FAIR VALUE MEASUREMENTS

6 Months Ended

Jun. 30, 2024

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS

The following tables present assets and liabilities accounted for at fair value on a recurring basis as of June 30, 2024 and December 31, 2023 (in thousands):

	As of June 30, 2024
	Level 1		Level 2		Level 3		Total
Assets at fair value
Environmental credits	$	—	$	1,137	$	—	$	1,137
Total assets at fair value	—		1,137		—		1,137
Liabilities at fair value
Commodity derivative	—		(443)		—		(443)
RINS and environmental credits	—		(53,891)		—		(53,891)
Derivative warrants	—		—		(1,961)		(1,961)
Total liabilities at fair value	—		(54,334)		(1,961)		(56,295)
Total	$	—	$	(53,197)	$	(1,961)	$	(55,158)
	As of December 31, 2023
	Level 1		Level 2		Level 3		Total
Assets at fair value
Commodity derivative	$	—	$	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)

Level 3 instruments include the Initial Warrants and Additional Warrants granted in connection with the Loan and Security Agreement, see Note 15 "Financing Agreements". We revalued the 4,334 thousand warrants granted and outstanding at June 30, 2024 using the Dynamic Black-Scholes model that computes the impact of a possible change in control transaction upon the exercise of the warrant shares. The Dynamic Black-Scholes Merton unobservable inputs used were as follows:

Dynamic Black-Scholes Merton Unobservable Inputs
	April 2022 Warrants		May 2022 Warrants		December 2023 Warrants		June 2024 Warrants
Expected dividend rate	—	%	—	%	—	%	—	%
Expected volatility	95.77	%	116.68	%	113.39	%	109.67	%
Risk free interest rate	4.52	%	4.52	%	4.33	%	4.33	%
Expected term	2.76		3.41		4.50		5.00

The following is an analysis of changes in the derivative liability classified as level 3 in the fair value hierarchy as of June 30, 2024 and December 31, 2023 (in thousands):

Level Three Roll-Forward
	As of June 30, 2024		As of December 31, 2023
Balance at beginning of period	$	9,907	$	14,270
New warrants granted	392		2,905
Repricing warrants granted	—		724
Change in valuation of warrants included in net income	(8,338)		(7,992)
Balance at end of period	$	1,961	$	9,907

See Note 20 "Commodity Derivative Instruments", below for information on the impact on results of operations of our commodity derivative instruments.