Credit default risk - the economy slows down, the rate of corporate defaults would be expected to increase, thus affecting American Capital's ability to regain their investment. Sound's familiar? - Subprime crisis
Interest rate risk - rising interest rates would increase costs and make debt more expensive. The company has $1.8B (out of ~$4B total) in revolving credit facilities.
The asset management and private equity business generally requires highly skilled, experienced personnel who demand high compensation. This makes operating leverage very difficult, if not impossible, so expect operating expenses to rise with revenues and earnings. ACAS' stringent vetting process only exacerbates this issue.
Market risk - American Capital depends on both capital and credit markets to finance activities. Due to strict 1:1 debt-to-equity legal requirements, ACAS depends on raising equity in the public markets as well as leveraging that equity in the debt markets for use in future investments. A freeze-up in either/both markets could prove detrimental to operations.