Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

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 June 30, 2020:

	Fair
	Value		Level 1		Level 2		Level 3
Senior secured term loans	$	99,415,415	$	—	$	—	$	99,415,415
Senior secured term loan participations		158,424,908		—		—		158,424,908
Senior secured trade finance participations		67,795,496		—		—		67,795,496
Other investments		3,758,063		—		—		3,758,063
Equity warrants		1,199,618		—		—		1,199,618
Total	$	330,593,500	$	—	$	—	$	330,593,500

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, 2019:

	Fair
	Value		Level 1		Level 2		Level 3
Senior secured term loan	$	83,353,208	$	—	$	—	$	83,353,208
Senior secured term loan participations		180,500,425						180,500,425
Senior secured trade finance participations		71,606,458		—		—		71,606,458
Short term investments		3,758,063						3,758,063
Equity warrants		1,080,222						1,080,222
Total	$	340,298,376	$	—	$	—	$	340,298,376

Summary of Investments Classified as Level 3

The following is a reconciliation of activity for the six months ended June 30, 2020, of investments classified as Level 3: 

	Fair Value at December 31, 2019		Purchases		Maturities or Prepayments			Accretion of discounts / Payment-in-kind interest		Net change in unrealized appreciation (depreciation)			Fair Value at June 30, 2020
Senior secured term loans	$	83,353,208	$	13,250,000	$	(627,901	)	$	3,440,108	$	—		$	99,415,415
Senior secured term loan participations		180,500,425		-		(18,238,360	)		2,468,343		(6,305,500	)		158,424,908
Senior secured trade finance participations		71,606,458		7,000,000		(7,266,163	)		—		(3,544,799	)		67,795,496
Short term and other investments		3,758,063		4,000,000		(4,000,000	)		—					3,758,063
Equity warrants		1,080,222		—		—			—		119,396			1,199,618
Total	$	340,298,376	$	24,250,000	$	(30,132,424	)	$	5,908,451	$	(9,730,903	)	$	330,593,500

Summary of Quantitative Information of Fair Value Measurements of Investments

As of June 30, 2020, 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 June 30, 2020:

	Fair value		Valuation technique	Unobservable input	Range (weighted average)
Senior secured trade finance participations (2)	$	67,136,562	Income approach (DCF)	Market yield	9.0% - 16.4% (11.7%)
Senior secured trade finance participations (1)	$	658,934	Collateral based approach	Value of collateral (collateral coverage)	1.0x - 1.1x
Senior secured term loans	$	99,415,415	Income approach (DCF)	Market yield	11.0% - 14.5% (12.4%)
Senior secured term loan participations	$	158,424,908	Income approach  (DCF)	Market yield	11.5% - 15.0% (12.7%)
Other investments (3)	$	3,758,063	Hybrid income/collateral based approach	Market yield / value of collateral	8.80%
Equity warrants	$	1,199,618	Option Pricing Method	Estimated company value	N/A

(1) Collateral based approach used for the following watch list investments: Profasa and GPI. See Note 3 “Watch List Investments” for further information.

(2) The Company used the income approach for Algodonera, FRIAR, CAGSA, and Functional and a hybrid of the collateral based approach and the income approach for Sancor and Mac Z, using additional unobservable inputs including recovery rates ranging from 15% to 30%, after considering potential and ongoing litigation and expected collection period ranging from 2 to 3 years. See Note 3 “Watch List Investments” for further information.

(3) Receivable from IIG TOF B.V. using additional discount rate of 20%.

As of December 31, 2019, 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, 2019:

	Fair value		Valuation technique	Unobservable input	Range (weighted average)
Senior secured trade finance participations (2)	$	70,792,700	Income approach (DCF)	Market yield	9.0% - 16.8% (12.7%)
Senior secured trade finance participations (1)	$	813,758	Collateral based approach	Value of collateral (collateral coverage)	1.0x - 1.1x
Senior secured term loans	$	83,353,208	Income approach (DCF)	Market yield	10.0% - 14.5% (12.4%)
Senior secured term loan participations	$	180,500,425	Income approach (DCF)	Market yield	11.0% - 15.9% (13.0%)
Other investments (3)	$	3,758,063	Hybrid income/collateral based approach	Market yield / value of collateral	8.75%
Equity warrants	$	1,080,222	Option Pricing Method	Estimated company value	N/A

(1)  Collateral based approach used for the following watch list investments: Profasa and GPI. See Note 3 “Watch List Investments” for further information.

(2) The Company used the income approach for Algodonera, FRIAR, CAGSA, and Functional and a hybrid of the collateral based approach and the income approach for Sancor and Mac Z, using additional unobservable inputs including recovery rates ranging from 15% to 30%, after considering potential and ongoing litigation and expected collection period ranging from 2 to 3 years. See Note 3 “Watch List Investments” for further information.

(3) Receivable from IIG TOF B.V. using additional discount rate of 20%.