FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2023

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 March 31, 2023 and December 31, 2022 (in thousands):

	As of March 31, 2023
	Level 1		Level 2		Level 3		Total
Derivative instruments, assets
Commodity	$	14	$	—	$	—	$	14
Derivative instruments, assets	14		—		—		14
Derivative instruments, liabilities
Derivative warrants	—		—		23,455		23,455
Derivative warrants, liabilities	—		—		23,455		23,455
Total	$	14	$	—	$	(23,455)	$	(23,441)
	As of December 31, 2022
	Level 1		Level 2		Level 3		Total
Derivative instruments, assets
Commodity	$	—	$	—	$	—	$	—
Derivative instruments, assets	—		—		—		—
Derivative instruments, liabilities
Commodity	242		—		—		242
Derivative warrants	—		—		14,270		14,270
Derivative warrants, liabilities	242		—		14,270		14,512
Total	$	(242)	$	—	$	(14,270)	$	(14,512)

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	112.01	%	108.72	%
Risk free interest rate	3.71	%	3.60	%
Expected term	4.0		4.5

The following is an analysis of changes in the derivative liability classified as level 3 in the fair value hierarchy as of March 31, 2023 and December 31, 2022 (in thousands):

Level Three Roll-Forward
	March 31, 2023		December 31, 2022
Balance at beginning of period	$	14,270	$	75,211
Warrants granted	—		25,669
Equity component of the convertible senior note	—		(78,789)
Change in valuation of warrants included in net income	9,185		(7,821)
Balance at end of period	$	23,455	$	14,270