#1OXSQ Oxford Square Capital Corp. Investor Presentation Quarter Ended September 30, 2022#2Disclaimer This presentation is neither an offer to sell, nor a solicitation of an offer to purchase, any securities of Oxford Square Capital Corp. ("OXSQ" or the "Company"). This presentation and the summaries contained herein do not purport to be complete and no obligation to update or otherwise revise such information is being assumed. Nothing shall be relied upon as a promise or representation as to the future performance of the Company. Such information is qualified in its entirety by reference to the more detailed discussions contained elsewhere in the Company's public filings with the Securities and Exchange Commission. There is no guarantee that any of the estimates, targets or projections illustrated in this presentation will be achieved. Any references herein to any of the Company's past or present investments or its past or present performance have been provided for illustrative purposes only. should not be assumed that these investments were or will be profitable or that any future investments by the Company will be profitable or will equal the performance of past or present investments. The information contained herein has been derived from financial statements and other documents provided by the portfolio companies and/or the third-party manager of such portfolio companies unless otherwise stated. Certain information discussed in this presentation (including information relating to portfolio companies) was derived from third-party sources and has not been independently verified and, accordingly, the Company makes no representation or warranty with respect to this information. Past performance is not indicative of future results. In addition, there can be no assurance that unrealized gains/losses will be realized at the expected multiples shown since actual realized returns will depend on, among other factors, the future operating results of each of the Company's current portfolio companies, the value of the assets and economic conditions at the time of disposition, any related transaction costs, and the timing and manner of sale, all of which may differ from the assumptions on which the Company's expected returns are based. In certain instances, the Company will not determine the timing or manner of disposition of the Company's portfolio companies. Statements included herein may constitute "forward-looking statements," which relate to future events or our future performance or financial condition. These statements are not guarantees of future performance, condition or results and involve a number of risks and uncertainties, including the impact of the COVID-19 pandemic and related changes in base interest rates and significant market volatility on the Company's business, its portfolio companies, its industry and the global economy. Actual results may differ materially from those in the forward-looking statements as a result of a number of factors, including those described from time to time in the Company's public filings with the Securities and Exchange Commission. The Company undertakes no duty to update any forward-looking statements made herein, except as may be required by law. 2 OXSQ#3Financial Highlights ($ per share) GAAP net investment income1 Distributions declared and paid Net realized gains (losses) on investments1 Net unrealized (losses) gains on investments¹ Q3-22 Q2-22 Q1-22 Q4-21 Q3-21 $ 0.11 $ 0.09 $ 0.09 $ 0.09 $ 0.08 $ 0.105 $ 0.105 $ 0.105 $ 0.105 $ 0.105 $ 0.00 $ (0.03) $ 0.02 $ (0.08) $ 0.03 $ (0.34) $ (0.93) $ (0.27) $ (0.01) $ 0.11 Net (decrease) increase in net assets resulting from operations 1 $ (0.22) $ (0.87) $ (0.16) $ 0.00 $ 0.23 Net asset value $ 3.34 $ 3.67 $ 4.65 $ 4.92 $ 5.03 ($ in millions) Total fair value of investments Number of portfolio investments Net assets Principal amount of debt outstanding Debt to equity Note: Certain figures may not foot or tie to financial statements due to rounding. 1. Per share amounts based on weighted average shares outstanding for the respective quarter presented. 3 Q3-22 Q2-22 Q1-22 Q4-21 Q3-21 $ 340.2 $ 369.4 $ 406.2 $ 420.8 $ 421.1 61 61 59 60 61 $166.5 $182.8 $231.3 $244.6 $ 249.6 $ 189.7 $ 189.7 $ 189.7 $ 189.7 $ 189.7 1.14x 1.04x 0.82x 0.78x 0.76x OXSQ#4Summary Portfolio Highlights Portfolio Activity ($ in millions) New investments Repayments and Sales Net investment activity Weighted average yield of debt investments at current cost¹ Q3-22 $ 3.9 Q2-22 Q1-22 Q4-21 Q3-21 $ 26.9 $ 47.4 $ 23.3 $ 23.1 12.8 9.6 42.0 11.9 5.7 $ (8.8) $ 17.2 $ 5.3 $ 11.4 $ 17.4 10.4% 9.0% 8.0% 7.7% 7.5% Weighted average effective yield of CLO equity investments at current cost 9.0% 9.5% 8.9% 9.1% 9.1% Weighted average yield of total investments at current cost 9.8% 9.2% 8.4% 8.3% 8.2% Weighted average cash distribution yield of debt investments at current cost² 8.5% 7.3% 6.6% 6.6% 6.4% Weighted average cash distribution yield of cash income producing CLO equity investments at current cost³ Weighted average cash yield of cash income producing securities at current cost 16.6% 20.7% 23.8% 21.2% 19.6% 11.7% 12.5% 13.4% 12.0% 11.6% Total Investments by Asset Type 4,5 First-lien secured debt Second-lien secured debt CLO equity CLO debt Other Q3-22 Q2-22 Q1-22 Q4-21 Q3-21 24% 23% 22% 22% 26% 44% 46% 45% 41% 36% 32% 30% 33% 37% 39% 0% 0% 0% 0% 0% <1% <1% <1% <1% <1% Note: Certain figures may not foot or tie to financial statements due to rounding. 1. 2. 3. 4. 456 Represents accrued interest divided by amortized cost of interest earning debt investments (excluding investments on non-accrual status) held on 9/30/2022. Represents the cash interest received or entitled to be received and recognized as income on interest earning debt investments (excluding PIK interest and OID) in the respective quarter annualized, divided by the average of the total cost basis at the beginning and end of such respective quarter of total debt investments. The CLO equity cash distribution yield shown is calculated by taking the quarterly distributions received, or were entitled to be received, for the CLO equity investments which were scheduled to make a distribution to OXSQ (which includes investments where there was full cashflow diversion), annualizing such amount and dividing by the current cost basis of those investments. It does not include CLO equity which had not made its initial distribution by quarter-end or CLO investments which have been optionally redeemed. As a percentage of the total invested portfolio fair value as of quarter end. Excludes cash and equivalents. Due to rounding, totals may not add up to 100%. "Other" includes common stock and preferred equity. 4 OXSQ#5CLO Equity & Initial Distribution Schedule ($ in millions) CLO equity which has made its initial distribution to OXSQ (at original cost) 1 CLO equity which has not made its initial distribution to OXSQ (at original cost)² Total CLO Equity1 CLO Equity Holdings Making Initial Distributions as of the Dates Below² ($ in millions) CLO equity expected to make initial distribution to OXSQ by 12-31-22 (at original cost) CLO equity expected to make initial distribution to OXSQ by 3-31-23 (at original cost) CLO equity expected to make initial distribution to OXSQ by 6-30-23 (at original cost) Total Cash Flow Diversion Amount ($ in millions) Cash flow diversion amount 3,4 Q3-22 Q2-22 Q1-22 $ 242.9 $ 221.4 $ 232.6 $ 203.7 3.9 23.3 Q4-21 33.5 $ 209.1 33.5 Q3-21 $ 246.9 $ 244.7 $ 232.6 $ 237.1 $ 242.5 $ 3.9 $ 3.9 Q3-22 $ Q2-22 $ Q1-22 $ Q4-21 $ - Q3-21 $ Note: Totals may not sum due to rounding. 1. Excludes called deals. 2. 3. 4. Represents the amount of CLO equity investments (purchased in either the primary or secondary market) which had not yet made an initial distribution to OXSQ during the quarter. For newly issued CLOS, it can generally take up to three quarters from issuance to receive initial distribution payments from those respective CLO equity investments. These figures represent the total cash diverted from investments by the CLO vehicle as a result of failure to comply with their respective overcollateralization and/or interest diversion tests. As reported by Trustee, includes record date payments as of quarter-end. LO 5 OXSQ#6CLO Portfolio Summary OXSQ CLO Portfolio Information as of 09/30/2022 CLO Equity Positions CLO Vintage Year¹ Tranche Type Non-Call Period End* Reinvestment Period End* AAA Spread (Over Index)* Junior Tranche Overcollateralization Overcollateralization Interest Diversion Weighted Weighted Average Weighted Average Portfolio Spread* Average Rating Diversity Score* Portfolio Life Cushion* Cushion* Factor* (Years)* CLO Equity Position #1 2013 CLO Equity Callable July-19 NA -4.34% NR 4.05% 3825 22 2.59 CLO Equity Position #2 2014 CLO Equity Callable April-20 0.88% 0.34% NR 3.32% 2603 80 2.66 CLO Equity Position #3 2014 CLO Equity Callable April-20 1.25% -0.89% NR 3.48% NA 35 2.92 CLO Equity Position #4 2015 CLO Equity Callable January-21 0.92% 4.17% NR 3.25% 2794 61 2.88 CLO Equity Position #5 2017 CLO Equity Callable July-21 1.17% 0.66% NR 3.77% 2970 69 3.28 CLO Equity Position #6. 2013 CLO Equity Callable January-22 1.24% 1.29% NR 3.29% 2691 74 4.10 CLO Equity Position #7 2017 CLO Equity Callable July-22 0.98% 1.76% NR 3.48% 2738 86 3.79 CLO Equity Position #8 2015 CLO Equity Callable October-22 0.94% 3.15% 2.65% 3.71% 2956 79 4.39 CLO Equity Position #9 2015 CLO Equity Callable January-23 0.99% 1.56% 0.61% 3.53% 2836 94 4.38 CLO Equity Position #10 2019 CLO Equity Callable April-23 1.35% 2.70% 1.70% 3.74% 2755 94 4.35 CLO Equity Position #11 2018 CLO Equity Callable July-23 1.10% 1.71% 0.71% 3.43% 2852 76 4.34 CLO Equity Position #12 2014 CLO Equity Callable October-23 1.15% 1.57% 1.07% 3.53% 2797 99 4.69 CLO Equity Position #13 2014 CLO Equity Callable October-23 1.21% 2.43% 1.98% 3.44% 2871 95 4.24 CLO Equity Position #14 2018 CLO Equity Callable October-23 1.20% 2.23% 1.23% 3.87% 2510 103 4.69 CLO Equity Position #15 2021 CLO Equity Callable January-24 1.22% 5.71% 5.21% 3.65% 2734 80 4.82 CLO Equity Position #16 2020 CLO Equity Callable April-25 1.29% 6.10% 5.60% 3.77% 2604 102 4.81 CLO Equity Position #17 2013 CLO Equity April-23 April-26 1.08% 5.13% 4.62% 3.34% NA NA 4.29 CLO Equity Position #18 2016 CLO Equity April-23 April-26 1.05% 4.87% 4.37% 3.34% 2797 84 4.30 CLO Equity Position #19 2016 CLO Equity April-23 April-26 1.04% 5.37% 4.37% 3.45% 2707 99 4.62 CLO Equity Position #20 2021 CLO Equity August-23 July-26 1.17% 5.61% 5.11% 3.63% 2747 86 5.04 CLO Equity Position #21 2020 CLO Equity October-23 October-26 1.19% 5.14% 4.64% 3.58% 2681 92 4.77 Subtotal (Fair Value) $106,111,443² January-253 1.11%³ 4.58%³ 4.23%³ 3.54%³ 27453,4 883 4.533 Note: OXSQ did not hold any CLO debt positions as of 09/30/2022. 1. Year in which the deal was initially issued prior to any related refinancings and/or resets. 1234* Excludes called deals and CLO equity side letter related investments. 2. 3. Shown on a weighted average basis (based on fair value). 4. Weighted Average Rating Factor of 2745, for underlying loans of OXSQ's CLO equity tranche positions, is equivalent to a Moody's corporate debt rating of between B2 and B3 (B2 = 2720, B3 = 3490). 6 Source: As reported by Intex. OXSQ#7Investment Portfolio ☐ $340.2 million portfolio composed of 61 portfolio investments¹ ■ Average investment by fair value represents 1.6% of total portfolio Top 10 portfolio investments by fair value represent 46.5% of total portfolio² Total Investments by Asset Type 1,3,4,5 Corporate Loan Portfolio by Industry 1,6 Other <1% CLO Equity 31.7% First-Lien 24.2% 6.4% Second- Lien 43.5% 17.1% 5.1% 6.3% 3.1% 27.8% 67.7% of OXSQ's investments are in senior secured debt¹ 123456 1. At fair value as of 9/30/2022. Totals may not sum due to rounding. Excludes cash and equivalents. 2. Does not combine different investments in the same company or CLO vehicle. 3. As a percentage of the total invested portfolio fair value as of quarter end. 4. "Other" includes common stock and preferred equity. 5. Assumes a portfolio investment's revolving credit facility is fully funded. 6. Excludes CLO equity and CLO debt investments. 7 Total Software Total Business Services Total Healthcare 34.2% ■Total Diversified Insurance Total Telecommunication Services Total Plastics Manufacturing Total Utilities OXSQ#8Portfolio Grading OXSQ's debt portfolio has a weighted-average credit OXSQ's debt portfolio has a weighted-average credit rating of 2.4 on a principal value basis. rating of 2.2 on a fair value basis 15.6% 9.3% Grade 1 Grade 2 Grade 3 Grade 4 75.1% Grade 5 ■ Grade 2 ■ Grade 3 ■Grade 5 16.0% 0.2% 83.8% ■ Grade 2 ■ Grade 3 ■Grade 5 Portfolio Grading Company is ahead of expectations and/or outperforming financial covenant requirements of the specific tranche and this trend is expected to continue. Full repayment of the outstanding amount of OXSQ's cost basis and interest is expected for the specific tranche. Closer monitoring is required. Full repayment of the outstanding amount of OXSQ's cost basis and interest is expected for the specific tranche. 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. 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. 8 OXSQ#9Investments on Non-Accrual Status ($ in millions) Q3-22 Q2-22 Q1-22 Q4-21 Q3-21 Non-accrual debt investments at current cost $ 23.7 $ 23.7 $ 23.7 $ 23.7 $ 23.7 Non-accrual preferred equity investments at current cost $ 16.2 $16.2 $ 16.2 $ 16.2 $ 16.2 Total non-accrual investments at current cost $ 39.8 $ 39.8 $ 39.8 $ 39.8 $ 39.8 Non-accrual debt investments at fair value $ 0.5 $ 0.5 $ 1.0 $ 1.3 $ 3.7 Non-accrual preferred equity investments at fair value $2.2 $ 1.6 $ 1.0 $ 0.8 $ 0.1 Total non-accrual investments at fair value $ 2.7 $ 2.1 $ 1.9 $ 2.1 $ 3.8 Note: Certain numbers may not foot or tie to financial statements due to rounding. 9 OXSQ#10Outstanding Debt ($ in thousands) Unsecured Notes due 2024 Principal Amount Outstanding 1 Carrying Value Cost of Debt Maturity $ 64,370 $ 63,883 6.50% Mar-24 Unsecured Notes due 2026 $ 44,791 $ 43,955 6.25% Apr-26 " Unsecured Notes due 2028 $ 80,500 $ 78,249 5.50% Jul-28 Total Debt $ 189,661 $186,087 Total Equity Debt to Equity $ 166,548 1.14x Note: Certain figures may not foot or tie to financial statements due to rounding. As of 9/30/2022. 1. 10 10 OXSQ#11Quarterly Balance Sheet ($ in millions, except per share) Assets Total investments at fair value Cash and cash equivalents Other assets Total assets As of 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 $ 340.2 14.4 3.4 $358.0 $ 369.4 23.2 4.1 $ 406.2 15.1 $ 420.8 $ 421.1 9.0 $ 396.7 3.9 $425.2 3.7 19.5 4.1 $ 433.5 $ 444.7 Liabilities and Net Assets Debt outstanding at carrying value $ 186.1 $ 185.8 $ 185.6 $ 185.4 $ 185.1 Securities purchased not settled 24.7 4.9 6.5 Investment advisory and incentive fee payable 1.4 1.6 1.6 1.7 1.8 Interest payable 1.2 1.2 1.2 1.2 1.2 Other liabilities 2.8 0.6 0.5 0.6 0.4 Total liabilities 191.5 213.9 193.9 188.9 195.0 Total net assets 166.5 182.8 231.3 244.6 249.6 Total liabilities and net assets $358.0 $ 396.7 $ 425.2 $433.5 $ 444.7 Net asset value per share $ 3.34 $ 3.67 $ 4.65 Debt (principal amount) to equity 1.14x 1.04x 0.82x $ 4.92 0.78x $ 5.03 0.76x Note: Certain numbers may not foot or tie to financial statements due to rounding. 11 OXSQ#12Quarterly Income Statement For the three months ended ($ in millions, except per share) Investment Income Interest income Fee and other income 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 $ 6.8 $ 5.7 $5.3 $ 5.1 $ 4.5 Income from securitization vehicles 4.4 4.1 4.4 4.8 5.1 0.2 0.2 0.2 0.2 0.2 Total investment income 11.4 9.9 9.9 10.2 9.8 Expenses Interest and other debt financing expenses 3.1 3.1 3.1 3.1 3.1 Investment advisory fees 1.4 1.6 1.6 1.7 1.8 Other operating expenses 1.3 0.9 0.9 0.9 1.0 Total expenses 5.8 5.6 5.6 5.7 5.8 Net investment income 5.6 4.3 4.3 4.5 4.0 Net Gain (Loss) on Investments Net change in unrealized (depreciation) appreciation on investments Net realized gain (loss) on investments (16.8) (46.2) (13.5) (0.7) 5.6 0.1 (1.5) 1.0 (3.7) 1.7 Net (loss) gain on investments (16.7) (47.8) (12.4) (4.5) 7.3 Net (decrease) increase in net assets resulting from operations $ (11.1) $ (43.4) $ (8.2) $ 0.0 $ 11.3 Per Share GAAP net investment income Distributions declared and paid Weighted average common shares outstanding (in millions) Common shares outstanding at end of period (in millions) Note: Certain numbers may not foot or tie to financial statements due to rounding. 12 $ 0.11 $ 0.09 $ 0.09 $ 0.09 $ 0.08 0.105 0.105 0.105 0.105 0.105 49.8 49.7 49.7 49.7 49.6 49.8 49.8 49.7 49.7 49.7 OXSQ#13Corporate Information Board of Directors Independent Steven P. Novak - Chairman Barry Osherow George Stelljes III Non-Disinterested Jonathan H. Cohen Charles M. Royce Corporate Offices 8 Sound Shore Drive Suite 255 Greenwich, CT 06830 Corporate Website www.oxfordsquarecapital.com Investor Relations Bruce L. Rubin Oxford Square Capital Corp. Tel: (203) 983-5280 ir.oxfordsquarecapital.com Fiscal Year End December 31 Independent Audit Firm PricewaterhouseCoopers LLP Corporate Counsel Dechert LLP Transfer Agent Computershare Trust Company, N.A. Tel: 1-877-498-8861/www.computershare.com Securities Listing Common Stock: "OXSQ" NasdaqGS Notes: "OXSQL" - NasdaqGS "OXSQZ" NasdaqGS - "OXSQG" - NasdaqGS Executive Corporate Officers Jonathan H. Cohen Saul B. Rosenthal Bruce L. Rubin Gerald Cummins Board Member and Chief Executive Officer President and Chief Operating Officer Chief Financial Officer Chief Compliance Officer 33 13 OXSQ