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Note 12 - Fair Value Measurements

6 Months Ended

Jun. 30, 2022

Notes to Financial Statements

Fair Value Disclosures [Text Block]

NOTE 12. FAIR VALUE MEASUREMENTS

The fair value of cash and cash equivalents, accounts and other receivables, accounts payable and commodities payable approximates their carrying value due to shorter maturities. As of June 30, 2022, the fair values of our operating lease liabilities were approximately $0.4 million higher than their carrying values, based on current market rates for similar debt and leases with similar maturities (Level 3 measurements). As of June 30, 2022, the fair values of our debt and finance 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 June 30, 2022 - Derivative warrant liability		$	-			$	-			$	846			$	846
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 and six months ended June 30, 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
Three months ended June 30, 2022
Total Level 3 fair value - Derivative warrant liability		$	429			$	(417	)		$	-			$	-			$	846			$	(417	)
Six months ended June 30, 2022:
Total Level 3 fair value - Derivative warrant liability		$	258			$	(588	)		$	-			$	-			$	846			$	(588	)

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 June 30, 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.

		June 30, 2022				December 31, 2021
Assumed volatility			82.9	%			69.5	%
Assumed risk free interest rate			2.8	%			0.8	%
Expected life of options (in years)			4.2				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 June 30, 2022, a $0.10 increase in our stock price would have resulted in an approximate $0.2 million increase in the Black Scholes fair value of Warrant A.

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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