Alto Ingredients, Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

9. Fair Value Measurements (Tables)

9. Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2016

Schedule of Significant Assumptions Used and Related Fair Values for Warrants

Significant assumptions used and related fair values for the warrants as of June 30, 2016 were as follows:

Original Issuance	Exercise Price		Volatility		Risk Free Interest Rate		Term (years)		Market Discount		Warrants Outstanding		Fair Value
07/3/2012	$	6.09		50.7%		0.45%		1.01		19.8%		211,000	$	194,000
12/13/2011	$	8.43		51.9%		0.36%		0.45		13.8%		138,000		63,000
													$	257,000

Significant assumptions used and related fair values for the warrants as of December 31, 2015 were as follows:

Original Issuance	Exercise Price		Volatility		Risk Free Interest Rate		Term (years)		Market Discount		Warrants Outstanding		Fair Value
07/3/2012	$	6.09		49.1%		0.86%		1.51		22.9%		211,000	$	200,000
12/13/2011	$	8.43		48.4%		0.65%		0.95		18.3%		138,000		73,000
													$	273,000

Summary of Recurring Fair Value Measurements by Level

The following table summarizes recurring fair value measurements by level at June 30, 2016 (in thousands):

	Fair
	Value			Level 1			Level 2		Level 3
Assets:
Derivative financial instruments (1)	$	13,299		$	13,299		$	–	$	–
	$	13,299		$	13,299		$	–	$	–

Liabilities:
Warrants (3)	$	(257	)	$	–		$	–	$	(257	)
Derivative financial instruments (4)		(12,166	)		(12,166	)		–		–
	$	(12,423	)	$	(12,166	)	$	–	$	(257	)

The following table summarizes recurring fair value measurements by level at December 31, 2015 (in thousands):

	Fair
	Value			Level 1			Level 2		Level 3
Assets:
Derivative financial instruments (1)	$	2,081		$	2,081		$	–	$	–
Defined benefit plan assets (2)
(pooled separate accounts):
Large U.S. Equity		3,662			–			3,662		–
Small/Mid U.S. Equity		1,099			–			1,099		–
International Equity		1,525			–			1,525		–
Fixed Income		6,281			–			6,281		–
	$	14,648		$	2,081		$	12,567	$	–
Liabilities:
Warrants (3)	$	(273	)	$	–		$	–	$	(273	)
Derivative financial instruments (4)		(1,848	)		(1,848	)		–		–
	$	(2,121	)	$	(1,848	)	$	–	$	(273	)

Schedule of Fair Value of Level 3 Inputs to Warrants

Balance, December 31, 2015	$	273
Adjustments to fair value for the period		(16	)
Balance, June 30, 2016	$	257

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details