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Item 7A. Quantitative and Qualitative Disclosures About Market Risk

2024-03-28 compared with 2022-06-29 · 49 added, 35 removed, 1 unchanged (99% of the section changed)

Quantitative and Qualitative

Disclosures About Market Risk

Uncertainty with respect to the economic

effects of the COVID-19 pandemic has introduced significant volatility in the financial markets, and the effect of the volatility could

materially impact our market risks, including those listed below.

We are subject to financial market risks, including interest rate risk and credit risk.

Quantitative and Qualitative Disclosures About Market Risk

Uncertainty with respect to the economic effects of the COVID-19 pandemic and political tensions in the United States and around the world (including the current conflict in Ukraine) have

introduced significant volatility in the financial markets, and the effect of the volatility could materially impact our market risks, including those listed below.

We are subject to financial market risks, including valuation risk, interest rate

risk and credit risk.

Valuation Risk

Our investments may not have readily available market quotations (as such term is defined in Rule 2a-5 under the 1940 Act), and those investments which do not have readily available market

quotations are valued at fair value as determined in good faith in accordance with our valuation policy.

There is no single standard for determining fair value in good faith.

As a result, determining fair value requires that judgment be applied to

the specific facts and circumstances of each portfolio investment while employing a consistently applied valuation process for the types of investments we make.

Due to the inherent uncertainty of determining the fair value of investments that do

not have a readily available market value, the fair value of our investments may fluctuate from period to period, including as a result of the impact of the COVID‑19 pandemic on the economy and financial and capital markets.

Because of the inherent

uncertainty of valuation, these estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and it is possible that the difference could be material.

Interest Rate Risk

Interest rate sensitivity and risk

refer to the change in earnings that may result from changes in the level of interest rates.

To the extent that we borrow money to make

investments, including under any credit facility, our net investment income will be affected by the difference between the rate at which

we borrow funds and the rate at which we invest these funds.

In periods of rising interest rates, our cost of borrowing funds would increase,

which may reduce our net investment income.

As a result, there can be no assurance that a significant change in market interest rates

will not have a material adverse effect on our net investment income.

“Item 1A.

Risk Factors –

Risks Relating to Our Business and Structure –

Changes in interest rates, changes

in the method for determining LIBOR and the potential replacement of LIBOR may affect our cost of capital and net investment inco me .”

Credit risk is the risk that a decline

in the credit quality of an investment could cause the Company to lose money.

The Company could lose money if the issuer or guarantor

of a portfolio security or a counterparty to a derivative contract fails to make timely payment or otherwise honor its obligations.

income securities rated below investment grade (junk bonds) involve greater risks of default or downgrade and are generally more volatile

than investment grade securities.

Below investment grade securities involve greater risk of price declines than investment grade securities

due to actual or perceived changes in an issuer’s creditworthiness.

In addition, issuers of below investment grade securities may

be more susceptible than other issuers to economic downturns.

Such securities are subject to the risk that the issuer may not be able

to pay interest or dividends and ultimately to repay principal upon maturity.

Discontinuation of these payments could substantially adversely

affect the market value of the security.

SILVER SPIKE INVESTMENT

Interest rate sensitivity and risk refer to the change in earnings that may result from changes in the level of interest rates.

To the extent that we borrow money to make investments, including under any credit

facility, our net investment income will be affected by the difference between the rate at which we borrow funds and the rate at which we invest these funds.

In periods of rising interest rates, our cost of

borrowing funds would increase, which may reduce our net investment income.

As a result, there can be no assurance that a significant change in market interest rates will not have a material adverse effect on our net investment income.

As of December 31, 2022, 79.6% of our debt investments based on outstanding principal balance represented floating-rate investments based on PRIME and approximately 20.4% of our debt

investments based on outstanding principal balance represented fixed rate investments.

As of December 31, 2023, 84.1% of our debt investments based on outstanding principal balance represented floating-rate

investments based on PRIME and approximately 15.9% of our debt investments based on outstanding principal balance represented fixed rate investments.

Based on our Statements of Operations for the year ended December 31, 2023, the following table shows the annualized impact on net income of hypothetical base rate changes in the PRIME rate on our

debt investments (considering interest rate floors for floating rate instruments):

Change in Interest Rates

Interest Income

Interest expense

Net Income/(Loss)

Up 300 basis points

Up 200 basis points

Up 100 basis points

Down 100 basis points

Down 200 basis points

Down 300 basis points

Based on our Statements of Operations for the nine months ended December 31, 2022, the following table shows the annualized impact on net income of hypothetical base rate changes in the PRIME rate

on our debt investments (considering interest rate floors for floating rate instruments):