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

Quarterly report pursuant to Section 13 or 15(d)

8. Fair Value Measurements (Tables)

8. Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2017

Schedule of Significant Assumptions Used and Related Fair Values for Warrants

Significant assumptions used and related fair values for the warrants as of March 31, 2017 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	38.2%	0.76%	0.26	7.6%	211,000	$196,000

Significant assumptions used and related fair values for the warrants as of December 31, 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	40.9%	0.62%	0.50	11.3%	211,000	$651,000

Summary of Recurring Fair Value Measurements by Level

The following table summarizes recurring fair value measurements by level at March 31, 2017 (in thousands):

	Fair
	Value			Level 1			Level 2		Level 3
Assets:
Derivative instruments	$	594		$	594		$	–	$	–
	$	594		$	594		$	–	$	–

Liabilities:
Warrants	$	(196	)	$	–		$	–	$	(196	)
Derivative instruments		(1,171	)		(1,171	)		–		–
	$	(1,367	)	$	(1,171	)	$	–	$	(196	)

The following table summarizes recurring fair value measurements by level at December 31, 2016 (in thousands):

												Benefit Plan
	Fair											Percentage
	Value			Level 1			Level 2		Level 3			Allocation
Assets:
Derivative instruments	$	978		$	978		$	–	$	–
Defined benefit plan assets
(pooled separate accounts):
Large U.S. Equity(1)		3,134			–			3,134		–			25%
Small/Mid U.S. Equity(2)		1,802			–			1,802		–			15%
International Equity(3)		2,006			–			2,006		–			16%
Fixed Income(4)		5,481			–			5,481		–			44%
	$	13,401		$	978		$	12,423	$	–
Liabilities:
Warrants	$	(651	)	$	–		$	–	$	(651	)
Derivative instruments		(4,115	)		(4,115	)		–		–
	$	(4,766	)	$	(4,115	)	$	–	$	(651	)

__________

(1)	This category includes investments in funds comprised of equity securities of large U.S. companies. The funds are valued using the net asset value method in which an average of the market prices for the underlying investments is used to value the fund.

(2)	This category includes investments in funds comprised of equity securities of small- and medium-sized U.S. companies. The funds are valued using the net asset value method in which an average of the market prices for the underlying investments is used to value the fund.

(3)	This category includes investments in funds comprised of equity securities of foreign companies including emerging markets. The funds are valued using the net asset value method in which an average of the market prices for the underlying investments is used to value the fund.

(4)

This category includes investments in funds comprised of U.S. and foreign investment-grade fixed income securities, high-yield fixed income securities that are rated below investment-grade, U.S. treasury securities, mortgage-backed securities, and other asset-backed securities. The funds are valued using the net asset value method in which an average of the market prices for the underlying investments is used to value the fund.

Schedule of Fair Value of Level 3 Inputs to Warrants

The changes in the Company’s fair value of its Level 3 inputs with respect to its warrants were as follows (in thousands):

Balance, December 31, 2016	$	651
Adjustments to fair value for the period		(455	)
Balance, March 31, 2017	$	196

- 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