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Fair Value Measurements

6 Months Ended

Jun. 30, 2023

Fair Value Measurements [Abstract]

Fair Value Measurements

9. Fair value measurements:

Under applicable accounting standards, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date.

At June 30, 2023 and December 31, 2022, the Company’s warrants and investments securities were measured at fair value on a recurring basis. There were no assets or liabilities measured at fair value on a non-recurring basis as of June 30, 2023 and December 31, 2022.

Such fair value adjustments utilized the following methodology:

Warrants (recurring)

Warrants owned by the Company are not registered for public sale, but are considered derivatives and are carried on the balance sheet at an estimated fair value at the end of the period. The valuation of the warrants are determined using a Black-Scholes formulation of value based upon the stock price(s), the exercise price(s), the volatility of comparable venture companies, the time to maturity, and a risk free interest rate for the term(s) of the warrant exercise(s). As of June 30, 2023 and December 31, 2022, the calculated fair value of the Fund’s warrant portfolio approximated $136 thousand and $138 thousand, respectively. Such valuations are classified within Level 3 of the valuation hierarchy.

The following table reconciles the beginning and ending balances of the Company’s Level 3 recurring assets for the three and six months ended June 30, 2023 and 2022 (in thousands):


		Three Months Ended						Six Months Ended
		June 30,						June 30,
		2023			2022			2023			2022
Fair value of warrants at beginning of period		$	136		$	143		$	138		$	142
Unrealized gain (loss) on fair value adjustment for warrants			-			1			(2)			2
Fair value of warrants at end of period		$	136		$	144		$	136		$	144

Investment in equity securities (recurring)

The Company’s equity securities registered for public sale with readily determinable fair values are measured at fair value with any changes in fair value recognized in the Company’s results of operations. As of June 30, 2023 and December 31, 2022, the calculated fair value of the Fund’s investment securities approximated $19 thousand and $21 thousand, respectively. Such valuations are classified within Level 1 of the valuation hierarchy.

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 June 30, 2023 and December 31, 2022:


June 30, 2023
		Valuation		Valuation		Unobservable		Range of Input Values
Name		Frequency		Technique		Inputs		(Weighted Average)
Warrants		Recurring		Black-Scholes formulation		Stock price		$0.01 - $11.71 ($0.07)
						Exercise price		$0.02 - $9.00 ($0.07)
						Time to maturity (in years)		4.41 - 8.45 (4.58)
						Annualized volatility		41.87% - 83.00% (52.34%)


December 31, 2022
		Valuation		Valuation		Unobservable		Range of Input Values
Name		Frequency		Technique		Inputs		(Weighted Average)
Warrants		Recurring		Black-Scholes formulation		Stock price		$0.01 - $11.71 ($0.07)
						Exercise price		$0.02 - $9.00 ($0.07)
						Time to maturity (in years)		4.91 - 8.94 (5.07)
						Annualized volatility		41.18% - 83.00% (51.34%)

The following disclosure of the estimated fair value of financial instruments is made in accordance with the guidance provided by the Financial Instruments Topic of the FASB Accounting Standards Codification. Fair value estimates, methods and assumptions, set forth below for the Company’s financial instruments, are made solely to comply with the

requirements of the Financial Instruments Topic and should be read in conjunction with the Company’s financial statements and related notes.

The Company determines the estimated fair value amounts by using market information and valuation methodologies that it considers appropriate and consistent with the fair value accounting guidance. Considerable judgment is required to interpret market data to develop the estimates of fair value. The use of different market assumptions and/or estimation methodologies may have a material effect on the estimated fair value amounts.

Cash and cash equivalents

The recorded amounts of the Company’s cash and cash equivalents approximate fair value because of the liquidity and short-term maturity of these instruments.

Non-recourse debt

The fair value of the Company’s non-recourse debt is estimated using discounted cash flow analyses, based upon current market borrowing rates for similar types of borrowing arranagements.

Commitments and Contingencies

Management has determined that no recognition for the fair value of the Company’s loan commitments is necessary because their terms are made on a market rate basis and require borrowers to be in compliance with the Company’s credit requirements at the time of funding.

The fair value of contingent liabilities (or guarantees) is not considered material because management believes there has been no event that has occurred wherein a guarantee liability has been incurred or will likely be incurred.

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 June 30, 2023 and December 31, 2022 (in thousands):


		Fair Value Measurements at June 30, 2023
		Carrying
		Amount			Level 1			Level 2			Level 3			Total
Financial assets:
Cash and cash equivalents		$	1,825		$	1,825		$	-		$	-		$	1,825
Investment in equity securities			19			19			-			-			19
Warrants, fair value			136			-			-			136			136
Financial liabilities:
Non-recourse debt			848			-			-			824			824


		Fair Value Measurements at December 31, 2022
		Carrying
		Amount			Level 1			Level 2			Level 3			Total
Financial assets:
Cash and cash equivalents		$	2,644		$	2,644		$	-		$	-		$	2,644
Investment in equity securities			21			21			-			-			21
Warrants, fair value			138			-			-			138			138
Financial liabilities:
Non-recourse debt			1,115			-			-			1,086			1,086

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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