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Fair Value Measurements
12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

17. FAIR VALUE MEASUREMENTS.

 

The fair value hierarchy prioritizes the inputs used in valuation techniques into three levels, as follows:

 

Level 1 – Observable inputs – unadjusted quoted prices in active markets for identical assets and liabilities;

 

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability through corroboration with market data; and

 

Level 3 – Unobservable inputs – includes amounts derived from valuation models where one or more significant inputs are unobservable. For fair value measurements using significant unobservable inputs, a description of the inputs and the information used to develop the inputs is required along with a reconciliation of Level 3 values from the prior reporting period.

 

Pooled separate accounts – Pooled separate accounts invest primarily in domestic and international stocks, commercial paper or single mutual funds. The net asset value is used as a practical expedient to determine fair value for these accounts. Each pooled separate account provides for redemptions by the Retirement Plan at reported net asset values per share, with little to no advance notice requirement, therefore these funds are classified within Level 2 of the valuation hierarchy.

 

Long-Lived Assets Held-for-Sale – The Company recorded its long-lived assets associated with its property and equipment held-for-sale at fair value at December 31, 2022 and 2021 of $0 and $1,000,000, respectively. The fair values of these assets are based on observable values for the assets through corroboration with market data and are designated as Level 3 inputs.

 

Warrants issued in Equity Offering – The Company issued pre-funded warrants and other warrants with exercise prices of $0.001 and $9.757, respectively. The Company valued these warrants upon issuance using the Binomial valuation methodology. On November 16, 2020, the pre-funded warrants were exercised, and as a result, were revalued immediately prior to their exercise. Further, the other warrants were amended on November 24, 2020, resulting in equity accounting, and accordingly were revalued immediately prior to their amendment. The assumptions used were as follows (fair value dollars in thousands):

 

Warrant Type  Valuation
Date
  Exercise
Price
   Volatility   Risk Free
Interest
Rate
   Term
(years)
   Fair Value 
Pre-funded  10/28/2020  $0.01    97.0%   0.34%   5.00   $23,638 
Other  10/28/2020  $9.76    134.0%   0.14%   1.50   $27,048 
Pre-funded  11/16/2020  $0.01    97.0%   0.40%   4.95   $21,916 
Other  11/24/2020  $9.76    135.0%   0.13%   1.45   $31,231 

The fair values of the warrants are based on unobservable inputs and are designated as Level 3 inputs. The changes in the Company’s fair value of its Level 3 inputs with respect to its warrants were as follows (in thousands):

 

   Warrants to
Senior
Note holders
   Pre-funded
Warrants
   Other
Warrants
 
Balance, December 31, 2019  $977   $
   $
 
Issuance of warrants in October 2020 offering   
    23,638    27,048 
Exercise of warrants/reclass to equity in 2020   (8,474)   (21,917)   (31,231)
Adjustments to fair value for 2020   7,497    (1,721)   4,183 
Balance, December 31, 2021 and 2022  $
   $
   $
 

 

Other Derivative Instruments – The Company’s other derivative instruments consist of commodity positions. The fair values of the commodity positions are based on quoted prices on the commodity exchanges and are designated as Level 1 inputs.

 

The following table summarizes recurring and nonrecurring fair value measurements by level at December 31, 2022 (in thousands):

 

                   Benefit Plan 
   Fair               Percentage 
   Value   Level 1   Level 2   Level 3   Allocation 
Assets:                    
Derivative financial instruments  $4,973   $4,973   $
   $
      
                          
Defined benefit plan assets(1)
(pooled separate accounts):
                         
Large U.S. Equity(2)   4,586    
    4,586    
    28%
Small/Mid U.S. Equity(3)   2,986    
    2,986    
    18%
International Equity(4)   2,406    
    2,406    
    14%
Fixed Income(5)   6,710    
    6,710    
    40%
   $21,661   $4,973   $16,688   $
      
                          
Liabilities:                         
                          
Derivative financial instruments  $6,732   $6,732   $
   $
      

 

The following table summarizes recurring and nonrecurring fair value measurements by level at December 31, 2021 (in thousands):

 

                   Benefit Plan 
   Fair               Percentage 
   Value   Level 1   Level 2   Level 3   Allocation 
Assets:                    
Derivative financial instruments  $15,839   $15,839   $
   $
      
                          
Long-lived assets held-for-sale   1,000    
    
    1,000      
Defined benefit plan assets(1)
(pooled separate accounts):
                         
Large U.S. Equity(2)   5,612    
    5,612    
    28%
Small/Mid U.S. Equity(3)   3,684    
    3,684    
    18%
International Equity(4)   2,909    
    2,909    
    15%
Fixed Income(5)   7,782    
    7,782    
    39%
   $36,826   $15,839   $19,987   $1,000      
                          
Liabilities:                         
                          
Derivative financial instruments  $13,582   $13,582   $
   $
      

 

(1)See Note 11 for accounting discussion.

 

(2)This category includes investments in funds comprised of equity securities of large U.S. companies. The funds are valued using the net asset value method in which an average of the market prices for the underlying investments is used to value the fund.

 

(3)This category includes investments in funds comprised of equity securities of small- and medium-sized U.S. companies. The funds are valued using the net asset value method in which an average of the market prices for the underlying investments is used to value the fund.

 

(4)This category includes investments in funds comprised of equity securities of foreign companies, including emerging markets. The funds are valued using the net asset value method in which an average of the market prices for the underlying investments is used to value the fund.

 

(5)This category includes investments in funds comprised of U.S. and foreign investment-grade fixed income securities, high-yield fixed income securities that are rated below investment-grade, U.S. treasury securities, mortgage-backed securities, and other asset-backed securities. The funds are valued using the net asset value method in which an average of the market prices for the underlying investments is used to value the fund.