Oxford Square Capital Corp. (OXSQ): PESTLE Analysis [Nov-2025 Updated]

You're looking for a clear map of the forces shaping Oxford Square Capital Corp. (OXSQ) right now, and honestly, the landscape is complex. The core takeaway is simple: OXSQ's high-yield strategy, built heavily on Collateralized Loan Obligations (CLOs), offers significant returns but is defintely sensitive to credit cycle shifts. Near-term, we must track persistent interest rate volatility and increased SEC scrutiny on Business Development Company (BDC) valuation practices, plus the widening credit spreads that are simultaneously creating better entry points and higher default risk. This PESTLE analysis breaks down the Political, Economic, Sociological, Technological, Legal, and Environmental factors that will dictate OXSQ's performance through 2025.

Oxford Square Capital Corp. (OXSQ) - PESTLE Analysis: Political factors

Increased SEC scrutiny on BDC valuation practices, defintely for illiquid assets.

You're looking at Oxford Square Capital Corp. (OXSQ), and honestly, the biggest near-term political risk is the Securities and Exchange Commission (SEC) turning up the heat on valuation. This isn't new, but the intensity is rising, especially around illiquid assets-the private debt and equity that make up the bulk of a Business Development Company's (BDC) portfolio.

The SEC is pushing for more objective, auditable processes, moving away from subjective management estimates. For OXSQ, whose investment portfolio is heavily weighted toward senior secured loans, the risk is less about the loans themselves and more about the fair value measurements of its smaller, private equity holdings. If the SEC forces a more conservative valuation, it directly impacts the Net Asset Value (NAV) per share.

Here's the quick math: A hypothetical 5% downward revaluation across the entire portfolio-which is what a severe regulatory push could cause-would significantly cut into the reported NAV. This is a defintely material risk. The focus is on ensuring BDCs have 'good faith' valuation procedures, and the SEC is now checking the receipts on those procedures.

Potential for changes to the Investment Company Act of 1940 affecting leverage limits.

The Investment Company Act of 1940 governs BDCs, and the leverage rules are a core part of that. A few years ago, the rules changed, allowing BDCs to increase their maximum permitted leverage ratio from 1:1 (asset coverage of 200%) to 2:1 (asset coverage of 150%). This was a game-changer, letting BDCs like OXSQ take on more debt to boost returns.

As of the end of the 2025 fiscal year, OXSQ's statutory asset coverage ratio was approximately 175%, which is well above the 150% minimum, giving them a cushion. Still, there's always political chatter about rolling back or further tightening these leverage limits, especially if a systemic credit event occurs. Any legislative or regulatory move to increase the asset coverage requirement back toward 200% would force OXSQ to deleverage quickly, either by selling assets or issuing equity, both of which can be dilutive or value-destructive.

The risk isn't a likely rollback to 200% coverage, but rather a push for new, more granular risk-weighting of assets, which would effectively act as a leverage constraint. You need to watch the Financial Stability Oversight Council (FSOC) for any signals here.

• Watch for new asset-specific risk-weighting rules.
• Track Congressional appetite for BDC leverage oversight.

US Treasury policy on corporate debt, influencing leveraged loan market health.

The US Treasury Department's stance on corporate debt, particularly the leveraged loan market where OXSQ invests, is a critical political factor. While the Treasury doesn't directly regulate BDCs, its policies on financial stability, interest rate management, and inter-agency coordination (with the Federal Reserve and FDIC) set the tone for the entire credit market.

The health of the leveraged loan market is paramount for OXSQ. If the Treasury signals concern about 'over-leveraging' in the corporate sector, it can lead to tighter underwriting standards from banks, which in turn reduces the supply of new, high-quality loans. This makes it harder for BDCs to deploy capital effectively. For the 2025 fiscal year, the leveraged loan market saw an estimated issuance volume of over $500 billion, a slight increase from the prior year, but the quality of covenants is still under regulatory scrutiny.

A sudden, politically-driven push for stricter lending guidelines could slow down deal flow and increase credit risk spreads, impacting the value of OXSQ's existing portfolio. The Treasury's rhetoric matters; it shapes the risk appetite of the entire financial system.

Tax policy stability for regulated investment companies (RICs) like OXSQ.

Oxford Square Capital Corp. is structured as a Regulated Investment Company (RIC) under Subchapter M of the Internal Revenue Code. This structure is the bedrock of its business model because it allows the company to pass through most of its income to shareholders without paying corporate-level tax, provided it distributes at least 90% of its taxable income.

The stability of this tax treatment is absolutely crucial. Any political discussion about comprehensive tax reform could target the RIC structure. While it's unlikely to be eliminated, changes to the distribution requirements or the types of income that qualify for pass-through treatment would have a catastrophic impact on BDCs. For a company that paid out approximately $0.60 per share in distributions over the 2025 fiscal year, maintaining the RIC status is non-negotiable.

The current political environment suggests a low probability of immediate, radical changes to the RIC rules, but the risk persists because the BDC structure is often misunderstood by policymakers. We need to monitor any proposed changes to the corporate tax code that might affect the definition of 'qualifying income' or the 'asset diversification' tests for RICs.

Oxford Square Capital Corp. (OXSQ) - PESTLE Analysis: Economic factors

Sustained high interest rates boosting CLO equity distributions but increasing borrower default risk.

The prolonged period of elevated base rates, with the Federal Reserve's target rate predicted to be around 4% by year-end 2025, has created a dual-edged economic environment for Oxford Square Capital Corp. (OXSQ). On the positive side, the floating-rate nature of Collateralized Loan Obligation (CLO) assets means higher interest income flows down to the equity tranches, which form a significant part of OXSQ's portfolio.

This is clearly reflected in the company's Q3 2025 results: the weighted average cash distribution yield of their cash income producing CLO equity investments rose to 14.3% at current cost, up from 13.8% in the prior quarter. That's a strong income signal. Still, the flip side is the increased debt service burden on the underlying borrowers, which heightens default risk. While the par-weighted leveraged loan default rate was contained at 1.42% as of May 31, 2025, some forecasts project a rise, with one model suggesting loan defaults could reach 3.25% in the second half of 2025.

Widening credit spreads in the leveraged loan market, creating better entry points for new investments.

The leveraged loan market has seen periods of volatility in 2025, which, while creating headline risk, has presented tactical opportunities for OXSQ. Despite some initial spread compression early in the year, the overall environment, marked by elevated yields relative to historical averages, has offered attractive entry points.

OXSQ capitalized on this in the third quarter of 2025, deploying a significant $58.1 million in new investments, representing the highest quarterly investment activity in the periods presented. This aggressive deployment suggests management found credits offering a sufficient risk-adjusted spread (the compensation for taking credit risk) to justify the investment.

• Deploy capital into secondary leveraged loans.
• Focus on B2/B rated issuers for optimal yield.
• Prioritize investments with tighter covenants (loan agreements that protect the lender).

US GDP growth forecasts for 2025 impacting middle-market company health.

The health of the middle-market companies that underpin OXSQ's loan and CLO portfolios is directly tied to the broader U.S. economic outlook. Consensus estimates for U.S. real GDP growth in 2025 hover around +2.1%, which is a modest, normalizing rate. However, the growth is uneven, and the middle-market segment is showing signs of stress.

Midway through 2025, middle-market companies reported year-over-year revenue growth of 10.7%, which, while robust, marked the lowest rate in the post-pandemic era. This softening is a key risk, as it reduces the ability of portfolio companies to service their floating-rate debt. Inflation and rising input costs remain the primary external concerns for these businesses, directly pressuring profit margins and increasing the potential for non-accruals (loans where interest payments are overdue).

Volatility in the Net Asset Value (NAV) due to mark-to-market changes in CLO portfolios.

The fair value accounting of CLO equity is a major driver of volatility in OXSQ's Net Asset Value (NAV) per share. The mark-to-market (MTM) changes in the underlying CLO portfolios-which reflect market prices rather than just cash flow-can cause sharp, non-cash fluctuations in the NAV. For the quarter ended September 30, 2025, the NAV per share declined to $1.95, down from $2.06 in the previous quarter.

This decline was not driven by net investment income, but specifically by net unrealized depreciation of approximately $7.5 million on investments, equating to a loss of $0.09 per share. This is the core risk of holding CLO equity: strong cash distributions can mask underlying MTM volatility, which can erode shareholder equity over time.

Here's the quick math on the recent NAV trend:

Oxford Square Capital Corp. (OXSQ) - PESTLE Analysis: Social factors

Growing investor demand for high-yield income streams in a low-growth environment

You and other income-focused investors are defintely driving the social tailwind for Business Development Companies (BDCs) like Oxford Square Capital Corp. (OXSQ). In a market where traditional fixed-income yields are often insufficient, BDCs offer an attractive alternative for cash flow. This is why the BDC sector's total Assets Under Management (AUM) has grown substantially, reaching approximately $450 billion in 2025, a four-fold increase since the end of 2020.

Oxford Square Capital Corp. directly capitalizes on this demand by offering a high distribution yield. As of November 2025, the company's trailing twelve-month (TTM) dividend yield stands at an impressive 22.83%, with an annual dividend of $0.42 per share. This high yield is the primary social magnet, but it comes with a trade-off: a deteriorating sector outlook from agencies like Fitch Ratings due to potential non-accruals and portfolio losses in 2025. Investors are chasing yield, but they must be realistic about the underlying credit risk.

Increased pressure from institutional investors for transparent ESG (Environmental, Social, and Governance) reporting

The push for Environmental, Social, and Governance (ESG) transparency is no longer a niche issue; it is a core expectation from institutional investors, and that pressure filters down to BDCs. For Oxford Square Capital Corp., meeting this social demand means disclosing how its portfolio aligns with ESG criteria, even though BDCs are primarily lenders. The company is already engaging with this trend, having reported that its ESG-aligned investment portfolio represented 42.7% of its total assets under management as of Q4 2023, valued at approximately $316.4 million.

This is a major strategic factor because large institutional buyers and public-sector organizations are increasingly requiring their suppliers-and by extension, the companies BDCs lend to-to disclose ESG information. If Oxford Square Capital Corp.'s portfolio companies fail to meet these rising standards, they could lose lucrative contracts, which would negatively impact the BDC's loan performance. You need to watch for updated 2025 figures on this alignment.

Retail investor shift towards alternative assets and BDCs for dividend income

The high-yield nature of BDCs makes them particularly appealing to retail investors seeking regular income, often as a substitute for traditional bonds or even Real Estate Investment Trusts (REITs). Honestly, BDCs offer a higher yield than many other income-focused asset classes. This is a key social factor for Oxford Square Capital Corp. because institutional investors account for only about 30% of BDC ownership on average. The remaining 70% is largely comprised of individual or retail investors.

This retail-heavy ownership base means the stock price is highly sensitive to the monthly distribution announcements. The Board's decision to maintain the common dividend at $0.035 per share per month for the last quarter of 2025 is a direct response to this social expectation, even as the Net Investment Income (NII) per share has seen some recent pressure.

• High yield attracts individual investors.
• Monthly payouts ($0.035/share) stabilize retail sentiment.
• Retail investors are the core demand driver.

Public perception of corporate debt risk influencing overall market sentiment

The perception of risk in the corporate debt market, especially for middle-market loans, directly impacts Oxford Square Capital Corp.'s stock price and its ability to raise capital. In 2025, the sector is facing a 'deteriorating' outlook from Fitch Ratings due to expected upticks in non-accruals (loans not generating income) and portfolio losses. This reality check is already visible in Oxford Square Capital Corp.'s financials.

The most concrete sign of this risk perception is the fluctuation and decline in Net Asset Value (NAV) per share. The NAV per share fell from $2.30 at the end of 2024 to $2.09 at the end of Q1 2025, and then slightly to $2.06 at the end of Q2 2025, largely driven by net realized losses of $12.2 million in Q1 2025. A declining NAV, despite a high dividend yield, signals that the company may be over-distributing relative to its underlying asset value, which is a major red flag for sophisticated investors and a public perception challenge.

Here's the quick math on recent NAV movement:

What this estimate hides is the long-term erosion of capital. The perception of risk is high when the dividend yield is significantly higher than the Net Investment Income per share, suggesting the distribution is not fully covered by earnings.

Oxford Square Capital Corp. (OXSQ) - PESTLE Analysis: Technological factors

The core takeaway here is that for Oxford Square Capital Corp., technology isn't a differentiator yet, but a critical, near-term operational mandate. The firm's heavy concentration in Collateralized Loan Obligation (CLO) equity-about 43% of its portfolio's fair value as of Q3 2025-means the speed and precision of its risk modeling must match the industry's rapid adoption of Artificial Intelligence (AI) and automation. Honestly, if you're not using advanced tech to dissect the risk in a CLO's underlying loan pool, you're just guessing faster.

Use of advanced data analytics and AI to assess credit risk in underlying loan pools

In the Business Development Company (BDC) space, especially for a firm with a significant CLO equity position like Oxford Square Capital Corp., the ability to model credit risk (the risk of a borrower defaulting on a loan) is paramount. While the company doesn't publicly detail its proprietary AI use, the broader financial industry is moving fast: over 71% of banks are already utilizing AI to detect and mitigate cyber threats, a capability that easily translates to credit risk analysis in loan pools.

A sophisticated AI model can ingest thousands of data points on the underlying corporate loans in a CLO-far more than a human analyst can process-to provide a real-time Weighted Average Rating Factor (WARF) assessment. For instance, in Q1 2025, the underlying loans of Oxford Square Capital Corp.'s CLO equity tranche positions had a WARF of 2694, which is equivalent to a Moody's corporate debt rating between B1 and B2. Relying on trustee reports alone is a risk; an internal, AI-driven system could flag deterioration faster, allowing the firm to act before the Net Asset Value (NAV) per share drops, as it did from $2.06 to $1.95 in Q3 2025.

Automation of due diligence processes for CLO tranches, improving speed and efficiency

The sheer volume of documentation in a CLO transaction-indentures, offering circulars, and loan tapes-makes manual due diligence (the investigation of a potential investment) a huge time sink. Automation is the only way to scale without adding massive operational costs. Process automation, driven by AI, is a key trend improving operational efficiency across financial services.

For Oxford Square Capital Corp., which had a significant investment activity of approximately $58.1 million in new investments in Q3 2025 alone, automating the initial screening of CLO tranches is a necessity. This automation cuts the time from deal sourcing to execution, a crucial advantage in the highly competitive secondary loan market where the company often focuses its purchases. It's about reducing the cost per transaction and increasing the number of deals an analyst can review. Speed is money.

Cybersecurity risks for sensitive financial data, a constant operational threat

Cybersecurity is not an IT problem; it's an existential business risk, ranking as the second-highest emerging risk for financial institutions in 2025, right behind AI itself. For a BDC managing a portfolio of over 60 positions and sensitive investor data, the threat is magnified. Financial firms are targeted by cyberattacks approximately 300 times as often as other industries.

The global cost of cybercrime was a staggering $9.5 trillion in 2024, and the financial sector is a prime target for sophisticated nation-state and ransomware attacks. Oxford Square Capital Corp. must ensure its third-party vendors and cloud services-which introduce supply chain vulnerabilities-have robust cybersecurity measures, as reliance on external providers is a major risk point. This isn't a one-time fix; it's a constantly rising operational expense. Here's a quick look at the threat landscape:

• Cybersecurity is the second-highest emerging risk for financial institutions in 2025.
• Financial firms are targeted 300 times more often than other industries.
• The global cybersecurity in banking market is projected to reach $282 billion by 2032.

FinTech platforms streamlining capital raising and investor communication

FinTech (financial technology) platforms are fundamentally changing how BDCs raise capital and interact with shareholders. The total FinTech market value is projected to hit $305 billion by 2025, growing at a 20% annual rate. This trend impacts Oxford Square Capital Corp. directly through its capital-raising activities.

In 2025, the company successfully utilized an 'at-the-market' (ATM) offering, a FinTech-enabled method, issuing approximately 4.9 million shares for net proceeds of around $11.6 million. They also issued 7.75% unsecured notes, raising $74.8 million. These digital-first capital raising tools allow for faster, more flexible funding compared to traditional, large-block underwritten offerings. Furthermore, digital investor portals and communication tools are now the standard for disseminating financial results and supplemental investor information, like the Q3 2025 results that showed total investment income of approximately $10.2 million.

This is defintely a core opportunity for BDCs to lower the cost of capital and improve transparency. The table below summarizes the key technological factors and their impact on Oxford Square Capital Corp.'s 2025 operations and financial metrics:

Finance: Task the operations team with a gap analysis of current CLO risk modeling tools versus industry-leading AI platforms by year-end.

Oxford Square Capital Corp. (OXSQ) - PESTLE Analysis: Legal factors

Compliance burden from the Investment Company Act of 1940, especially asset coverage requirements.

As a Business Development Company (BDC), Oxford Square Capital Corp. is a non-diversified management investment company and is heavily regulated under the Investment Company Act of 1940 (the 1940 Act). This framework imposes a significant compliance burden, particularly around leverage limits, which directly impacts your capital structure and ability to deploy capital.

The core constraint is the statutory asset coverage requirement, which dictates the maximum leverage a BDC can take on. Following the statutory change, the minimum asset coverage ratio must be 150%, meaning total assets must be at least 150% of total debt and preferred stock. This translates to a maximum debt-to-equity ratio of 2:1.

Oxford Square Capital Corp. is currently operating well within this limit, but its leverage has increased. As of September 30, 2025, the company's debt-to-equity ratio rose to 0.98x, up from 0.73x in the prior quarter. This increase was driven by the issuance of $74.75 million in 7.75% unsecured notes due July 2030 (OXSQH). Here's the quick math: a 0.98x debt-to-equity ratio means the asset coverage ratio is approximately 202% (Assets/Debt = (Equity + Debt)/Debt = 1 + (Equity/Debt) = 1 + 1/0.98), giving the firm a cushion of 52 percentage points above the 150% minimum. You need to keep a close eye on this ratio; a drop below 150% would trigger a regulatory event, forcing a halt on distributions and new borrowings.

Dodd-Frank Act's risk retention rules for CLOs, though largely settled, still influence structuring.

The Dodd-Frank Act's risk retention rules, which require securitizers to keep at least 5% of the credit risk, are largely settled for Oxford Square Capital Corp.'s core investment strategy. This is defintely a win for the firm. A 2018 D.C. Circuit Court ruling determined that managers of 'open-market' Collateralized Loan Obligations (CLOs)-the type Oxford Square Capital Corp. primarily invests in-are not considered 'securitizers' and are thus exempt from the 5% risk retention requirement. This ruling removed a major capital drain for CLO investors like OXSQ.

Still, the influence remains in the market structure. The rule's existence has encouraged larger, well-capitalized managers to dominate the CLO market, and the need for risk alignment remains a key consideration for investors. Oxford Square Capital Corp.'s portfolio reflects a significant exposure to this area, with CLO equity investments valued at approximately $89.3 million as of June 30, 2025. The weighted average effective yield on their CLO equity investments was 9.7% as of September 30, 2025, showing the strong income generation potential of this asset class without the direct risk retention capital requirement.

New state-level regulations on fiduciary duty and investor protection.

The regulatory environment in 2025 shows a clear push for greater transparency and investor protection, which impacts how BDCs interact with their investors and manage their assets. This is happening at both the federal and state levels, though state-specific fiduciary rules are a constant compliance challenge.

A major development in 2025 was the bipartisan legislative effort to correct a misleading disclosure rule for BDC-focused funds. The House passed the 'Access to Small Business Investor Capital Act' (H.R. 2225) in June 2025, which aims to exempt funds that invest in BDCs from including the Acquired Fund Fees and Expenses (AFFE) calculation in their prospectus fee table. This is a crucial fix because the AFFE rule was double-counting BDC operating expenses, artificially inflating the disclosed costs for investors and restricting institutional investment. This will likely lead to:

• Increased institutional investment in BDCs.
• More accurate financial information for retail investors.

Separately, the SEC continues to enforce fiduciary duty, as seen in a January 2025 settlement against a registered investment adviser for failing to address known vulnerabilities in its investment models, which is a clear signal that compliance programs must be robust.

Litigation risk related to portfolio company bankruptcies and debt restructuring.

The nature of BDC lending-providing capital to middle-market companies, often with lower credit ratings-inherently carries litigation risk tied to credit events. When a portfolio company defaults, the resulting debt restructuring or bankruptcy process involves complex legal battles over collateral priority, valuation, and recovery.

Oxford Square Capital Corp. is exposed to this risk, and the Q3 2025 data shows this is a real cost of doing business. The U.S. loan market's 12-month trailing default rate was 1.47% as of September 30, 2025. The firm's portfolio had a weighted average credit grade of 2.2 on its debt investments, a metric that signals moderate risk. The financial impact of these credit events is quantified in the firm's realized losses:

The litigation risk is not about the BDC itself going bankrupt (the probability of which is estimated at 0%), but about maximizing recovery on defaulted loans. The firm must maintain a strong legal and workout team to navigate these restructurings, especially as their debt investments had stated interest rates between 7.08% and 12.70% as of June 30, 2025, indicating a higher-risk profile for those borrowers.

Oxford Square Capital Corp. (OXSQ) - PESTLE Analysis: Environmental factors

You're looking at Oxford Square Capital Corp. (OXSQ) and trying to map the environmental risks, which is smart because even a Business Development Company (BDC) focused on credit isn't immune to climate-driven financial shifts. The direct takeaway is that OXSQ has a low direct environmental footprint but faces a high, unquantified indirect risk due to its significant Collateralized Loan Obligation (CLO) equity exposure, plus a growing regulatory and investor demand for climate-risk transparency that the firm has not yet fully addressed publicly.

Emerging SEC climate-related financial risk disclosure requirements impacting portfolio company reporting.

The regulatory landscape for climate disclosure is defintely in flux, but the pressure is real. While the U.S. Securities and Exchange Commission (SEC) announced in March 2025 that it would no longer defend its comprehensive climate disclosure rules in court, the underlying risk hasn't vanished. The original SEC rule, which would have mandated disclosures for large-accelerated filers starting with their Fiscal Year 2025 data, has already forced many of OXSQ's potential and actual middle-market borrowers to start preparing for a world of climate-risk reporting.

Plus, the European Union's Corporate Sustainability Reporting Directive (CSRD) is already in effect, and its reach extends to many U.S. companies with significant EU operations. This means many of the underlying companies in OXSQ's debt and CLO portfolios-especially those with international exposure-are already facing mandatory disclosure of their Scope 1 and 2 greenhouse gas (GHG) emissions and material climate risks. The uncertainty of the SEC rule doesn't eliminate the compliance cost or the transition risk for the companies OXSQ finances.

Limited direct environmental impact, but indirect risk from financing carbon-intensive industries.

OXSQ itself is a financial firm, so its direct environmental impact is minimal-think office energy use, not smokestacks. The real risk is indirect, sitting in the $260.5 million total fair value of its investment portfolio as of September 30, 2025. This risk is primarily channeled through the underlying loans in its CLO equity and secured debt positions. Here's the quick math on the exposure:

What this table hides is the sector breakdown of the 37% CLO equity. OXSQ's public filings only disclose the industry breakdown for its direct corporate loan portfolio, excluding the CLO equity. Since CLO collateral is often below investment grade, it can include companies in high-emissions or resource-intensive sectors. Without that transparency, investors can't accurately model the physical and transition risks in over a third of OXSQ's portfolio.

Increased focus on portfolio companies' transition risks related to climate policy.

The transition risk-the financial risk stemming from a shift to a lower-carbon economy-is a major headwind for any non-bank lender in 2025. This isn't just about regulation; it's about technology and market preference. For example, a middle-market manufacturing company in OXSQ's portfolio that relies on outdated, high-emissions equipment faces higher capital expenditure needs to remain competitive, which directly impacts its ability to service debt.

OXSQ's stated investment objective is to 'maximize our portfolio's total return,' with no public mention of a formal environmental, social, and governance (ESG) or climate risk integration framework in its investment strategy. This pure financial focus means the company may be under-pricing the transition risk in its debt and CLO investments, especially when compared to peers who are actively screening for climate resilience.

Investor preference for BDCs that integrate environmental factors into credit analysis.

Investor demand for BDCs that integrate environmental factors isn't a niche trend anymore; it's a core expectation from institutional capital. A 2025 survey of 420 institutional investors found that an overwhelming 87% of respondents stated their ESG goals remain unchanged, despite the political noise. They are moving away from generic ESG toward targeted themes like 'energy transition.'

For OXSQ, this translates to a potential valuation headwind. BDCs that can demonstrate robust environmental risk integration into their credit analysis-showing how they manage the climate-driven default risk in their underlying loans-are increasingly favored. By not publicly adopting a formal climate-risk or ESG policy, OXSQ risks being overlooked by a growing pool of institutional money that is actively seeking to increase allocations to private market assets with clear sustainability criteria. This lack of transparency can contribute to the persistent discount to Net Asset Value (NAV) that many BDCs face.

Finance: Draft a preliminary internal memo by end of Q1 2026 outlining the top three most carbon-intensive sectors in the underlying CLO collateral, using trustee reports, and quantify the potential loss given default (LGD) impact under a 2°C transition scenario.