Note 13 - Fair Value Measurements

9 Months Ended

Sep. 30, 2021

Notes to Financial Statements

Fair Value Disclosures [Text Block]

13. Fair Value Measurements

Accounting standards define fair value, outline a framework for measuring fair value, and detail the required disclosures about fair value measurements. Under these standards, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date in the principal or most advantageous market. Standards establish a hierarchy in determining the fair market value of an asset or liability. The fair value hierarchy has three levels of inputs, both observable and unobservable. Standards require the utilization of the highest possible level of input to determine fair value.

Level 1 – inputs include quoted market prices in an active market for identical assets or liabilities.

Level 2 – inputs are market data, other than Level 1, that are observable either directly or indirectly. Level 2 inputs include quoted market prices for similar assets or liabilities, quoted market prices in an inactive market, and other observable information that can be corroborated by market data.

Level 3 – inputs are unobservable and corroborated by little or no market data.

The carrying value and fair value, by fair value hierarchy, of the Company's financial instruments at September 30, 2021 and December 31, 2020, respectively, are as follows (in thousands):

				Fair Value Measurements at September 30, 2021 (In thousands)
	Fair Value at September 30, 2021			Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Recurring
Marketable securities
U.S. Treasury notes	$	266,892		$	266,892		$	—	$	—
U.S. Government-sponsored enterprise securities		119,347			119,347			—		—
Other
Liability-classified restricted stock awards		(904	)		(904	)		—		—
Derivative warrant liability		(35	)		—			—		(35	)
Total	$	385,300		$	385,335		$	—	$	(35	)
Nonrecurring
Corn and palladium	$	504		$	504		$	—	$	—

 

			Fair Value Measurements at December 31, 2020 (In thousands)
	Fair Value at December 31, 2020		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Recurring
Derivative Warrant Liability	$	31	$	—	$	—	$	31
Nonrecurring
Corn and palladium and finished goods inventory	$	866	$	235	$	631	$	—

The following table provides changes to those fair value measurements using Level 3 inputs for the nine months ended September 30, 2021 (in thousands):

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Derivative Warrant Liability
Balance, December 31, 2020	$	31
Total loss included in earnings		4
Balance, September 30, 2021	$	35

There were no transfers to or from Level 3 in the nine months ended September 30, 2021.

The Company's investment in marketable securities and liability-classified restricted stock awards are recorded at fair value based on quoted market prices. The Company believes that the carrying value of its cash and cash equivalents, restricted cash, accounts receivable, accounts payable and accrued liabilities and loans payable - other approximate fair value due to their short maturities.

During the nine months ended September 30, 2021, the Company recorded the following realized (loss) from the sale of available-for-sale marketable securities:

Sales proceeds	$	34,332
Amortized cost		(34,365	)
Realized (loss)	$	(34	)

For the 2021 Bonds, the fair values are estimated using the Black-Derman-Toy interest rate lattice framework. The carrying values and estimated fair values of the 2021 bonds as of September 30, 2021 are summarized as follows:

	September 30, 2021
	Carrying Value		Estimated Fair Value
2021 Bonds	$	68,155	$	69,075

Inventories. The Company records its corn and palladium inventory at fair value only when the Company’s cost of corn and palladium purchased exceeds the market value for corn and palladium. The Company determines the market value of corn and palladium based upon Level 1 inputs using quoted market prices.

Derivative Warrant Liability. The Company valued the Series K Warrants using a Monte-Carlo model (Level 3) and other warrants using Black-Scholes models comprised of some inputs requiring the use of Monte-Carlo models (Level 3). 

The Company has not elected the fair value option for any of its instruments.

The Company's investments in marketable securities are stated at fair value and are available-for-sale. The Company had no investments in marketable securities at December 31, 2020. The following table summarizes the Company's investments in marketable securities (in thousands):

		Available-for-Sale Securities at September 30, 2021
	Maturity	Amortized Cost Basis		Gross Unrealized Losses			Fair Value
Short-term marketable securities
U.S. Treasury notes	Within one year	$	233,552	$	(178	)	$	233,374
U.S. Government-sponsored enterprise securities	Within one year		51,911		(49	)		51,862
Total		$	285,463	$	(227	)	$	285,236
Long-term marketable securities
U.S Treasury notes	Within two years	$	33,532	$	(15	)	$	33,517
U.S. Government-sponsored enterprise securities	Within two years		67,540		(54	)		67,486
Total		$	101,072	$	(69	)	$	101,003