What changed in this filing

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Item 3. Quantitative and Qualitative Disclosures About Market Risk

2022-05-09 compared with 2021-11-08 · 29 added, 30 removed, 56 unchanged (51% of the section changed)

3 unchanged sentences

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

As of March 31, 2022, 68.9% of our portfolio investments (based on fair value) were debt investments paying variable interest rates and 10.2% were debt investments paying fixed

interest rates while 14.4% were other income producing investments, 5.0% consisted of non-income producing investments, and the remaining 1.5% consisted of investments on

2 unchanged sentences

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

investments, an increase in interest rates beyond this threshold would make it easier for us to meet or exceed the hurdle rate applicable to the subordinated incentive fee on income, and may result in a substantial increase in our net investment

income and to the amount of incentive fees payable to the Advisor with respect to our increased pre-incentive fee net investment income.

In 2020, the U.S.

Federal Reserve and other central banks have reduced

certain interest rates in response to the COVID-19 pandemic and market conditions.

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.

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 September 30, 2021 (dollar amounts are

presented in millions):

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 investments, an increase in interest rates beyond this threshold would make it easier for us to meet or exceed the hurdle

rate applicable to the subordinated incentive fee on income, and may result in a substantial increase in our net investment income and to the amount of incentive fees payable to the Advisor with respect to our increased pre-incentive fee net investment income.

Pursuant to the terms of the Ambler Credit Facility, CCT Tokyo

Funding Credit Facility, Darby Creek Credit Facility, Dunlap 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.

Under the indentures governing the 4.750% notes, the 4.625% notes, the 1.650% notes, the 4.125% notes, the 4.250% notes, the 8.625% notes, the 3.400% notes, the 2.625% notes, the 3.250% notes and the 3.125% 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.

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 March 31, 2022 (dollar amounts are presented in millions):

Basis Point Change in Interest Rates

13 unchanged sentences

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

During the three months ended March 31, 2022 and 2021, we did not engage in interest rate hedging

Foreign Currency Risk

6 unchanged sentences

strengthening of the U.S.

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

dollar) would have on the fair value of our investments denominated in foreign currencies as of March 31, 2022, by foreign currency, all other valuation assumptions remaining constant.

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 March 31, 2022 to hedge against foreign

currency risks.

Investments Denominated in Foreign Currencies

As of September 30, 2021

As of March 31, 2022

Economic Hedging

As of September 30, 2021

As of March 31, 2022

Cost in Local

Reduction in Fair

September 30, 2021

if 10% Adverse

Change in Exchange

March 31, 2022 if

Exchange Rate (1)

Currency Hedge

Amount in Local

Currency Hedge

Amount in U.S.

14 unchanged sentences

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

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

As of March 31, 2022, the net contractual amount of our foreign currency forward contracts totaled $208.5, all of which related to

hedging of our foreign currency denominated debt investments.

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.

As of March 31, 2022, we had outstanding borrowings denominated in foreign currencies of 183, CAD37, £128 and AUD147 under our Senior Secured Revolving Credit Facility.

In addition, we may have risk regarding portfolio valuation.

2 unchanged sentences

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