CM Loans and Notes at Fair Value

3 Months Ended

Jun. 30, 2011

CM Loans and Notes at Fair Value [Abstract]

CM Loans and Notes at Fair Value

5. CM Loans and Notes at Fair Value

At June 30, 2011 and March 31, 2011, we had the following assets and liabilities measured at fair value on a recurring basis:

	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Fair Value
June 30, 2011
Assets:
CM Loans	$	—	$	—	$	183,117,757	$	183,117,757
Liabilities:
Notes	$	—	$	—	$	182,949,757	$	182,949,757
March 31, 2011
Assets:
CM Loans	$	—	$	—	$	149,971,989	$	149,971,989
Liabilities:
Notes	$	—	$	—	$	149,777,817	$	149,777,817

Both observable and unobservable inputs may be used to determine the fair value of positions that we have classified within the Level 3 category. As a result, the realized and unrealized gains and losses for assets and liabilities within the Level 3 category presented in the tables below may include changes in fair value that were attributable to both observable and unobservable inputs. The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2011:

	CM Loans			Notes
Fair value at March 31, 2011	$	149,971,989		$	149,777,817
Originations		54,265,647			55,693,775
Reclassification of member loans held for investment		879,638			—
Principal repayments		(19,176,697	)		(19,699,272	)
Carrying value before period-end fair value adjustments		185,940,577			185,772,320
Fair valuation adjustments, included in earnings		(2,822,820	)		(2,822,563	)
Fair value at June 30, 2011	$	183,117,757		$	182,949,757

The majority of fair valuation adjustments included in earnings are attributable to changes in instrument-specific credit risk. All fair valuation adjustments were related to Level 3 instruments held at June 30, 2011. A specific loan that is deemed to have a higher probability of default than previously estimated lowers the expected future cash flows of the CM Loan over its remaining life, which reduces its estimated fair value. Because the payments to holders of Notes directly reflect the payments received on CM Loans, a reduction of the expected future payments on CM Loans reduces the estimated fair values of the related Notes. The net change in fair values of CM Loans and Notes for the three months ended June 30, 2011, attributable to instrument-specific credit risk was a net loss of $257, which was included in earnings. The net change in fair values of CM Loans and Notes for the three months ended June 30, 2010, attributable to instrument-specific credit risk was a net loss of $1,497, which was included in earnings.

At June 30, 2011, we had 191 CM Loans representing $1,424,726 of outstanding CM Loan principal, $675,040 of CM Loan fair value, and $673,321 of Notes principal fair value which were greater than 90 days delinquent. At March 31, 2011, we had 186 CM Loans representing $1,461,924 of outstanding CM Loan principal, $552,373 of CM Loan fair value and $550,866 of Notes principal fair value which were greater than 90 days delinquent.

At June 30, 2011, we had 58 CM Loans representing $465,718 of outstanding CM Loan principal, $44,502 of CM Loan fair value, and $44,405 of Notes principal fair value which were on nonaccrual status. At March 31, 2011, we had 69 CM Loans representing $550,652 of outstanding CM Loan principal, $26,735 of CM Loan fair value and $26,669 of Notes principal fair value which were on nonaccrual status.