FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping

The following tables present assets and liabilities accounted for at fair value on a recurring basis as of September 30, 2022 and December 31, 2021 (in thousands):

	As of September 30, 2022
	Level 1		Level 2		Level 3		Total
Derivative instruments, assets
Commodity	$	1,219	$	—	$	—	$	1,219
Derivative instruments, assets	1,219		—		—		1,219
Derivative instruments, liabilities
Derivative warrants	—		—		14,303		14,303
Derivative warrants, liabilities	—		—		14,303		14,303
Total	$	1,219	$	—	$	(14,303)	$	(13,084)
	As of December 31, 2021
	Level 1		Level 2		Level 3		Total
Derivative instruments, assets
Commodity	$	96	$	—	$	—	$	96
Derivative instruments, assets	96		—		—		96
Derivative instruments, liabilities
Derivative warrants	—		—		75,211		75,211
Derivative warrants, liabilities	—		—		75,211		75,211
Total	$	96	$	—	$	(75,211)	$	(75,115)

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The Dynamic Black-Scholes Merton unobservable inputs used were as follows:

Dynamic Black-Scholes Merton Unobservable Inputs
	Initial Warrants		Additional Warrants
Expected dividend rate	—	%	—	%
Expected volatility	104.52	%	101	%
Risk free interest rate	4.06	%	4.06	%
Expected term	5		5.5

The following is an analysis of changes in the derivative liability classified as level 3 in the fair value hierarchy for the nine months ended September 30, 2022 (in thousands):

Level Three Roll-Forward
	2022
Balance at beginning of period	$	75,211
April 1 warrants granted	22,795
May 26 warrants granted	2,874
Equity component of the convertible senior not	(78,789)
Change in valuation of warrants included in net income	(7,788)
Balance at end of period	$	14,303