Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value, Warrants Measured on Recurring Basis

The fair value of warrants that were accounted for on a recurring basis during the three months ended March 31, 2020 and 2019, and classified as level 3, are as follows (in thousands):


	Three Months Ended
	March 31,
	2020		2019
Fair value of warrants at beginning of period	$	588	$	561
Warrants converted to securities		—		(140)
Unrealized loss on fair value adjustment for warrants		(11)		(102)
Fair value of warrants at end of period	$	577	$	319

Fair Value, Investment Securities Measured on Recurring Basis

The fair value of investment securities that were accounted for on a recurring basis during the three month periods ended March 31, 2020 and 2019, classified as Level 1 are as follows (in thousands):


		Three Months Ended
		March 31,
		2020	2019
Fair value of investment in securities at beginning of period	$	64	$	117
Unrealized loss on fair market valuation of securities		(5)		(35)
Fair value of investment in securities at end of period	$	59	$	82

Summary of Valuation Techniques and Significant Unobservable Inputs

The following tables summarize the valuation techniques and significant unobservable inputs used for the Company’s recurring and non-recurring fair value calculation categorized as Level 3 in the fair value hierarchy at March 31, 2020 and December 31, 2019:


March 31, 2020
	Valuation	Valuation	Unobservable	Range of Input Values
Name	Frequency	Technique	Inputs	(Weighted Average)
Warrants	Recurring	Black-Scholes formulation	Stock price	$0.11 - $16.95 ($0.67)
			Exercise price	$0.02 - $25.76 ($0.34)
			Time to maturity (in years)	0.74 - 11.70 (7.06)
			Risk-free interest rate	0.16% - 1.58% (0.57%)
			Annualized volatility	32.00% - 115.04% (48.13%)


December 31, 2019
	Valuation	Valuation	Unobservable	Range of Input Values
Name	Frequency	Technique	Inputs	(Weighted Average)
Warrants	Recurring	Black-Scholes formulation	Stock price	$0.10 - $16.07 (S0.66)
			Exercise price	$0.02 - $38.64 ($0.34)
			Time to maturity (in years)	0.99 - 11.95 (7.31)
			Risk-free interest rate	1.59% - 1.99% (1.82%)
			Annualized volatility	32.21% - 114.44% (47.97%)

Estimated Fair Values of Financial Instruments

The following tables present estimated fair values of the Company’s financial instruments in accordance with the guidance provided by the Financial Instruments Topic of the FASB Accounting Standards Codification at March 31, 2020 and December 31, 2019 (in thousands):


	March 31, 2020
	Carrying
	Amount		Level 1		Level 2		Level 3		Total
Financial assets:
Cash and cash equivalents	$	91	$	91	$	—	$	—	$	91
Notes receivable, net		331		—		—		336		336
Investment in securities		59		59		—		—		59
Warrants		577		—		—		577		577


	December 31, 2019
	Carrying
	Amount		Level 1		Level 2		Level 3		Total
Financial assets:
Cash and cash equivalents	$	70	$	70	$	—	$	—	$	70
Notes receivable, net		514		—		—		516		516
Investment in securities		64		64		—		—		64
Warrants		588		—		—		588		588

ATEL Growth Capital Fund 8, LLC 10-Q