FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2023

The following tables present assets and liabilities accounted for at fair value on a recurring basis as of June 30, 2023 and December 31, 2022 (in thousands):


	June 30, 2023
	Level 1		Level 2		Level 3		Total



Derivative instruments, liabilities
Commodity	$	3,357	$	—	$	—	$	3,357
Derivative warrants	—		—		13,855		13,855
Derivative instruments, liabilities	3,357		—		13,855		17,212
Total	$	(3,357)	$	—	$	(13,855)	$	(17,212)

	December 31, 2022
	Level 1		Level 2		Level 3		Total



Derivative instruments, liabilities
Commodity	$	242	$	—	$	—	$	242
Derivative warrants	—		—		14,270		14,270
Derivative instruments, 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	112.74	%	108.72	%
Risk free interest rate	4.31	%	4.13	%
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 June 30, 2023 and December 31, 2022 (in thousands):


Level Three Roll-Forward
	June 30, 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	(415)		(7,821)
Balance at end of period	$	13,855	$	14,270