FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2024

Schedule of 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, 2024 and December 31, 2023 (in thousands):


	As of March 31, 2024
	Level 1		Level 2		Level 3		Total
Assets at fair value

Environmental credits	$	—	$	603	$	—	$	603
Total assets at fair value	—		603		—		603
Liabilities at fair value
Commodity	—		(435)		—		(435)
RINS and environmental credits	—		(44,706)		—		(44,706)
Derivative warrants	—		—		(3,249)		(3,249)
Total liabilities at fair value	—		(45,141)		(3,249)		(48,390)
Total	$	—	$	(44,538)	$	(3,249)	$	(47,787)

	As of December 31, 2023
	Level 1		Level 2		Level 3		Total
Assets at fair value
Commodity	$	—	$	11	$	—	$	11
Total assets at fair value	—		11		—		11
Liabilities at fair value
RINS and environmental credits	—		(46,684)		—		(46,684)
Derivative warrants	—		—		(9,907)		(9,907)
Total liabilities at fair value	—		(46,684)		(9,907)		(56,591)
Total	$	—	$	(46,673)	$	(9,907)	$	(56,580)

Schedule of 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		New Warrants
Expected dividend rate	—	%	—	%	—	%
Expected volatility	113.23	%	115.74	%	109.89	%
Risk free interest rate	4.40	%	4.31	%	4.21	%
Expected term	3.01		3.67		4.76

The following is an analysis of changes in the derivative liability classified as level 3 in the fair value hierarchy as of March 31, 2024 and December 31, 2023 (in thousands):


Level Three Roll-Forward
	March 31, 2024		December 31, 2023
Balance at beginning of period	$	9,907	$	14,270
New warrants granted	—		2,905

Repricing warrants granted	—		724

Change in valuation of warrants included in net income	(6,658)		(7,992)
Balance at end of period	$	3,249	$	9,907