Oxford Square Capital Corp. Fair Value Disclosure
NOTE 3. FAIR VALUE
The Company’s assets measured at fair value by investment type on a recurring basis as of December 31, 2025 were as follows:
|
Fair Value Measurements at Reporting Date Using |
||||||||||||
|
Assets ($ in millions) |
Quoted Prices |
Significant |
Significant |
Total(1) |
||||||||
|
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.
The Company’s assets measured at fair value by investment type on a recurring basis as of December 31, 2024 were as follows:
|
Fair Value Measurements at Reporting Date Using |
||||||||||||
|
Assets ($ in millions) |
Quoted Prices |
Significant |
Significant |
Total |
||||||||
|
Senior Secured Notes |
$ |
$ |
$ |
150.7 |
$ |
150.7 |
||||||
|
CLO Equity |
|
|
|
104.6 |
|
104.6 |
||||||
|
Equity and Other Investments |
|
|
|
5.6 |
|
5.6 |
||||||
|
Total Investments at fair value |
|
|
|
260.9 |
|
260.9 |
||||||
|
Cash equivalents |
|
34.4 |
|
|
|
34.4 |
||||||
|
Total assets at fair value |
$ |
34.4 |
$ |
$ |
260.9 |
$ |
295.3 |
|||||
Significant Unobservable Inputs for Level 3 Investments
The following tables provide quantitative information about the Company’s Level 3 fair value measurements as of December 31, 2025 and December 31, 2024, respectively. The Company’s Valuation Policy, which was previously approved by the Board, 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 | Range/Weighted | Impact to | |||||||||
| Assets ($ in millions) | Fair Value | Valuation Techniques/ | Unobservable Input | ||||||||
| Senior Secured Notes | $ | 147.3 | Market quotes | NBIB(3) | 18.2% – 100.6%/78.3% |
| |||||
| CLO equity |
| 91.2 | Market quotes | NBIB(3) | 0.0% – 67.0%/27.4% |
| |||||
|
| 2.1 | Discounted cash flow(5) | Discount rate(6) | 14.5% – 25.9%/22.3% |
| ||||||
|
| 1.8 | Liquidation Net Asset Value(9) | NBIB(3) | 0.0% – 33.0%/4.8% |
| ||||||
| Equity and Other Investments |
| 0.4 | Market quotes | NBIB(3) | $3.75/ncm(4) |
| |||||
|
| 4.0 | Recent Transactions | Actual trade/payoff(10) | 100.0%/ncm(4) |
| ||||||
|
| 5.0 | Enterprise value(7) | LTM EBITDA(8) | $35.8 million/ncm(4) | Increase | ||||||
|
|
| Market multiples(8) | 8.8x – 9.8x/9.3x | Increase | |||||||
| Total Fair Value for Level 3 Investments(11) | $ | 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/EBITDA 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/EBITDA, 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) EBITDA, or earnings before interest expense, taxes, depreciation and amortization, is an unobservable input which is generally based on the 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. “LTM” refers to “last twelve months.”
(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 | Range/Weighted | Impact to | |||||||||
| Assets ($ in millions) | Fair Value | Valuation Techniques/ | Unobservable Input | ||||||||
| Senior Secured Notes | $ | 150.2 | Market quotes | NBIB(3) | 2.0% – 101.0%/75.3% |
| |||||
|
| 0.5 | Liquidation Net Asset Value | NBIB(3) | 19.9% – 19.9%/19.9% |
| ||||||
| CLO equity |
| 103.6 | Market quotes | NBIB(3) | 0.0% – 83.9%/30.8% |
| |||||
|
| 1.0 | Discounted cash flow(5) | Discount rate(6) | 6.0% – 21.1%/20.1% | Decrease | ||||||
|
| 0.0 | Liquidation Net Asset Value(9) | NBIB(3) | 0.0% – 0.1%/0.0% |
| ||||||
| Equity and Other Investments |
| 1.0 | Market quotes | NBIB(3) | $10/ncm(4) |
| |||||
|
| 4.6 | Enterprise value(7) | LTM EBITDA(8) | $34.0 million/ncm(4) | Increase | ||||||
|
|
| Market multiples(8) | 8.3x – 9.3x/8.8x | Increase | |||||||
| Total Fair Value for Level 3 Investments | $ | 260.9 | |||||||||
____________
(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/EBITDA 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/EBITDA, 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) EBITDA, or earnings before interest expense, taxes, depreciation and amortization, is an unobservable input which is generally based on the 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. “LTM” refers to “last twelve months.”
(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.
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 December 31, 2025, and the level of each financial liability within the fair value hierarchy:
|
($ in millions) |
Carrying |
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 $2.6 million as of December 31, 2025.
(2) For the 5.50% Unsecured Notes and 7.75% Unsecured Notes, fair value is based upon the closing price on the last day of the period. The 5.50% Unsecured Notes and 7.75% Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol “OXSQG” and “OXSQH”, respectively).
The following table presents the carrying value and fair value of the Company’s financial liabilities disclosed, but not carried, at fair value as of December 31, 2024, and the level of each financial liability within the fair value hierarchy:
|
($ in millions) |
Carrying |
Fair Value(2) |
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
6.25% Unsecured Notes |
$ |
44.5 |
$ |
44.4 |
$ |
$ |
44.4 |
$ |
|||||||
|
5.50% Unsecured Notes |
|
79.1 |
|
74.7 |
|
|
74.7 |
|
|||||||
|
Total |
$ |
123.6 |
$ |
119.1 |
$ |
$ |
119.1 |
$ |
|||||||
____________
(1) Carrying value is net of unamortized deferred debt issuance costs. Unamortized deferred debt issuance costs associated with the 6.25% Unsecured Notes totaled approximately $0.3 million as of December 31, 2024. Unamortized deferred debt issuance costs associated with the 5.50% Unsecured Notes totaled approximately $1.4 million as of December 31, 2024.
(2) For the 6.25% Unsecured Notes and 5.50% Unsecured Notes, fair value is based upon the closing price on the last day of the period. The 6.25% Unsecured Notes were listed on the NASDAQ Global Select Market (trading symbol “OXSQZ”) until they were fully repaid and delisted from the NASDAQ Global Select Market on September 19, 2025. The 5.50% Unsecured Notes are listed on the NASDAQ Global Select Market (trading symbol “OXSQG”).
A reconciliation of the of investments for the year ended December 31, 2025, utilizing significant unobservable inputs, is as follows:
|
($ in millions) |
Senior |
CLO Equity |
Equity and |
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 $16.5 million.
(2) Totals may not sum due to rounding.
A reconciliation of the fair value of investments for the year ended December 31, 2024, utilizing significant unobservable inputs, is as follows:
|
($ in millions) |
Senior |
CLO Equity |
Equity |
Total(2) |
||||||||||||
|
Balance at December 31, 2023 |
$ |
179.5 |
|
$ |
82.2 |
|
$ |
5.3 |
|
$ |
266.9 |
|
||||
|
Net realized losses included in earnings |
|
(94.4 |
) |
|
(1.9 |
) |
|
|
|
(96.2 |
) |
|||||
|
Net unrealized appreciation/(depreciation) included in earnings |
|
73.2 |
|
|
3.5 |
|
|
(1.1 |
) |
|
75.7 |
|
||||
|
Accretion of discount |
|
1.7 |
|
|
|
|
|
|
1.7 |
|
||||||
|
Purchases |
|
76.3 |
|
|
35.2 |
|
|
0.7 |
|
|
112.2 |
|
||||
|
Repayments and Sales |
|
(85.4 |
) |
|
(1.4 |
) |
|
|
|
(86.8 |
) |
|||||
|
Transfers between asset classes |
|
(0.7 |
) |
|
|
|
0.7 |
|
|
|
||||||
|
Reductions to CLO Equity cost value(1) |
|
|
|
(13.0 |
) |
|
|
|
(13.0 |
) |
||||||
|
PIK interest income |
|
0.5 |
|
|
|
|
|
|
0.5 |
|
||||||
|
Transfers in and/or (out) of level 3 |
|
|
|
|
|
|
|
|
||||||||
|
Balance at December 31, 2024(2) |
$ |
150.7 |
|
$ |
104.6 |
|
$ |
5.6 |
|
$ |
260.9 |
|
||||
|
Net change in unrealized (depreciation)/appreciation |
$ |
(10.0 |
) |
$ |
1.1 |
|
$ |
(1.1 |
) |
$ |
(10.0 |
) |
||||
____________
(1) Reduction to CLO equity cost value of approximately $13.0 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 $28.4 million, plus the amortization of cost of the Company’s CLO fee notes of approximately $71,000, less the effective yield interest income recognized on the Company’s CLO equity subordinated and income notes of approximately $15.4 million.
(2) Totals may not sum due to rounding.
The following table shows the fair value of the Company’s portfolio of investments by asset class as of December 31, 2025 and 2024:
|
December 31, 2025 |
December 31, 2024 |
|||||||||||
|
($ in millions) |
Investments at |
Percentage of |
Investments at |
Percentage of |
||||||||
|
Senior Secured Notes |
$ |
147.3 |
58.5 |
% |
$ |
150.7 |
57.8 |
% |
||||
|
CLO Equity |
|
95.1 |
37.8 |
% |
|
104.6 |
40.1 |
% |
||||
|
Equity and Other Investments |
|
9.4 |
3.7 |
% |
|
5.6 |
2.1 |
% |
||||
|
Total(1) |
$ |
251.7 |
100.0 |
% |
$ |
260.9 |
100.0 |
% |
||||
____________
(1) Totals may not sum due to rounding.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 6, 2026 | Showing above |
| 2024 | Mar 5, 2025 | |
| 2023 | Mar 19, 2024 | |
| 2022 | Mar 23, 2023 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.