Note 13 - Fair Value Measurements

3 Months Ended

Mar. 31, 2022

Notes to Financial Statements

Fair Value Disclosures [Text Block]

NOTE 13. FAIR VALUE MEASUREMENTS

The fair value of cash and cash equivalents, restricted cash, accounts and other receivables, accounts payable and commodities approximates their carrying value due to shorter maturities. As of March 31, 2022, the fair values of our debt and finance lease liabilities and operating lease liabilities approximated their carrying values, based on current market rates for similar debt and leases with similar maturities (Level 3 measurements).

The following tables summarize the fair values by input hierarchy of items measured at fair value on a recurring basis on our consolidated balance sheets (in thousands):

	Level 1		Level 2		Level 3		Total
Total liabilities at fair value as of March 31, 2022 - Derivative warrant liability	$	-	$	-	$	429	$	429
Total liabilities at fair value as of December 31, 2021 - Derivative warrant liability	$	-	$	-	$	258	$	258

The following tables summarize the changes in level 3 items measured at fair value on a recurring basis for the three months ended March 31, 2022 (in thousands):

	Fair Value as of Beginning of Period		Total Realized and Unrealized Gains (Losses)			Issuance of New Instruments		Net Transfers (Into) Out of Level 3		Fair Value, at End of Period		Change in Unrealized Gains (Losses) on Instruments Still Held
Total Level 3 fair value - Derivative warrant liability	$	258	$	(171	)	$	-	$	-	$	429	$	(171	)

The derivative warrant liability relates to a warrant issued in September 2021 for the purchase of up to 2,307,693 shares of common stock (Warrant A), The initial $1.00 per share exercise price of Warrant A is subject to adjustment in September 2022, and again in September 2023, if 110% of the 5-day volume weighted average price of our common stock is less than the then-current exercise price. Warrant A is carried in our consolidated balance sheets as derivative warrant liability because the holder may elect cash settlement of this warrant in the event of a change of control. We estimated the fair value of Warrant A as of March 31, 2022 and December 31, 2021, using the Black-Scholes value of a warrant with an exercise price of $1.00 per share. The changes in the estimated fair value of Warrant A are included in other income (loss) in our consolidated statements of operations. The assumptions used in valuing Warrant follows.

	March 31, 2022			December 31, 2021
Assumed volatility		75.1	%		69.5	%
Assumed risk free interest rate		1.7	%		0.8	%
Expected life of options (in years)		4.5			4.8
Expected dividends		-			-

The fair value of Warrant A approximates the cash settlement the holder could elect to be paid in the event of a change in control. At March 31, 2022, a $0.10 increase in our stock price would have resulted in an approximate $151 thousand increase in the Black Scholes fair value of Warrant A.