XML 25 R14.htm IDEA: XBRL DOCUMENT
v3.26.1

Fair Value | 3 Months Ended
--- | ---
Mar. 31, 2026
Fair Value [Abstract] |
FAIR VALUE | NOTE 4. FAIR VALUE The Company’s assets measured at fair value by investment type on a recurring basis as of March 31, 2026 were as follows:
Assets ($ in millions) |  | Fair Value Measurements at Reporting Date Using |  |
Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total
Senior Secured Notes |  | $ | — |  | $ | — |  | $ | 150.8 |  | $ | 150.8
CLO Equity |  |  | — |  |  | — |  |  | 72.2 |  |  | 72.2
Equity and Other Investments |  |  | — |  |  | — |  |  | 12.4 |  |  | 12.4
Total Investments at fair value |  |  | — |  |  | — |  |  | 235.4 |  |  | 235.4
Cash equivalents |  |  | 40.6 |  |  | — |  |  | — |  |  | 40.6
Total assets at fair value |  | $ | 40.6 |  | $ | — |  | $ | 235.4 |  | $ | 276.0
The Company’s assets measured at fair value by investment type on a recurring basis as of December 31, 2025 were as follows:
Assets ($ in millions) |  | Fair Value Measurements at Reporting Date Using |  | Total
Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |
Senior Secured Notes |  | $ | — |  | $ | — |  | $ | 147.3 |  | $ | 147.3
CLO Equity |  |  | — |  |  | — |  |  | 95.1 |  |  | 95.1
Equity and Other Investments |  |  | — |  |  | — |  |  | 9.4 |  |  | 9.4
Total Investments at fair value(1) |  |  | — |  |  | — |  |  | 251.7 |  |  | 251.7
Cash equivalents |  |  | 51.2 |  |  | — |  |  | — |  |  | 51.2
Total assets at fair value(1) |  | $ | 51.2 |  | $ | — |  | $ | 251.7 |  | $ | 303.0
(1) Totals may not sum due to rounding. 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, 2026 and December 31, 2025, respectively. The Company’s Valuation Policy, which was previously approved by the Board of Directors, 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 analysis 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 tables below are based on fair values for all debt related calculations and CLO equity.
|  | Quantitative Information about Level 3 Fair Value Measurements |  | Impact to Fair Value from an Increase in Input(2)
Assets ($ in millions) |  | Fair Value as of March 31, 2026 |  | Valuation Techniques/ Methodologies |  | Unobservable Input |  | Range/Weighted Average(1) |
Senior Secured |  |  |  |  |  |  |  |  |  |  |
Notes |  | $ | 150.8 |  | Market quotes |  | NBIB(3) |  | 21.5% – 100.0%/78.6% |  | NA
CLO Equity |  |  | 68.7 |  | Market quotes |  | NBIB(3) |  | 0.0% – 57.0%/21.4% |  | NA
|  |  | 1.9 |  | Discounted cash flow(5) |  | Discount rate(6) |  | 20.3% – 27.0%/23.9% |  | Decrease
|  |  | 1.6 |  | Liquidation Net Asset Value(9) |  | NBIB(3) |  | 0.0% – 22.5%/7.7% |  | NA
Equity and Other |  |  | 7.1 |  | Recent transactions |  | Actual trade/payoff(10) |  | 0.0% – 102.7%/92.3% |  | NA
Investments |  |  | 5.2 |  | Enterprise value(7) |  | Market multiples(8) |  | 9.0x – 10.0x/9.5x |  | Increase
|  |  | 0.0 |  | Market quotes |  | NBIB(3) |  | $0.15/ncm(4) |  | NA
Total Fair Value for Level 3 Investments(11) |  | $ | 235.4 |  |  |  |  |  |  |  |
(1) Weighted averages are calculated based on fair value of investments. (2) The impact on the fair value measurement of an increase in each unobservable input is in isolation. The discount rate is the rate used to discount future cash flows in a discounted cash flow calculation. An increase in the discount rate, in isolation, would result in a decrease in the fair value measurement. Market multiples refer to the input (often derived from the value of a comparable company) that is multiplied by the historic and/or expected EBITDA of a company in order to estimate the company’s value. An increase in the market multiples, in isolation, would result in an increase in the fair value measurement. (3) The Company generally uses prices provided by an independent pricing service, or broker or agent bank non-binding indicative bid prices (“NBIB”), on or near the valuation date as the primary basis for the fair value determinations for syndicated notes, and CLO debt and equity investments, which may be adjusted for pending equity distributions as of valuation date. These bid prices are non-binding and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by Oxford Square Management, including financial performance, recent business developments, and, in the case of CLO debt and equity investments, performance and covenant compliance information as provided by the independent trustee. (4) The calculation of weighted average for a range of values, for a single investment within a given asset category, is not considered to provide a meaningful representation (“ncm”). (5) The Company calculates 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 also considers those investments in which the record date for an equity distribution payment falls on or before the last day of the period, and the likelihood that a prospective purchaser would require an adjustment to the transaction price representing substantially all of the pending distribution. (6) Discount rate represents the rate at which future cash flows are discounted to calculate a present value, reflecting market assumptions for risk. (7) Enterprise value is defined as the total value of a company, including debt and cash. For senior secured notes and equity investments, third-party valuation firms evaluate the financial and operational information of the portfolio companies that the Company provides to them, as well as independent market and industry information that they consider appropriate in forming an opinion as to the fair value of the Company’s securities. In those instances where the carrying value and/or internal credit rating of the investment does not require the use of a third-party valuation firm, a valuation is prepared by Oxford Square Management, which may include liquidation analysis or which may utilize a subsequent transaction to provide an indication of fair value. (8) Market multiples represent an estimation of where market participants might value an enterprise based upon information available for comparable companies in the market. (9) The fair value of those CLO equity positions which have been optionally redeemed are generally valued using a liquidation net asset value basis which represents the estimated expected residual value of the CLO as of the end of the period. (10) 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. (11) Totals may not sum due to rounding.
|  | Quantitative Information about Level 3 Fair Value Measurements |  | Impact to Fair Value from an Increase in Input(2)
Assets ($ in millions) |  | Fair Value as of December 31, 2025 |  | Valuation Techniques/ Methodologies |  | Unobservable Input |  | Range/Weighted Average(1) |
Senior Secured Notes |  | $ | 147.3 |  | Market quotes |  | NBIB(3) |  | 18.2% – 100.6%/78.3% |  | NA
CLO Equity |  |  | 91.2 |  | Market quotes |  | NBIB(3) |  | 0.0% – 67.0%/27.4% |  | NA
|  |  | 2.1 |  | Discounted cash flow(5) |  | Discount rate(6) |  | 14.5% – 25.9%/22.3% |  | Decrease
|  |  | 1.8 |  | Liquidation Net Asset Value(9) |  | NBIB(3) |  | 0.0% – 33.0%/4.8% |  | NA
Equity and Other Investments |  |  | 0.4 |  | Market quotes |  | NBIB(3) |  | $3.75/ncm(4) |  | NA
|  |  | 4.0 |  | Recent Transactions |  | Actual trade/payoff(10) |  | 100.0%/ncm(4) |  | NA
|  |  | 5.0 |  | Enterprise value(7) |  | Market multiples(8) |  | 8.8x – 9.8x/9.3x |  | Increase
Total Fair Value for Level 3 Investments |  | $ | 251.7 |  |  |  |  |  |  |  |
(1) Weighted averages are calculated based on fair value of investments. (2) The impact on the fair value measurement of an increase in each unobservable input is in isolation. The discount rate is the rate used to discount future cash flows in a discounted cash flow calculation. An increase in the discount rate, in isolation, would result in a decrease in the fair value measurement. Market multiples refer to the input (often derived from the value of a comparable company) that is multiplied by the historic and/or expected EBITDA of a company in order to estimate the company’s value. An increase in the market multiples, in isolation, would result in an increase in the fair value measurement. (3) The Company generally uses prices provided by an independent pricing service, or broker or agent bank non-binding indicative bid prices (“NBIB”), on or near the valuation date as the primary basis for the fair value determinations for syndicated notes, and CLO debt and equity investments, which may be adjusted for pending equity distributions as of valuation date. These bid prices are non-binding and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by Oxford Square Management, including financial performance, recent business developments, and, in the case of CLO debt and equity investments, performance and covenant compliance information as provided by the independent trustee. (4) The calculation of weighted average for a range of values, for a single investment within a given asset category, is not considered to provide a meaningful representation (“ncm”). (5) The Company calculates 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 also considers those investments in which the record date for an equity distribution payment falls on or before the last day of the period, and the likelihood that a prospective purchaser would require an adjustment to the transaction price representing substantially all of the pending distribution. (6) Discount rate represents the rate at which future cash flows are discounted to calculate a present value, reflecting market assumptions for risk. (7) Enterprise value is defined as the total value of a company, including debt and cash. For senior secured notes and equity investments, third-party valuation firms evaluate the financial and operational information of the portfolio companies that the Company provides to them, as well as independent market and industry information that they consider appropriate in forming an opinion as to the fair value of the Company’s securities. In those instances where the carrying value and/or internal credit rating of the investment does not require the use of a third-party valuation firm, a valuation is prepared by Oxford Square Management, which may include liquidation analysis or which may utilize a subsequent transaction to provide an indication of fair value. (8) Market multiples represent an estimation of where market participants might value an enterprise based upon information available for comparable companies in the market. (9) The fair value of those CLO equity positions which have been optionally redeemed are generally valued using a liquidation net asset value basis which represents the estimated expected residual value of the CLO as of the end of the period. (10) 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. (11) Totals may not sum due to rounding. Financial Instruments Disclosed, But Not Carried, At Fair Value The following table presents the carrying value and fair value of the Company’s financial liabilities disclosed, but not carried, at fair value as of March 31, 2026, and the level of each financial liability within the fair value hierarchy:
($ in millions) |  | Carrying Value(1) |  | Fair Value(2) |  | Level 1 |  | Level 2 |  | Level 3
5.50% Unsecured Notes |  | $ | 79.6 |  | $ | 76.5 |  | $ | — |  | $ | 76.5 |  | $ | —
7.75% Unsecured Notes |  |  | 72.3 |  |  | 74.8 |  |  | — |  |  | 74.8 |  |  | —
Total(3) |  | $ | 151.9 |  | $ | 151.2 |  | $ | — |  | $ | 151.2 |  | $ | —
(1) Carrying value is net of unamortized deferred debt issuance costs. Unamortized deferred debt issuance costs associated with the 5.50% Unsecured Notes totaled approximately $0.9 million as of March 31, 2026. Unamortized deferred debt issuance costs associated with the 7.75% Unsecured Notes totaled approximately $2.5 million as of March 31, 2026. (2) For the 5.50% Unsecured Notes and the 7.75% Unsecured Notes, fair value is based upon the closing price on the last day of the period. The 5.50% Unsecured Notes and the 7.75% Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol “OXSQG”, and “OXSQH”, respectively). (3) Totals may not sum due to rounding. The following table presents the carrying value and fair value of the Company’s financial liabilities disclosed, but not carried, at fair value as of December 31, 2025 and the level of each financial liability within the fair value hierarchy:
($ in millions) |  | Carrying Value(1) |  | Fair Value(2) |  | Level 1 |  | Level 2 |  | Level 3
5.50% Unsecured Notes |  | $ | 79.5 |  | $ | 77.8 |  | $ | — |  | $ | 77.8 |  | $ | —
7.75% Unsecured Notes |  |  | 72.1 |  |  | 76.2 |  |  | — |  |  | 76.2 |  |  | —
Total |  | $ | 151.6 |  | $ | 154.0 |  | $ | — |  | $ | 154.0 |  | $ | —
(1) Carrying value is net of unamortized deferred debt issuance costs. Unamortized deferred debt issuance costs associated with the 5.50% Unsecured Notes totaled approximately $1.0 million as of December 31, 2025. Unamortized deferred debt issuance costs associated with the 7.75% Unsecured Notes totaled approximately $2.6 million as of December 31, 2025. (2) For the 5.50% Unsecured Notes and 7.75% Unsecured Notes, fair value is based upon the closing price on the last day of the period. The 5.50% Unsecured Notes and 7.75% Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol “OXSQG” and “OXSQH”, respectively). A reconciliation of the fair value of investments for the three months ended March 31, 2026, utilizing significant unobservable inputs, is as follows:
($ in millions) |  | Senior Secured Notes |  | CLO Equity |  | Equity and Other Investments |  | Total(2)
Balance at December 31, 2025 |  | $ | 147.3 |  |  | $ | 95.1 |  |  | $ | 9.4 |  |  | $ | 251.7 |
Realized losses included in earnings |  |  | (12.6 | ) |  |  | (18.2 | ) |  |  | — |  |  |  | (30.7 | )
Net unrealized appreciation/(depreciation) included in earnings |  |  | 2.1 |  |  |  | (0.9 | ) |  |  | (0.1 | ) |  |  | 1.1 |
Accretion of discounts |  |  | 1.0 |  |  |  | — |  |  |  | — |  |  |  | 1.0 |
Purchases |  |  | 12.9 |  |  |  | — |  |  |  | 3.0 |  |  |  | 15.8 |
Repayments and sales |  |  | (0.4 | ) |  |  | — |  |  |  | — |  |  |  | (0.4 | )
Transfers between asset classes |  |  | (0.1 | ) |  |  | — |  |  |  | 0.1 |  |  |  | — |
Reductions to CLO equity cost value(1) |  |  | — |  |  |  | (3.9 | ) |  |  | — |  |  |  | (3.9 | )
PIK income |  |  | 0.7 |  |  |  | — |  |  |  | 0.1 |  |  |  | 0.8 |
Transfers in and/or (out) of level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance at March 31, 2026(2) |  | $ | 150.8 |  |  | $ | 72.2 |  |  | $ | 12.4 |  |  | $ | 235.4 |
Net change in unrealized depreciation on level 3 investments still held as of March 31, 2026 |  | $ | (10.1 | ) |  | $ | (19.1 | ) |  | $ | (0.1 | ) |  | $ | (29.3 | )
(1) Reduction to CLO equity cost value of approximately $3.9 million represented the distributions received, or entitled to be received, on the Company’s investments held in CLO equity subordinated and income notes of approximately $7.1 million, plus the amortization of cost of the Company’s CLO fee notes of approximately $38,000, less the effective yield interest income recognized on the Company’s CLO equity subordinated and income notes of approximately $3.2 million. (2) Totals may not sum due to rounding. A reconciliation of the fair value of investments for the year ended December 31, 2025, utilizing significant unobservable inputs, is as follows:
($ in millions) |  | Senior Secured Notes |  | CLO Equity |  | Equity and Other Investments |  | Total(2)
Balance at December 31, 2024 |  | $ | 150.7 |  |  | $ | 104.6 |  |  | $ | 5.6 |  |  | $ | 260.9 |
Net realized (losses)/gains included in earnings |  |  | (14.4 | ) |  |  | (2.8 | ) |  |  | 0.4 |  |  |  | (16.8 | )
Net unrealized appreciation/(depreciation) included in earnings |  |  | 5.0 |  |  |  | (29.1 | ) |  |  | (0.2 | ) |  |  | (24.3 | )
Accretion of discount |  |  | 2.9 |  |  |  | — |  |  |  | — |  |  |  | 2.9 |
Purchases |  |  | 57.9 |  |  |  | 30.2 |  |  |  | 4.0 |  |  |  | 92.1 |
Repayments and Sales |  |  | (57.9 | ) |  |  | — |  |  |  | (0.5 | ) |  |  | (58.4 | )
Reductions to CLO equity cost value(1) |  |  | — |  |  |  | (7.7 | ) |  |  | — |  |  |  | (7.7 | )
PIK income |  |  | 3.2 |  |  |  | — |  |  |  | — |  |  |  | 3.2 |
Transfers in and/or (out) of level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Balance at December 31, 2025(2) |  | $ | 147.3 |  |  | $ | 95.1 |  |  | $ | 9.4 |  |  | $ | 251.7 |
Net change in unrealized depreciation on level 3 investments still held as of December 31, 2025 |  | $ | (11.3 | ) |  | $ | (32.0 | ) |  | $ | (0.1 | ) |  | $ | (43.4 | )
(1) Reduction to CLO equity cost value of approximately $7.7 million represented the distributions received, or entitled to be received, on the Company’s investments held in CLO equity subordinated and income notes of approximately $24.1 million, plus the amortization of cost of the Company’s CLO fee notes of approximately $57,000, less the effective yield interest income recognized on the Company’s CLO equity subordinated and income notes of approximately $16.5 million. (2) Totals may not sum due to rounding. The following table shows the fair value of the Company’s portfolio of investments by asset class as of March 31, 2026 and December 31, 2025:
($ in millions) |  | March 31, 2026 |  | December 31, 2025
Investments at Fair Value |  | Percentage of Total Portfolio |  | Investments at Fair Value |  | Percentage of Total Portfolio
Senior Secured Notes |  | $ | 150.8 |  | 64.0 | % |  | $ | 147.3 |  | 58.5 | %
CLO Equity |  |  | 72.2 |  | 30.7 | % |  |  | 95.1 |  | 37.8 | %
Equity and Other Investments |  |  | 12.4 |  | 5.3 | % |  |  | 9.4 |  | 3.7 | %
Total(1) |  | $ | 235.4 |  | 100.0 | % |  | $ | 251.7 |  | 100.0 | %
(1) Totals may not sum due to rounding.

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 3: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration