Oxford Square Capital (OXSQ)2023-11-08 21:55Investment Portfolio - As of September 30, 2023, the fair value of the Company's investment portfolio was approximately 285.5 million as of September 30, 2023, down from 15.0 million in debt repayments, 16.8 million[250]. - As of September 30, 2023, the company had investments in debt securities of 19 portfolio companies valued at approximately 84.1 million, and other equity investments of approximately 8.2 million in portfolio investments during the nine months ended September 30, 2023, including 4.7 million in new portfolio companies[253]. - The portfolio had a weighted average credit grade of 2.2 as of September 30, 2023, consistent with the grade as of December 31, 2022[264]. - Senior secured notes represented 67.8% of the total portfolio as of September 30, 2023, while CLO equity investments accounted for 29.5%[260]. Investment Income - Investment income for Q3 2023 was approximately 11.4 million in Q3 2022, representing a 14.0% increase[269]. - For the nine months ended September 30, 2023, total investment income was approximately 31.2 million for the same period in 2022, reflecting a 26.5% increase[269]. - Net investment income for the three months ended September 30, 2023, was approximately 5.6 million for the same period in 2022[290]. - The total distributions for the third quarter of fiscal 2023 reached 0.11 per share, resulting in a shortfall of 0.035 per share across multiple payment dates in fiscal 2023 and 2024[316]. Debt Investments - The weighted average annualized yield on debt investments was approximately 13.10% as of September 30, 2023[226]. - Debt investments had stated interest rates ranging from 9.18% to 17.00% with maturity dates between 0 and 77 months[226]. - The total principal value of income-producing debt investments decreased to approximately 272.7 million as of September 30, 2022[270]. - The weighted average yield on debt investments increased to approximately 13.10% as of September 30, 2023, compared to approximately 10.41% as of September 30, 2022[270]. - As of September 30, 2023, the company has approximately 6.6 million, an increase from 1.2 million, with no fees recorded in Q3 2022, indicating a significant increase due to exceeding performance requirements[276][282]. - Interest expense for Q3 2023 was approximately 3.1 million in Q3 2022, reflecting a 19.4% decrease[277]. - The base management fee for Q3 2023 was approximately 1.4 million in Q3 2022, indicating a 14.3% reduction[275]. Realized and Unrealized Gains/Losses - For the three months ended September 30, 2023, the company recognized net realized losses on investments of approximately 16.8 million, reflecting the sale of multiple CLO equity investments and an extinguishment of one CLO equity investment[288]. - The company reported net unrealized appreciation on its investment portfolio of approximately 13.9 million, consisting of 10.2 million in gross unrealized depreciation[286]. - The net change in unrealized appreciation for the nine months ended September 30, 2023, was approximately 20.5 million in gross unrealized appreciation and $17.8 million in gross unrealized depreciation[289]. Regulatory and Compliance - The Company operates as a closed-end management investment company and is regulated as a BDC under the Investment Company Act of 1940[223]. - The company is subject to a written policy regarding the allocation of investment opportunities among its related entities, which may affect investment strategies[311]. - The company has implemented policies to avoid conflicts of interest in related party transactions, ensuring compliance with regulatory standards[313]. - The company’s Code of Business Conduct and Ethics requires all employees and directors to disclose any potential conflicts of interest[314]. Interest Rate Sensitivity - Interest rate risk sensitivity indicates that a hypothetical increase of 300 basis points in SOFR could lead to a 15.0% increase in net investment income, while a decrease of 300 basis points could result in a 15.0% decrease[322]. - Changes in interest rates can significantly impact the company's net interest income, which is the difference between interest income earned and interest expense incurred[318]. - The company’s variable rate investments are subject to different re-pricing intervals, with bilateral investments generally resetting annually and non-bilateral investments resetting quarterly[317]. - The company may utilize hedging instruments such as futures, options, and forward contracts to mitigate interest rate fluctuations, although this may limit benefits from lower rates[319]. - The hypothetical calculations regarding interest rate changes are based on a model of the investments held as of September 30, 2023, and are indicative of existing interest rate sensitivity[320].