Fair Value Measurements

9 Months Ended

Sep. 30, 2017

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 September 30, 2017:

	Fair
	Value		Level 1		Level 2		Level 3
Senior secured term loans	$	62,845,636	$	—	$	—	$	62,845,636
Senior secured term loan participations		105,081,088		—		—		105,081,088
Senior secured trade finance participations		119,437,912		—		—		119,437,912
Short term notes		25,000,000		—		—		25,000,000
Total	$	312,364,636	$	—	$	—	$	312,364,636

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 loan	$	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 is a reconciliation of activity for the nine months ended September 30, 2017, of investments classified as Level 3: 

	Fair Value at December 31, 2016		Purchases		Maturities or Prepayments			Accretion of discounts / Payment-in-kind interest		Net change in unrealized appreciation (depreciation)		Fair Value at September 30, 2017
Senior secured term loans	$	28,673,487	$	38,132,590	$	(4,806,488	)	$	846,047	$	—	$	62,845,636
Senior secured term loan participations		58,450,761		52,742,336		(6,837,629	)		725,620		—		105,081,088
Senior secured trade finance participations		116,671,565		139,590,347		(136,824,000	)		—		—		119,437,912
Short term notes		—		25,000,000		—			—		—		25,000,000
Total	$	203,795,813	$	255,465,273	$	(148,468,117	)	$	1,571,667	$	—	$	312,364,636

There were no realized gains or losses for any of the Company’s investments classified as Level 3 during the three and nine months ended September 30, 2017 and 2016.

As of September 30, 2017, 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 September 30, 2017:

	Fair value		Valuation technique	Unobservable input	Range (weighted average)
Senior secured trade finance participations (1)	$	118,711,183	Cost  Approach	Recent transactions	N/A
Senior secured trade finance participations (2)	$	726,729	Income approach (DCF)	Market yield		15.75%
Senior secured term loans	$	62,845,636	Income approach (DCF)	Market yield	11.50% - 13.50% (12.50%)
Senior secured term loan participations	$	105,081,088	Income approach  (DCF)	Market yield	11.50% - 15.70% (13.99%)

(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.     

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)	Market Yield		15.75%
Senior secured term loans	$	28,673,487	Income approach (DCF)	Market Yield	11.50% - 13.50% (12.50%)
Senior secured term loan participations	$	58,450,761	Income approach  (DCF)	Market Yield	11.50% - 15.70% (13.99%)

(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.

The significant unobservable Level 3 inputs used in the fair value measurement of the Company’s 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.