| 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.
|