| Summary of Valuation of Investments by Fair Value Hierarchy Levels |
The following table summarizes the valuation of the Company’s investments by the fair value hierarchy levels required under ASC 820 as of December 31, 2015:
|
|
|
Fair |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Senior secured term loan |
|
$ |
5,474,534 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,474,534 |
|
|
Senior secured term loan participations |
|
|
18,484,242 |
|
|
|
— |
|
|
|
— |
|
|
|
18,484,242 |
|
|
Senior secured trade finance participations |
|
|
77,069,328 |
|
|
|
— |
|
|
|
— |
|
|
|
77,069,328 |
|
|
Total |
|
$ |
101,028,104 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
101,028,104 |
|
The following table summarizes the valuation of the Company’s investments by the fair value hierarchy levels required under ASC 820 as of December 31, 2014:
|
|
|
Fair |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Senior secured term loan participations |
|
$ |
5,750,000 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,750,000 |
|
|
Secured mezzanine term loan |
|
|
47,697,442 |
|
|
|
— |
|
|
|
— |
|
|
|
47,697,442 |
|
|
Total |
|
$ |
53,447,442 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
53,447,442 |
|
|
| Summary of Investments Classified as Level 3 |
The following is a reconciliation of activity for the year ended December 31, 2015, of investments classified as Level 3:
|
|
|
Fair Value at December 31, 2014 |
|
|
Purchases |
|
|
Maturities or Prepayments |
|
|
Amortization |
|
|
Net change in unrealized appreciation (depreciation) |
|
|
Fair Value at December 31, 2015 |
|
|
Senior secured term loan |
|
$ |
— |
|
|
$ |
5,500,000 |
|
|
$ |
(25,466 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,474,534 |
|
|
Senior secured term loan participations |
|
|
5,750,000 |
|
|
|
13,446,833 |
|
|
|
(400,000 |
) |
|
|
5,833 |
|
|
|
(318,424 |
) |
|
|
18,484,242 |
|
|
Senior secured trade finance participations |
|
|
47,697,442 |
|
|
|
119,422,199 |
|
|
|
(90,050,313 |
) |
|
|
— |
|
|
|
|
|
|
|
77,069,328 |
|
|
Total |
|
$ |
53,447,442 |
|
|
$ |
138,369,032 |
|
|
$ |
(90,475,779 |
) |
|
$ |
5,833 |
|
|
$ |
(318,424 |
) |
|
$ |
101,028,104 |
|
The following is a reconciliation of activity for the year ended December 31, 2014 of investments classified as Level 3:
|
|
|
Fair Value at December 31, 2013 |
|
|
Purchases |
|
|
Maturities or Prepayments |
|
|
Amortization |
|
|
Net change in unrealized appreciation (depreciation) |
|
|
Fair Value at December 31, 2014 |
|
|
Senior secured term loan participations |
|
$ |
3,000,000 |
|
|
$ |
3,326,000 |
|
|
$ |
(576,000 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,750,000 |
|
|
Secured mezzanine term loan |
|
|
2,952,836 |
|
|
|
1,944,777 |
|
|
|
(5,000,000 |
) |
|
|
102,387 |
|
|
|
— |
|
|
|
— |
|
|
Senior secured trade finance participations |
|
|
594,225 |
|
|
|
69,721,771 |
|
|
|
(22,618,554 |
) |
|
|
— |
|
|
|
— |
|
|
|
47,697,442 |
|
|
Unsecured short term note receivable |
|
|
— |
|
|
|
3,000,000 |
|
|
|
(3,000,000 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Total |
|
$ |
6,547,061 |
|
|
$ |
77,992,548 |
|
|
$ |
(31,194,554 |
) |
|
$ |
102,387 |
|
|
$ |
— |
|
|
$ |
53,447,442 |
|
|
| Summary of Quantitative Information of Fair Value Measurements of Investments |
As of December 31, 2015, all of the Company’s portfolio investments utilized Level 3 inputs. The following table presents the quantitative information about Level 3 fair value measurements of the Company’s investments as of December 31, 2015:
|
|
|
Fair value |
|
|
Valuation technique |
|
Unobservable input |
|
Range (weighted average) |
|
|
Senior secured trade finance participations |
|
$ |
77,069,328 |
|
|
Income approach |
|
Market yield |
|
8.89% – 17.50% (12.04%) |
|
|
Senior secured term loan |
|
$ |
5,474,534 |
|
|
Income approach |
|
Market yield |
|
|
13.50% |
|
|
Senior secured term loan participations |
|
$ |
15,544,242 |
|
|
Income approach |
|
Market yield |
|
15.83% - 17.43%(16.13%) |
|
|
Senior secured term loan participations |
|
$ |
2,940,000 |
|
|
Collateral based approach |
|
Value of collateral |
|
N/A |
|
As of December 31, 2014, all of the Company’s portfolio investments utilized Level 3 inputs. The following table presents the quantitative information about Level 3 fair value measurements of the Company’s investments as of December 31, 2014:
|
|
|
Fair value |
|
|
Valuation technique |
|
Unobservable input |
|
Range (weighted average) |
|
|
Senior secured trade finance participations |
|
$ |
47,697,442 |
|
|
Income approach |
|
Market yield |
|
9.00% – 17.50% (12.66%) |
|
|
Senior secured term loan participations |
|
$ |
3,000,000 |
|
|
Income approach |
|
Market yield |
|
|
12.43% |
|
|
Senior secured term loan participations |
|
$ |
2,750,000 |
|
|
Collateral based approach |
|
Value of collateral |
|
N/A |
|
|