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Item 3. Quantitative and Qualitative Disclosures About Market Risk

2021-11-08 compared with 2021-08-09 · 36 added, 34 removed, 50 unchanged (58% of the section changed)

1 unchanged sentence

Interest Rate Risk

We are subject to financial market risks, including

changes in interest rates.

As of June 30, 2021, 68.0% of our portfolio investments (based on fair value) were debt investments paying variable interest rates and 9.0% were debt investments paying fixed interest rates while 14.0% were other

income producing investments, 6.0% consisted of non-income producing investments, and the remaining 3.0% consisted of investments on non-accrual status.

A rise in the

general level of interest rates can be expected to lead to higher interest rates applicable to any variable rate investments we hold and to declines in the value of any fixed rate investments we hold.

However, many of our variable rate investments

provide for an interest rate floor, which may prevent our interest income from increasing until benchmark interest rates increase beyond a threshold amount.

We are subject to

financial market risks, including changes in interest rates.

As of September 30, 2021, 69.2% of our portfolio investments (based on fair value) were debt investments paying variable interest rates and 9.3% were debt investments paying fixed

interest rates while 13.4% were other income producing investments, 4.4% consisted of non-income producing investments, and the remaining 3.7% consisted of investments on

non-accrual status.

A rise in the general level of interest rates can be expected to lead to higher interest rates applicable to any variable rate investments we hold and to declines in the value of any fixed

rate investments we hold.

However, many of our variable rate investments provide for an interest rate floor, which may

prevent our interest income from increasing until benchmark interest rates increase beyond a threshold amount.

To the extent that a substantial portion of our investments may be in variable rate

5 unchanged sentences

A prolonged reduction in interest rates may reduce our net investment income.

Pursuant to the terms of the Ambler Credit Facility, CCT Tokyo Funding Credit Facility, Darby Creek Credit Facility, Dunlap Credit

Facility, Juniata River Credit Facility, Meadowbrook Run Credit Facility, Senior Secured Revolving Credit Facility and the CLO-1 Notes, we borrow at a floating rate based on a benchmark interest rate.

the indentures governing the 4.750% notes, the 5.000% notes, the 4.625% notes, the 4.125% notes, the 8.625% notes, the 3.400% notes and the 2.625% notes, we pay interest to the holders of such notes at a fixed rate.

To the extent that any present or

future credit facilities or other financing arrangements that we or any of our subsidiaries enter into are based on a floating interest rate, we will be subject to risks relating to changes in market interest rates.

In periods of rising interest

rates when we or our subsidiaries have such debt outstanding, or financing arrangements in effect, our interest expense would increase, which could reduce our net investment income, especially to the extent we hold fixed rate investments.

Pursuant to the terms of the Ambler Credit Facility, CCT Tokyo Funding Credit Facility, Darby Creek Credit Facility, Dunlap Credit Facility,

Juniata River Credit Facility, Meadowbrook Run Credit Facility, Senior Secured Revolving Credit Facility and the CLO-1 Notes, we borrow at a floating rate based on a benchmark interest rate.

indentures governing the 4.750% notes, the 5.000% notes, the 4.625% notes, the 4.125% notes, the 4.250% notes, the 8.625% notes, the 3.400% notes and the 2.625% notes, we pay interest to the holders of such notes at a fixed rate.

To the extent that

any present or future credit facilities or other financing arrangements that we or any of our subsidiaries enter into are based on a floating interest rate, we will be subject to risks relating to changes in market interest rates.

In periods of

rising interest rates when we or our subsidiaries have such debt outstanding, or financing arrangements in effect, our interest expense would increase, which could reduce our net investment income, especially to the extent we hold fixed rate

The following table shows the effect over a twelve month period of changes in interest rates on our interest income, interest

expense and net interest income, assuming no changes in the composition of our investment portfolio, including the accrual status of our investments, and our financing arrangements in effect as of June 30, 2021 (dollar amounts are presented in

presented in millions):

Basis Point Change in Interest Rates

(Decrease) in

Change in Net

Interest Income

7 unchanged sentences

management techniques in an effort to minimize our exposure to interest rate fluctuations.

These techniques may

include various interest rate hedging activities to the extent permitted by the 1940 Act.

Adverse developments resulting from changes in interest rates or hedging transactions could have a

material adverse effect on our business, financial condition and results of operations.

During the six months ended June 30, 2021 and 2020, we did not engage in interest rate hedging activities.

These techniques may include various interest rate hedging activities to the extent permitted by the 1940 Act.

Adverse developments resulting from changes in

interest rates or hedging transactions could have a material adverse effect on our business, financial condition and results of operations.

During the nine months ended September 30, 2021 and 2020, we did not engage in interest rate hedging

Foreign Currency Risk

3 unchanged sentences

dollars for inclusion in our consolidated financial statements.

The table below presents the effect that a 10% immediate, unfavorable change in the foreign currency exchange rates (i.e.

The table below presents the effect that a 10% immediate, unfavorable change in the foreign

currency exchange rates (i.e.

strengthening of the U.S.

dollar) would have on the fair value of our investments denominated in foreign currencies as of June 30, 2021, by foreign currency, all other valuation assumptions remaining constant.

In addition, the table below

presents the par value of our investments denominated in foreign currencies and the notional amount of foreign currency forward contracts in local currency in place as of June 30, 2021 to hedge against foreign currency risks.

dollar) would have on the fair value of our investments denominated in foreign currencies as of September 30, 2021, by foreign currency, all other valuation assumptions remaining constant.

In addition, the table below presents the par value of our investments denominated in foreign currencies and the notional amount of foreign currency forward contracts in local currency in place as of September 30, 2021 to hedge against foreign

currency risks.

Investments Denominated in Foreign Currencies

As of June 30, 2021

As of September 30, 2021

Economic Hedging

As of June 30,

As of September 30, 2021

Reduction in Fair

June 30, 2021

September 30, 2021

if 10% Adverse

1 unchanged sentence

Currency Hedge

Local Currency

Currency Hedge

Amount in U.S.

14 unchanged sentences

dollar and are adversely affected by a stronger U.S.

As of June 30, 2021, the net contractual amount of our foreign currency forward contracts totaled $190.7, all of which related to

As of September 30, 2021, the net contractual amount of our foreign currency forward contracts totaled $202.7, all of which related to

hedging of our foreign currency denominated debt investments.

As of June 30, 2021, we had outstanding borrowings denominated in foreign currencies of 278, CAD30, £207 and AUD152 under our Senior Secured Revolving Credit Facility.

As of September 30, 2021, we had outstanding borrowings denominated in foreign currencies of 236, CAD4, £98 and AUD118 under our Senior Secured Revolving Credit Facility.

In addition, we may have risk regarding portfolio valuation.

Managements Discussion and Analysis of

Financial Condition and Results of OperationsCritical Accounting PoliciesValuation of Portfolio Investments.

Managements Discussion and Analysis of Financial

Condition and Results of OperationsCritical Accounting PoliciesValuation of Portfolio Investments.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 3. Quantitative and Qualitative Disclosures About Market Risk