of original issue discount (“OID”). There
can be no assurance that the weighted average annualized yield will remain at its current level.



We have historically borrowed funds to make
investments and may continue to borrow funds to make investments. As a result, we are exposed to the risks of leverage, which may
be considered a speculative investment technique. Borrowings, also known as leverage, magnify the potential for gain and loss on
amounts invested and therefore increase the risks associated with investing in our securities. In addition, the costs associated
with our borrowings, including any increase in the management fee payable to Oxford Square Management, will be borne by our common
stockholders.



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.



38







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, 2018.



Our Board determines the value of our investment
portfolio each quarter. In connection with that determination, members of Oxford Square Management’s portfolio management
team prepare a quarterly analysis of each portfolio investment using the most recent portfolio company financial statements, forecasts
and other relevant financial and operational information. Since March 2004, we have engaged third-party valuation firms to provide
assistance in valuing certain of its syndicated loans and bilateral investments, including related equity investments, although
our Board ultimately determines the appropriate valuation of each such investment. Changes in fair value, as described above, are
recorded in the 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.



39







Collateralized Loan Obligations — Debt
and Equity



We have acquired a number of debt and equity
positions in CLO investment vehicles and CLO warehouse investments. These investments are special purpose financing vehicles. In
valuing such investments, we consider the indicative prices provided by a recognized industry pricing service as a primary source,
and the implied yield of such prices, supplemented by actual trades executed in the market at or around period-end, as well as
the indicative prices provided by the broker who arranges transactions in such investment vehicles. We also consider those instances
in which the record date for an equity distribution payment falls on the last day of the period, and the likelihood that a prospective
purchaser would require a downward adjustment to the indicative price representing substantially all of the pending distribution.
Additional factors include any available information on other relevant transactions including firm bids and offers in the market
and information resulting from bids-wanted-in-competition. In addition, we consider the operating metrics of the specific investment
vehicle, including compliance with collateralization tests, defaulted and restructured securities, and payment defaults, if any.
Oxford Square Management or the Valuation Committee may request an additional analysis by a third-party firm to assist in the valuation
process of CLO investment vehicles. All information is presented to our Board for its determination of fair value of these investments.



Bilateral Investments (Including Equity)



Bilateral investments for which market quotations
are readily available are valued by an independent pricing agent or market maker. If such market quotations are not readily available,
under the valuation procedures approved by our Board, upon the recommendation of the Valuation Committee, a third-party valuation
firm will prepare valuations for each of our bilateral investments that, when combined with all other investments in the same portfolio
company, (i) have a value as of the previous quarter of greater than or equal to 2.5% of its total assets as of the previous quarter,
and (ii) have a value as of the current quarter of greater than or equal to 2.5% of its total assets as of the previous quarter,
after taking into account any repayment of principal during the current quarter. In addition, in those instances where a third-party
valuation is prepared for a portfolio investment which meets the parameters noted in (i) and (ii) above, the frequency of those
third-party valuations is based upon the grade assigned to each such security under its credit grading system as follows: Grade
1, at least annually; Grade 2, at least semi-annually; Grades 3, 4, and 5, at least quarterly. Bilateral investments which do not
meet the parameters in (i) and (ii) above are not required to have a third-party valuation and, in those instances, a valuation
analysis will be prepared by Oxford Square Management. Oxford Square Management also retains the authority to seek, on our behalf,
additional third-party valuations with respect to our bilateral portfolio securities, our syndicated loan investments, and CLO
investment vehicles. Our Board retains ultimate authority as to the third-party review cycle as well as the appropriate valuation
of each investment.



Investment Income



Interest Income



Interest income is recorded on an accrual
basis using the contractual rate applicable to each debt investment and includes the accretion of market discounts and/or original
issue discount (“OID”) and amortization of market premiums. Discounts from and premiums to par value on securities
purchased are accreted/amortized into interest income over the life of the respective security using the effective yield method.
The amortized cost of investments represents the original cost adjusted for the accretion of discounts and amortization of premiums,
if any.



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, 2018 and December 31, 2017, we had no investments on
non-accrual status.



Interest income also includes a payment-in-kind
(“PIK”) provision on certain investments in our portfolio. Refer to the section below, “Payment-In-Kind,”
for a description of the PIK provision and its impact on interest income.



Payment-In-Kind



We have investments in our portfolio which
contain a contractual PIK provision. Certain PIK investments offer issuers the option at each payment date of making payments in
cash or additional securities. PIK interest computed at the contractual rate is accrued into income and added to the principal
balance on the capitalization date. Upon capitalization, the PIK component is subject to the fair value estimates associated with
their related investments. At the point we believe the PIK is not fully expected to be realized, the PIK investment will be placed
on non-accrual status. PIK investments on non-accrual status are restored to accrual status once it becomes probable that PIK will
be realized.



40







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.



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.



PORTFOLIO COMPOSITION AND INVESTMENT ACTIVITY



The total fair value of our investment
portfolio was approximately $414.2 million and $418.4 million as of March 31, 2018 and December 31, 2017, respectively. The
decrease in the value of investments during the three month period ended March 31, 2018 was due primarily to debt repayments
and sales of securities totaling approximately $28.0 million partially offset by net realized gains of $0.3 million,
purchases of investments of approximately $24.7 million and net unrealized appreciation on our investment portfolio of
approximately $2.5 million (which incorporates reductions to CLO equity cost value of $3.9 million).



A reconciliation of the investment portfolio
for the three months ended March 31, 2018 and the year ended December 31, 2017 follows:



|($ in millions)                                    |  | March 31, 2018 |       |   | December 31, 2017 |  
|-------------------------------------------------- |  | -------------- | ----- | - | ----------------- | -
|Beginning investment portfolio                     |  | $              | 418.4 |   |                   | $
|Portfolio investments acquired                     |  |                | 24.7  |   |                   |  
|Debt repayments                                    |  |                | (24.9 | ) |                   |  
|Sales of securities                                |  |                | (3.1  | ) |                   |  
|Reductions to CLO equity cost value(1)             |  |                | (3.9  | ) |                   |  
|Payment-in-kind                                    |  |                | 0.1   |   |                   |  
|Accretion of discounts on investments(2)           |  |                | 0.1   |   |                   |  
|Net change in unrealized appreciation/depreciation |  |                | 2.5   |   |                   |  
|Net realized gains/(losses) on investments         |  |                | 0.3   |   |                   |  
|Ending investment portfolio                        |  | $              | 414.2 |   |                   | $










| | (1) | For the three months ended March 31, 2018, 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, 2018, of approximately $10.7 million and the effective yield interest income of approximately
$6.8 million. For the year ended December 31, 2017, reduction to cost value on our CLO equity investments represents the difference
between distributions received, or entitled to be received for the year ended December 31, 2017, of approximately $70.4 million
and the effective yield interest income of approximately $33.3 million.
| | --- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | Includes rounding adjustment to reconcile ending investment
portfolio as of March 31, 2018 and December 31, 2017.
| | --- | -----------------------------------------------------------------------------------------------------------------



During the three months ended March 31, 2018,
we purchased approximately $24.7 million in portfolio investments, including additional investments of approximately $15.5 million
in existing portfolio companies and approximately $9.2 million in new portfolio companies. For the year ended December 31, 2017,
we closed approximately $208.8 million in portfolio investments, including additional investments of approximately $62.6 million
in existing portfolio companies and approximately $146.2 million in new portfolio companies.



41







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, 2018
and the year ended December 31, 2017, we recognized proceeds from the sales of securities of approximately $3.1 million and $171.4
million, respectively. Also, during the three months ended March 31, 2018 and the year ended December 31, 2017, we had debt repayments
of approximately $24.9 million and $189.2 million, respectively.



As of March 31, 2018, we had investments
in debt securities of, or loans to, 21 portfolio companies, with a fair value of approximately $246.2 million, and equity investments
of approximately $168.1 million. Our debt investments included approximately $0.1 million in capitalized PIK interest, which, as
described in “— Overview” section above, is added to the carrying value of our investments, reduced by repayments
of principal.



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



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, 2018                     |  | $                        | 24.7  |  |                 | $ | 24.9  |                                |  | $ | 3.9                  | 
|Total                              |  | $                        | 24.7  |  |                 | $ | 24.9  |                                |  | $ | 3.9                  | 
|December 31, 2017                  |  | $                        | 40.7  |  |                 | $ | 30.2  |                                |  | $ | 5.7                  | 
|September 31, 2017                 |  |                          | 31.2  |  |                 |   | 50.3  |                                |  |   | 3.2                  | 
|June 30, 2017                      |  |                          | 89.3  |  |                 |   | 57.1  |                                |  |   | 16.1                 | 
|March 31, 2017                     |  |                          | 47.6  |  |                 |   | 51.6  |                                |  |   | 12.1                 | 
|Total                              |  | $                        | 208.8 |  |                 | $ | 189.2 |                                |  | $ | 37.1                 | 










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



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



|                             |  | March 31, 2018            |       |  | December 31, 2017             | 
|---------------------------- |  | ------------------------- | ----- |  | ----------------------------- | 
|($ in millions)              |  | Investments at Fair Value |       |  | Percentage of Total Portfolio | 
|Senior Secured Notes         |  | $                         | 241.9 |  |                               | 
|Subordinated Debt            |  |                           | 0.8   |  |                               | 
|CLO Debt                     |  |                           | 3.5   |  |                               | 
|CLO Equity                   |  |                           | 154.2 |  |                               | 
|Equity and Other Investments |  |                           | 13.9  |  |                               | 
|Total(1)                     |  | $                         | 414.2 |  |                               | 










(1) Totals may not sum due
to rounding.



Qualifying assets must represent at least
70% of the Company’s total assets at the time of acquisition of any additional
non-qualifying assets. As of March 31, 2018, we held qualifying assets that represented 64.9% of our total assets. No
additional non-qualifying assets were acquired during the periods when qualifying assets were less than 70% of the total assets.



42







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



|                           |  | March 31, 2018                             |       |  | December 31, 2017        | 
|-------------------------- |  | ------------------------------------------ | ----- |  | ------------------------ | 
|                           |  | Investments at Fair Value  ($ in millions) |       |  | Percentage of Fair Value | 
|Structured finance(1)      |  | $                                          | 157.7 |  |                          | 
|Business services          |  |                                            | 74.7  |  |                          | 
|Telecommunication services |  |                                            | 37.6  |  |                          | 
|Software                   |  |                                            | 30.4  |  |                          | 
|Consumer services          |  |                                            | 19.5  |  |                          | 
|IT consulting              |  |                                            | 17.4  |  |                          | 
|Financial intermediaries   |  |                                            | 17.0  |  |                          | 
|Diversified insurance      |  |                                            | 15.2  |  |                          | 
|Healthcare                 |  |                                            | 13.1  |  |                          | 
|Printing and publishing    |  |                                            | 11.5  |  |                          | 
|Logistics                  |  |                                            | 10.3  |  |                          | 
|Aerospace and defense      |  |                                            | 5.4   |  |                          | 
|Education                  |  |                                            | 4.5   |  |                          | 
|Total(2)                   |  | $                                          | 414.2 |  |                          | 










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

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



PORTFOLIO GRADING



We have adopted a credit grading system to
monitor the quality of our debt investment portfolio. As of March 31, 2018 and December 31, 2017, our portfolio had a weighted
average grade of 2.1 and 2.2, respectively, based upon the fair value of the debt investments in the portfolio. Equity securities
and investments in CLOs are not graded.



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



|      |  |                                                                                                                                                                                                                                        |  | March 31, 2018                  |      
|----- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------- | -----
|Grade |  | Summary Description                                                                                                                                                                                                                    |  | Principal Value ($ in millions) |      
|      |  |                                                                                                                                                                                                                                        |  |                                 |      
|1     |  | Company is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and such trend is expected to continue.                                                                                  |  | $                               | —    
|2     |  | Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.                                                                                                                       |  |                                 | 214.6
|3     |  | Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.                                                                                        |  |                                 | 35.7 
|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.                                                                             |  |                                 | —    
|      |  |                                                                                                                                                                                                                                        |  | $                               | 250.3



43







|      |  |                                                                                                                                                                                                                                        |  | December 31, 2017               |      
|----- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------- | -----
|Grade |  | Summary Description                                                                                                                                                                                                                    |  | Principal Value ($ in millions) |      
|      |  |                                                                                                                                                                                                                                        |  |                                 |      
|1     |  | Company is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and such trend is expected to continue.                                                                                  |  | $                               | —    
|2     |  | Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.                                                                                                                       |  |                                 | 203.4
|3     |  | Closer monitoring is required. Full repayment of the outstanding amount of OXSQ’s cost basis and interest is expected for the specific tranche.                                                                                        |  |                                 | 49.9 
|4     |  | A loss of interest income has occurred or is expected to occur and, in most cases, the investment is placed on non-accrual status. Full repayment of the outstanding amount of OXSQ’s cost basis is expected for the specific tranche. |  |                                 | —    
|5     |  | Full repayment of the outstanding amount of OXSQ’s cost basis is not expected for the specific tranche and the investment is placed on non-accrual status.                                                                             |  |                                 | —    
|      |  |                                                                                                                                                                                                                                        |  | $                               | 253.3



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, 2018 to the three months ended March 31, 2017.



Investment Income



Investment income for the three months
ended March 31, 2018 and March 31, 2017 was approximately $13.3 million and $16.5 million, respectively, reflecting a
decrease of approximately $3.2 million. The following tables set forth the components of investment income for the three
months ended March 31, 2018 and March 31, 2017:



|                                                            |  | Three Months Ended March 31, 2018 |            |  | Three Months Ended
 March 31, 2017 |  
|----------------------------------------------------------- |  | --------------------------------- | ---------- |  | ---------------------------------- | -
|Interest income                                             |  |                                   |            |  |                                    |  
|Stated interest income                                      |  | $                                 | 5,662,791  |  |                                    | $
|Original issue discount and market discount income          |  |                                   | 198,239    |  |                                    |  
|Payment-in-kind income                                      |  |                                   | 59,321     |  |                                    |  
|Discount income derived from unscheduled remittances at par |  |                                   | 1,602      |  |                                    |  
|Total interest income                                       |  | $                                 | 5,921,953  |  |                                    | $
|Income from securitization vehicles                         |  | $                                 | 6,802,864  |  |                                    | $
|Commitment, amendment and other fee income                  |  |                                   |            |  |                                    |  
|Fee letters                                                 |  | $                                 | 274,915    |  |                                    | $
|Loan prepayment and bond call fees                          |  |                                   | 240,000    |  |                                    |  
|All other fees                                              |  |                                   | 107,068    |  |                                    |  
|Total commitment, amendment and other fee income            |  | $                                 | 621,983    |  |                                    | $
|Total investment income                                     |  | $                                 | 13,346,800 |  |                                    | $



44







The decrease in total investment income was
primarily due to a decrease in income from securitization vehicles of approximately $1.8 million resulting largely from a decreased
weighted average effective yield on our CLO equity portfolio. The total principal value of income producing debt investments as
of March 31, 2018 and March 31, 2017 was approximately $250.3 million and $338.0 million, respectively.



As of March 31, 2018, our debt investments
had stated interest rates of between 5.88% and 15.00% and maturity dates of between 9 and 106 months compared to stated interest
rates of 4.75% to 15.00% and maturity dates between 21 and 91 months as of March 31, 2017. In addition, our total debt portfolio
had a weighted average yield on debt investments of approximately 9.9% as of March 31, 2018, compared to approximately 8.4% as
of March 31, 2017. The increase in the weighted average yield on our debt portfolio over the past twelve months is primarily due
to our ongoing strategy of rotating the corporate loan portfolio into higher-yielding, less liquid loans.



Operating Expenses



Total expenses for the three months ended
March 31, 2018 and 2017 were approximately $4.6 million and $8.2 million, respectively. These amounts consisted of base management
fees, interest expense, professional fees, compensation expense, general and administrative expenses, and incentive fees.



Expenses before incentive fees for the three
months ended March 31, 2018 were approximately $3.6 million, which decreased by approximately $3.5 million from the quarter ended
March 31, 2017, largely attributable to lower interest expense, base management fees, and professional fees. Expenses before incentive
fees for the quarter ended March 31, 2017 were approximately $7.1 million.



The base management fee for the three months
ended March 31, 2018 was approximately $1.7 million compared with $2.3 million for the three months ended March 31, 2017. The decrease
was due largely to a decline in the weighted average gross assets due to the repayment of the TICC CLO 2012-1 LLC secure notes
and the Convertible Notes which occurred in the third and fourth quarters of 2017. As of March 31, 2018 and December 31, 2017,
approximately $1.7 million of base management fees remained payable to Oxford Square Management.



Interest expense for the three months ended
March 31, 2018 was approximately $1.1 million, which relates to our 6.50%
unsecured notes due 2024 (the “6.50% Unsecured Notes”), compared to interest expense of approximately $3.3 million
for the three months ended March 31, 2017. The primary driver of the decrease was the repayment of the TICC CLO 2012-1 secured
notes and the Convertible Notes. The aggregate accrued interest which remained payable as of March 31, 2018 and December 31, 2017,
was approximately $11.6 thousand.



Professional fees, consisting of legal, consulting,
valuation, audit and tax fees, were approximately $0.2 million for the quarter ended March 31, 2018, compared to approximately
$0.8 million for the quarter ended March 31, 2017. This represented a decrease of approximately $0.6 million primarily due to lower
audit fees.



Compensation expenses were approximately
$0.3 million for the three months ended March 31, 2018, compared to approximately $0.2 million for the three months ended
March 31, 2017, 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 $0.4 million for the three months ended March 31, 2018, compared to approximately $0.6 million
for the three months ended March 31, 2017. 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, 2018 was approximately $1.0 million, compared to $1.1 million for the three months ended March
31, 2017.



The net investment income incentive fee
is calculated and payable quarterly in arrears based on the amount by which (x) the “Pre-Incentive Fee Net Investment
Income” for the immediately preceding calendar quarter exceeds (y) the “Preferred Return Amount” for
calendar quarter (see “Note 8. Related Party Transactions” in the notes to our consolidated financial
statements). For this purpose, “Pre-Incentive Fee Net Investment Income” means interest income, dividend income
and any other income accrued during the calendar quarter minus our operating expenses for the quarter (including the
base fee, expenses payable under the Administration Agreement with Oxford Funds, and any interest expense and dividends paid
on any issued and outstanding preferred stock, but excluding the incentive fee).



45







The capital gains incentive fee expense,
as reported under generally accepted accounting principles, 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, 2018 and March 31, 2017, no accrual was required as a result of the impact of accumulated net unrealized depreciation
and net realized losses on our portfolio.



The amount of the capital gains incentive
fee which will actually be payable is determined in accordance with the terms of the Investment Advisory Agreement and is calculated
as of the end of each calendar year (or upon termination of the Investment Advisory Agreement). The terms of the Investment Advisory
Agreement state that the capital gains incentive fee calculation is based on net realized gains, if any, offset by gross unrealized
depreciation for the calendar year. No effect is given to gross unrealized appreciation in this calculation. For the three months
ended March 31, 2018 and March 31, 2017, 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, 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
and approximately $12.9 thousand relating to the reversal of prior period net unrealized depreciation as investment gains and losses
were realized. 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 
|Unitek Global Services, Inc.. |  |                                                  | (0.9
|Imagine! Print Solutions      |  |                                                  | (0.8
|Birch Communications, Inc..   |  |                                                  | 0.7 
|Telos CLO 2013-4, Ltd.        |  |                                                  | 0.7 
|Cedar Funding II CLO, Ltd.    |  |                                                  | (0.7
|Net all other                 |  |                                                  | (0.1
|Total                         |  | $                                                | 2.5 





For the three months ended March 31, 2017,
we recognized net realized losses on investments of approximately $5.5 million, which primarily reflects the losses from the sale
of several CLO equity investments, partially offset by the gains realized as a result of the repayment of our investment in Integra
Telecom common equity.



For the three months ended March 31, 2017,
our net change in unrealized appreciation/depreciation was approximately $9.6 million primarily due to improvements in the
corporate loan market, composed of $12.6 million in gross unrealized appreciation, $8.3 million in gross unrealized depreciation
and approximately $5.3 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 $12.1 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.



46









The most significant changes in net unrealized
appreciation and depreciation during the quarter ended March 31, 2017 were as follows (in millions):



|Portfolio Company              |  | Change in Unrealized Appreciation (Depreciation) |     
|------------------------------ |  | ------------------------------------------------ | ----
|Source Hov, LLC                |  | $                                                | 5.7 
|Mountain Hawk III CLO, Ltd.    |  |                                                  | 3.6 
|Shackleton 2013-IV CLO, Ltd.   |  |                                                  | 3.5 
|Benefit Street 2013 CLO Equity |  |                                                  | 2.8 
|Aricent Technologies, Inc.     |  |                                                  | 2.2 
|York CLO-1, Ltd.               |  |                                                  | (1.3
|Integra Telecom Holdings, Inc. |  |                                                  | (2.4
|Net all other(1)               |  |                                                  | (4.5
|Total                          |  | $                                                | 9.6 










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



Net Increase in Net Assets Resulting from Net Investment
Income



Net investment income for the three months
ended March 31, 2018 and March 31, 2017 was approximately $8.7 million and $8.3 million, respectively, or an increase of $0.4
million. The net increase was the result of lower total expenses (including net investment income incentive fees) of $3.6 million
for the three months ended March 31, 2018.



For the three months ended March 31, 2018,
the net increase in net assets resulting from net investment income per common share was $0.17 (basic and diluted), compared to
the net increase in net assets resulting from net investment income per share of $0.16 (basic and diluted) for the three months
ended March 31, 2017. Due to the anti-dilutive effect on the computation of diluted earnings per share for the three months ended
March 31, 2018 and 2017, the adjustments for interest on Convertible Notes, investment advisory fees, deferred issuance costs and
net investment income incentive fees as well as adjustments for dilutive effect of Convertible Notes were excluded from the respective
period’s diluted earnings per share computation.



For the three months ended March 31, 2018,
the net increase in the net assets resulting from core net investment income per common share was $0.15 (basic and diluted), compared
to $0.21 (basic and diluted) for the three months ended March 31, 2017.



Please see “— Supplemental
Information Regarding Core Net Investment Income” below for more information.



Net Increase in Net Assets Resulting from Operations



Net increase in net assets resulting from
operations for the three months ended March 31, 2018 was approximately $11.5 million compared with a net increase in net assets
resulting from operations of approximately $12.1 million for the three months ended March 31, 2017. This decrease was largely due
to lower unrealized appreciation on investments of $7.2 million, partially offset by an increase in net realized gains on investments
of $6.2 million and an increase in net investment income of $0.4 million.



For the three months ended March 31, 2018,
the net increase in net assets resulting from operations per common share was $0.22 (basic and diluted), compared to a net
increase in net assets resulting from operations per share of approximately $0.23 (basic and diluted) for the three months ended
March 31, 2017.



47







Supplemental Information Regarding Core Net Investment
Income



On a supplemental basis, we provide information
relating to 1) core net investment income and 2) the ratio of core net investment income to net assets, which are non-GAAP measures.
These measures are provided in addition to, but not as a substitute for, net investment income. Our non-GAAP measures may differ
from similar measures by other companies, even if similar terms are used to identify such measures. Core net investment income
represents net investment income adjusted for additional cash distributions received, or entitled to be received (if any, in either
case), on our CLO equity investments (excluding those cash distributions believed to represent a taxable return of capital) and
also excludes any capital gains incentive fees we recognize but have no obligation to pay in any period. The Company did not recognize
any capital gains incentive fees for the quarter ended March 31, 2018.



Income from investments in the “equity”
class securities of CLO vehicles, for GAAP purposes, is recorded using the effective interest method based upon an effective yield
to the expected redemption utilizing estimated cash flows, compared to the cost resulting in an effective yield for the investment;
the difference between the actual cash received or distributions entitled to be received and the effective yield calculation is
an adjustment to cost. Accordingly, investment income recognized on CLO equity securities in the GAAP statement of operations differs
from the cash distributions actually received by us during the period (referred to below as “CLO equity adjustments”).



Further, in order to continue to qualify
to be taxed as a RIC, we are required, among other things, to distribute at least 90% of our investment company taxable income
annually. Therefore, core net investment income may provide a better indication of estimated taxable income for a reporting period
than does GAAP net investment income, although we can offer no assurance that will be the case, as the ultimate tax character of
our earnings cannot be determined until tax returns are prepared after the end of a fiscal year. We note that these non-GAAP measures
may not be useful indicators of taxable earnings, particularly during periods of market disruption and volatility.



The following tables provide a reconciliation
of net investment income to core net investment income for the three months ended March 31, 2018 and 2017, respectively:



|                           |  | Three Months Ended  March 31, 2018 |            |   | Three Months Ended  March 31, 2017 |  
|-------------------------- |  | ---------------------------------- | ---------- | - | ---------------------------------- | -
|                           |  | Amount                             |            |   | Per Share Amounts                  |  
|Net investment income      |  | $                                  | 8,723,096  |   |                                    | $
|CLO equity adjustments     |  |                                    | (1,115,601 | ) |                                    |  
|Core net investment income |  | $                                  | 7,607,495  |   |                                    | $



In addition, the following ratio is presented
to supplement the financial highlights included in “Note 14. Financial Highlights” in the notes to our consolidated
financial statements:



|                                                          |  | Three Months Ended March 31, 2018 |      |   | Three Months Ended March 31, 2017 | 
|--------------------------------------------------------- |  | --------------------------------- | ---- | - | --------------------------------- | 
|Ratio of core net investment income to average net assets |  |                                   | 7.85 | % |                                   | 



The following table provides a reconciliation
of the ratio of net investment income to average net assets to the ratio of core net investment income to average net assets for
the three months ended March 31, 2018 and 2017, respectively:



|                                                             |  | Three Months Ended March 31, 2018 |       |    | Three Months Ended March 31, 2017 | 
|------------------------------------------------------------ |  | --------------------------------- | ----- | -- | --------------------------------- | 
|Ratio of net investment income to average net assets         |  |                                   | 9.01  | %  |                                   | 
|Ratio of CLO equity adjustments to average net assets        |  |                                   | (1.15 | )% |                                   | 
|Ratio of core net investment income to average net assets(1) |  |                                   | 7.85  | %  |                                   | 



(1) Totals may not sum due to rounding.



48







LIQUIDITY AND CAPITAL RESOURCES



As of March 31, 2018, cash and cash equivalents
were approximately $48.8 million as compared to approximately $30.0 million as of December 31, 2017. For the three months ended
March 31, 2018, net cash provided by operating activities for the period, consisting primarily of the items described in “— Results
of Operations,” was approximately $34.9 million, largely reflecting proceeds from principal repayments and sales of investments
of approximately $26.3 million and reductions to CLO equity cost value of $3.9 million partially offset by purchases of investments
of approximately $6.1 million and net change in unrealized appreciation/depreciation of $2.5 million. For the three months ended
March 31, 2018, net cash used in financing activities was approximately $16.1 million, reflecting the distribution of dividends
and repurchase of common stock.



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



Contractual Obligations



A summary of our significant contractual
payment obligations as of March 31, 2018 is as follows:



|                            |  |       |            |  | Payments Due by Period |  
|--------------------------- |  | ----- | ---------- |  | ---------------------- | -
|Contractual obligations     |  | Total |            |  | Less than 1 year       |  
|Long-term debt obligations: |  |       |            |  |                        |  
|6.50% Unsecured Notes       |  | $     | 64,370,225 |  |                        | $
|                            |  | $     | 64,370,225 |  |                        |  



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



Off-Balance Sheet Arrangements



As of March 31, 2018, 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, we are only allowed to borrow amounts such that our asset coverage, as defined in the 1940 Act, is at least
200%, immediately after such borrowing. As of March 31, 2018, our asset coverage for borrowed amounts was 693.2%.



On March 23, 2018, the Small Business Credit
Availability Act (the “SBCAA”) was signed into law, which included various changes to regulations under the federal
securities laws that impact BDCs. The SBCAA included changes to the 1940 Act to allow BDCs to decrease their asset coverage requirement
to 150% from 200% under certain circumstances. On April 6, 2018, the Board, including a “required majority” (as such
term is defined in Section 57(o) of the 1940 Act) of the Board, approved the modified asset coverage requirements set forth in
Section 61(a)(2) of the 1940 Act, as amended by the SBCAA. As a result, the Company’s asset coverage requirements for senior
securities will be changed from 200% to 150%, effective as of April 6, 2019.



The weighted average stated interest rate
and weighted average maturity on all of the Company’s debt outstanding as of March 31, 2018 were 6.50% and 6.0 years, respectively,
and as of December 31, 2017 were 6.50% and 6.2 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 will bear interest at a rate of 6.50% per year
payable quarterly on March 30, June 30, September 30, and December 30 of each year, commencing June 30, 2017.



49







The
aggregate accrued interest payable on the 6.50% Unsecured Notes as of March 31, 2018 was approximately $11.6 thousand. As of March
31, 2018, the Company had unamortized deferred debt issuance costs of approximately $2.0 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.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.



Effective January 1, 2015, we recorded interest
from our investments in the equity class securities of CLO vehicles using the effective interest method in accordance with the
provisions of ASC 325-40, Beneficial Interests in Securitized Financial Assets, based upon an estimation of an effective
yield to the expected redemption utilizing estimated cash flows, including those CLO equity investments that have not made their
inaugural distribution for the relevant period end. We monitor the expected residual payments, and effective yield is determined
and updated periodically, as needed. Accordingly, investment income recognized on CLO equity securities in the GAAP statement of
operations differs from both the tax-basis investment income and from the cash distributions we actually received during the period.
CLO entities generally constitute “passive foreign investment companies” and are subject to complex tax rules; the
calculation of taxable income attributed to a CLO equity investment can be dramatically different from the calculation of income
for financial reporting purposes. Taxable income is based upon the distributable share of earnings as determined under tax regulations
for each CLO equity investment, while accounting income is recorded using the effective yield method. This method requires the
calculation of an effective yield to expected redemption based upon an estimation of the amount and timing of future cash flows,
including recurring cash flows as well as future principal repayments; the difference between the actual cash received (and record
date distributions to be received) and the effective yield income calculation is an adjustment to cost. The effective yield is
reviewed quarterly and adjusted as appropriate. Our final taxable earnings for the year ended December 31, 2017 will not be known
until our tax returns are filed, but our experience has been that cash flows have historically represented a reasonable estimate
of taxable earnings. While GAAP accounting income from our CLO equity class investments for the three months ended March 31, 2018
was approximately $6.8 million, we received or were entitled to receive approximately $10.7 million in distributions. Our distribution
policy is based upon our estimate of our taxable net investment income, which includes actual distributions from our CLO equity
class investments, with further consideration given to our realized gains or losses on a taxable basis.



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



|Date Declared     |  | Record Date        |  | Payment Date       |  | Distributions |      |     | GAAP net
    investment income |   |      | Distributions
    in excess of net investment income | 
|----------------- |  | ------------------ |  | ------------------ |  | ------------- | ---- | --- | ------------------------------ | - | ---- | ---------------------------------------------------- | 
|Fiscal 2018       |  |                    |  |                    |  |               |      |     |                                |   |      |                                                      | 
|April 24, 2018    |  | June 15, 2018      |  | June 29, 2018      |  | $             | 0.20 |     |                                | $ | —    | (1)                                                  | 
|February 22, 2018 |  | March 16, 2018     |  | March 30, 2018     |  | $             | 0.20 |     |                                | $ | —    | (1)                                                  | 
|Fiscal 2017       |  |                    |  |                    |  |               |      |     |                                |   |      |                                                      | 
|October 27, 2017  |  | December 15, 2017  |  | December 29, 2017  |  | $             | 0.20 |     |                                | $ | 0.15 |                                                      | 
|February 27, 2017 |  | September 15, 2017 |  | September 29, 2017 |  |               | 0.20 |     |                                |   | 0.13 |                                                      | 
|February 27, 2017 |  | June 16, 2017      |  | June 30, 2017      |  |               | 0.20 |     |                                |   | 0.16 |                                                      | 
|February 27, 2017 |  | March 16, 2017     |  | March 31, 2017     |  |               | 0.20 |     |                                |   | 0.16 |                                                      | 
|Total
    (2017)  |  |                    |  |                    |  | $             | 0.80 | (2) |                                | $ | 0.60 |                                                      | 
|Fiscal 2016       |  |                    |  |                    |  |               |      |     |                                |   |      |                                                      | 
|October 26, 2016  |  | December 16, 2016  |  | December 30, 2016  |  | $             | 0.29 |     |                                | $ | 0.18 |                                                      | 
|July 28, 2016     |  | September 16, 2016 |  | September 30, 2016 |  |               | 0.29 |     |                                |   | 0.13 |                                                      | 
|April 28, 2016    |  | June 16, 2016      |  | June 30, 2016      |  |               | 0.29 |     |                                |   | 0.13 |                                                      | 
|February 18, 2016 |  | March 17, 2016     |  | March 31, 2016     |  |               | 0.29 |     |                                |   | 0.08 |                                                      | 
|Total
    (2016)  |  |                    |  |                    |  | $             | 1.16 | (3) |                                | $ | 0.52 |                                                      | 








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



50







| | (2) | The tax characterization of cash distributions for the
year ended December 31, 2017 will not be known until the tax return for such year is finalized.
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------

| | (3) | Cash distributions for the year ended December 31, 2016
includes a tax return of capital of approximately $0.59 per share for tax purposes.
| | --- | -------------------------------------------------------------------------------------------------------------------------------------------



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, but he does
not take part in the management or participate in the operations of 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, a private fund that invests 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.



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. and Oxford Bridge, 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. and Oxford Bridge, 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.



51







We have also adopted a Code of Business Conduct
and Ethics which applies to, among others, our senior officers, including our Chief Executive Officer and Chief Financial Officer,
as well as all of our officers, directors and employees. Our Code of Business Conduct and Ethics requires that all employees and
directors avoid any conflict, or the appearance of a conflict, between an individual’s personal interests and our interests.
Pursuant to our Code of Business Conduct and Ethics, each employee and director must disclose any conflicts of interest, or actions
or relationships that might give rise to a conflict. Our Audit Committee is charged with approving any waivers under our Code of
Business Conduct and Ethics. As required by the NASDAQ Global Select Market corporate governance listing standards, the Audit Committee
of our Board is also required to review and approve any transactions with related parties (as such term is defined in Item 404
of Regulation S-K).



Information concerning related party transactions
is included in the consolidated financial statements and related notes, appearing elsewhere in this quarterly report on Form 10-Q.



RECENT DEVELOPMENTS



From April 1, 2018 through May 2,
2018, an additional 100,456 shares of the Company’s common stock settled through its share repurchase program, for an
aggregate cost of approximately $617,085 at a weighted average price per share of common stock of approximately $6.14.



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.



On April 24, 2018, the Board declared a
distribution of $0.20 per share for the fourth quarter, payable on June 29, 2018 to stockholders of record as of June 15, 2018.



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, 2018, one debt investment in our portfolio was at a fixed rate, and the remaining
25 debt investments were at variable rates, representing approximately $0.8 million and $249.5 million in principal debt, respectively.
As of March 31, 2018, all of our variable rate investments were income producing. The variable rates are based upon the five-year
Treasury note, the Prime rate or LIBOR, and, in the case of our bilateral investments, are generally reset annually, whereas our
non-bilateral investments generally reset quarterly. We expect that future debt investments will generally be made at variable
rates. Many of the variable rate investments contain floors.



Based on our Consolidated
Statements of Assets and Liabilities as of March 31, 2018, the following table shows the annualized impact on investment
income of hypothetical base rate changes in interest rates for our settled investments (considering interest rate floors for
floating rate instruments), excluding CLO equity investments. The base interest rate case assumes the rates on our
portfolio investments remain unchanged from the actual effective interest rates as of March 31, 2018. These hypothetical
calculations are based on a model of the investments in our portfolio, held as of March 31, 2018, and are only adjusted for
assumed changes in the underlying base interest rates. As of March 31, 2018, we did not hold any floating rate debt. Although
management believes that this analysis is indicative of our existing interest rate sensitivity, it does not adjust for
changes in the credit quality, size and composition of our portfolio, and other business developments, including a change in
the level of our borrowings, that could affect the net increase (or decrease) in net assets resulting from operations.
Accordingly, no assurances can be given that actual results would not differ materially from the results under
this hypothetical analysis.



|Hypothetical Change in Interest Rates |  | Estimated  Percentage change in Investment Income |     
|------------------------------------- |  | ------------------------------------------------- | ----
|Up 100 basis points                   |  |                                                   | 4.7 
|Up 200 basis points                   |  |                                                   | 9.3 
|Up 300 basis points                   |  |                                                   | 14.0
|Down 25 basis points                  |  |                                                   | (1.2



We may in the future hedge against interest
rate fluctuations by using standard hedging instruments such as futures, options and forward contracts. While hedging activities
may insulate us against adverse changes in interest rates, they may also limit our ability to participate in the benefits of lower
interest rates with respect to the investments in our portfolio with fixed interest rates.



52







ITEM 4. CONTROLS AND PROCEDURES.



(a) Evaluation of Disclosure
Controls and Procedures



As of March 31, 2018 (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, 2018 that have materially affected, or are reasonably likely to materially affect,
the Company’s internal control over financial reporting.



53







PART II — OTHER INFORMATION



ITEM 1. LEGAL PROCEEDINGS.



We are not currently subject to any material
legal proceedings. From time to time, we may be a party to certain legal proceedings in the ordinary course of business, including
proceedings relating to the enforcement of our rights under contracts with our portfolio companies. While the outcome of these
legal proceedings, if any, cannot be predicted with certainty, we do not expect that these proceedings will have a material effect
upon our financial condition or results of operations.



ITEM 1A. RISK FACTORS.



In addition to the other information set
forth in this report, you should carefully consider the factors discussed in Item 1A. Risk Factors in our Annual Report on Form
10-K for the fiscal year ended December 31, 2017, which could materially affect our business, financial condition and/or operating
results. The risks described in our Annual Report on Form 10-K are not the only risks facing our company. Additional risks and
uncertainties not currently known to us or that we currently deem to be immaterial also may materially and adversely affect our
business, financial condition and/or operating results. Other than the risks described below, there have been no material changes
during the three months ended March 31, 2018 to the risk factors discussed in Item 1A. Risk Factors in our Annual Report on Form
10-K for the year ended December 31, 2017.



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



On April 6, 2018, the Board, including
a “required majority” (as such term is defined in Section 57(o) of the 1940 Act) of the Board, approved the modified
asset coverage requirements set forth in Section 61(a)(2) of the 1940 Act, as amended by the SBCAA. As a result, the Company’s
asset coverage requirements for senior securities will be changed from 200% to 150%, effective as of April 6, 2019. Prior
to the enactment of the SBCAA, BDCs were required to maintain an asset coverage ratio of at least 200% in order to incur debt or
to issue other senior securities. Generally, for every $1.00 of debt incurred or in senior securities issued, a BDC was required
to have at least $2.00 of assets immediately following such incurrence or issuance. For those BDCs that satisfy the SBCAA’s
disclosure and approval requirements, the minimum asset coverage ratio is reduced such that for every $1.00 of debt incurred or
in senior securities issued, a BDC must now have at least $1.50 of assets. If we incur additional leverage, general interest rate
fluctuations may have a more significant negative impact on our investments and investment opportunities than they would have absent
such additional incurrence, and, accordingly, may have a material adverse effect on our investment objectives and rate of return
on investment capital.



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



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, 2018, and we did not issue shares of common stock under our distribution
reinvestment plan. During the three months ended March 31, 2018, as part of our dividend reinvestment plan for our common stockholders,
our dividend reinvestment administrator purchased 59,647 shares of our common stock for $366,649 million in the open market to
satisfy the reinvestment portion of our dividends.



54







Issuer Purchases of Equity Securities



On February 5, 2018, our board of directors
authorized a program for the purpose of repurchasing up to $25.0 million worth of our common stock. Under the repurchase program,
we may, but we are not obligated to, repurchase our outstanding common stock in the open market from time to time provided that
we comply with the prohibitions under our Insider Trading Policies and Procedures and the guidelines specified in Rule 10b-18 of
the Securities Exchange Act of 1934, as amended, including certain price, market volume and timing constraints. In addition, any
repurchases will be conducted in accordance with the Investment Company Act of 1940, as amended. During the quarter ended March
31, 2018, we repurchased 990,260 shares at a weighted average price of approximately $6.01 per share, inclusive of commissions.
This represents a discount of approximately 20.92% of the net asset value per share at March 31, 2018. The total dollar amount
of shares repurchased in this period is approximately $5.9 million, leaving a maximum of approximately $19.1 million available
for future program purchases. The following table discloses on a monthly basis for the quarter ended March 31, 2018, the total
number of shares repurchased (including the total number of shares repurchased under this program), the weighted average price
paid per share, and the maximum number of shares (or approximate dollar value) of shares that may yet be repurchased under the
program.



|Period                               |  | Total Number of Shares Purchased |         |  | Average Price Paid per Share |   |      | Cumulative Number of Shares Purchased as Part of Publicly Announced Program |  |  | Maximum Number (or Approximate Dollar Value) of Shares that May Yet Be Purchased Under the Program | 
|------------------------------------ |  | -------------------------------- | ------- |  | ---------------------------- | - | ---- | --------------------------------------------------------------------------- |  |  | -------------------------------------------------------------------------------------------------- | 
|January 1, 2018 – January 31, 2018   |  |                                  | —       |  |                              | $ | —    |                                                                             |  |  | —                                                                                                  | 
|February 1, 2018 – February 28, 2018 |  |                                  | 336,921 |  |                              | $ | 5.66 |                                                                             |  |  | 336,921                                                                                            | 
|March 1, 2018 – March 31, 2018       |  |                                  | 653,339 |  |                              | $ | 6.18 |                                                                             |  |  | 990,260                                                                                            | 



ITEM 3. DEFAULTS UPON SENIOR SECURITIES.



None.



ITEM 4. MINE SAFETY DISCLOSURES.



Not applicable.



ITEM 5. OTHER INFORMATION.



None.



55







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).
|     |  |                                                                                                                                                                               
|11   |  | Computation of Per Share Earnings (included in the notes to the financial statements contained in this report).                                                               
|     |  |                                                                                                                                                                               
|31.1 |  | Certification of Chief Executive Officer pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*                                                         
|     |  |                                                                                                                                                                               
|31.2 |  | Certification of Chief Financial Officer pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*                                                         
|     |  |                                                                                                                                                                               
|32.1 |  | Certification of Chief Executive Officer pursuant to section 906 of The Sarbanes-Oxley Act of 2002.*                                                                          
|     |  |                                                                                                                                                                               
|32.2 |  | Certification of Chief Financial Officer pursuant to section 906 of The Sarbanes-Oxley Act of 2002.*                                                                          








* Filed herewith



56







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 2, 2018 |  | By:                        
|                  |  |                            
|                  |  |                            
|                  |  |                            
|                  |  |                            
|Date: May 2, 2018 |  | By:                        
|                  |  |                            
|                  |  |                            
|                  |  |                            



57