Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value, Warrants Measured on Recurring Basis

The following table reconciles the beginning and ending balances of the Company’s Level 3 recurring assets (in thousands):


	Three Months Ended
	March 31,
	2020		2019
Fair value of warrants at beginning of period	$	731	$	302
Unrealized gain on fair valuation of warrants		(29)		(4)
Fair value of warrants at end of period	$	702	$	298

Summary of Valuation Techniques and Significant Unobservable Inputs Used

The following table summarizes the valuation techniques and significant unobservable inputs used for the Company’s recurring and non-recurring fair value calculation/adjustments 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 ($0.24)
			Exercise price	$0.02 - $9.00 ($0.08)
			Time to maturity (in years)	6.38 - 11.70 (7.80)
			Risk-free interest rate	0.51% - 1.58% (0.60%)
			Annualized volatility	32.00% - 115.04% (46.32%)


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 ($0.23)
			Exercise price	$0.02 - $9.00 ($0.08)
			Time to maturity (in years)	6.63 - 11.95 (8.05)
			Risk-free interest rate	1.80% - 1.99% (1.87%)
			Annualized volatility	32.21% - 111.44% (46.75%)

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	$	6,151	$	6,151	$	—	$	—	$	6,151
Notes receivable, net		805		—		—		824		824
Warrants, fair value		702		—		—		702		702
Financial liabilities:
Non-recourse debt		3,180		—		—		3,198		3,198


	December 31, 2019
	Carrying
	Amount		Level 1		Level 2		Level 3		Total
Financial assets:
Cash and cash equivalents	$	6,410	$	6,410	$	—	$	—	$	6,410
Notes receivable, net		1,078		—		—		1,086		1,086
Warrants, fair value		731		—		—		731		731
Financial liabilities:
Non-recourse debt		3,508		—		—		3,516		3,516