Fair Value Measurements

12 Months Ended

Dec. 31, 2016

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 4. Fair Value Measurements

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, 2016:

	Fair
	Value		Level 1		Level 2		Level 3
Senior secured term loans	$	28,673,487	$	—	$	—	$	28,673,487
Senior secured term loan participations		58,450,761		—		—		58,450,761
Senior secured trade finance participations		116,671,565		—		—		116,671,565
Total	$	203,795,813	$	—	$	—	$	203,795,813

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 is a reconciliation of activity for the year ended December 31, 2016, of investments classified as Level 3:

	Fair Value at December 31, 2015		Purchases		Maturities or Prepayments			Accretion of discounts		Net change in unrealized appreciation (depreciation)			Fair Value at December 31, 2016
Senior secured term loans	$	5,474,534	$	24,200,000	$	(1,381,848	)	$	380,801	$	—		$	28,673,487
Senior secured term loan participations		18,484,242		42,170,621		(2,637,793	)		115,267		318,424			58,450,761
Senior secured trade finance participations		77,069,328		165,850,182		(126,188,868	)		—		(59,077	)		116,671,565
Unsecured short term note receivable		—		20,000,000		(20,000,000	)		—		—			-
Total	$	101,028,104	$	252,220,803	$	(150,208,509	)	$	496,068	$	259,347		$	203,795,813

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			Accretion of discounts		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
Unsecured short term note receivable		—							—		—			—
Total	$	53,447,442	$	138,369,032	$	(90,475,779	)	$	5,833	$	(318,424	)	$	101,028,104

There were no realized gains or losses for any of our investments classified as Level 3 during the years ended December 31, 2016 and 20154.

As of December 31, 2016, 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, 2016:

	Fair value		Valuation technique	Unobservable input	Range (weighted average)
Senior secured trade finance participations (1)	$	115,930,875	Cost Approach	Recent transactions	N/A
Senior secured trade finance participations (2)	$	740,690	Income approach (DCF)	Yield		15.75%
Senior secured term loans	$	28,673,487	Income approach (DCF)	Yield	11.50% - 13.50% (12.50%)
Senior secured term loan participations (3)	$	58,450,761	Income approach  (DCF)	Yield	11.50% - 15.70% (13.99%)

The significant unobservable inputs used in the fair value measurement of the Company’s trade finance investments are market yields. Significant increases in market yields would result in significantly lower fair value measurements.

(1) Given the short duration (less than one year) and nature of trade finance positions, the Company uses the cost approach to determine the fair value of trade finance positions, unless circumstances would indicate that another approach would be more appropriate.

(2) Income approach used for the Fruit and Nut Distributor based on expected terms as listed in Note 3 above.

(3) As of December 31, 2016, with respect to the loans to Prodesa, the Company has returned to using an income approach to estimate their fair value. As of December 31, 2015, the Company had chosen to determine their estimated fair value based on a collateral valuation approach.  The Company’s decision to do so was not based upon a belief that the Company will need to liquidate the collateral securing the loans to Prodesa, but rather because the Company considered the collateral valuation approach to be the most appropriate due to the availability and reliability of inputs. In addition, the Company is working with Prodesa to re-align its operations and restructure the loans (see Note 3).

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

The significant unobservable inputs used in the fair value measurement of the Company’s trade finance investments are market yields. Significant increases in market yields would result in significantly lower fair value measurements.

For details of the country-specific risk concentrations for the Company’s investments, refer to the Consolidated Schedule of Investments and Note 3.