No they do not report to D&B, and I don't think they will either. Square is also one of the few working capital companies that doesn't ding your personal credit with a hard pull when pulling loans.
If you are looking to help build your business profile, I have created a list here with trade lines and companies that you can apply for that don't require a personal guarantee and will go solely off your business and/or just a soft pull on your personal credit
