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Fair Value (Tables)
 3 Months Ended
Mar. 31, 2026
Fair Value [Abstract]  
Schedule of Assets Measured at Fair Value by Investment Type on a Recurring Basis

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.
Schedule of Quantitative Information about Level 3 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

                
Schedule of Carrying Value and Fair Value of the Company’s Financial Liabilities 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).
Schedule of Reconciliation of the Fair Value of Investments

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.
Schedule of Fair Value of the Company’s Portfolio of Investments by Asset Class

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.