| FAIR VALUE MEASUREMENTS |
17. FAIR
VALUE MEASUREMENTS.
The fair value hierarchy prioritizes the inputs
used in valuation techniques into three levels, as follows:
|
● |
Level 1 – Observable inputs – unadjusted quoted prices in active markets for identical assets
and liabilities; |
|
● |
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for
the asset or liability through corroboration with market data; and |
|
● |
Level 3 – Unobservable inputs – includes amounts derived from valuation models where one or
more significant inputs are unobservable. For fair value measurements using significant unobservable inputs, a description of the inputs
and the information used to develop the inputs is required along with a reconciliation of Level 3 values from the prior reporting period. |
Pooled separate accounts –
Pooled separate accounts invest primarily in domestic and international stocks, commercial paper or single mutual funds. The net asset
value is used as a practical expedient to determine fair value for these accounts. Each pooled separate account provides for redemptions
by the Retirement Plan at reported net asset values per share, with little to no advance notice requirement, therefore these funds are
classified within Level 2 of the valuation hierarchy.
Long-Lived Assets Held-for-Sale
– The Company recorded its long-lived assets associated with its property and equipment held-for-sale at fair value at December
31, 2022 and 2021 of $0 and $1,000,000, respectively. The fair values of these assets are based on observable values for the assets through
corroboration with market data and are designated as Level 3 inputs.
Warrants issued in Equity Offering
– The Company issued pre-funded warrants and other warrants with exercise prices of $0.001 and $9.757, respectively. The Company
valued these warrants upon issuance using the Binomial valuation methodology. On November 16, 2020, the pre-funded warrants were exercised,
and as a result, were revalued immediately prior to their exercise. Further, the other warrants were amended on November 24, 2020, resulting
in equity accounting, and accordingly were revalued immediately prior to their amendment. The assumptions used were as follows (fair value
dollars in thousands):
| Warrant Type |
|
Valuation
Date |
|
Exercise
Price |
|
|
Volatility |
|
|
Risk Free
Interest
Rate |
|
|
Term
(years) |
|
|
Fair Value |
|
| Pre-funded |
|
10/28/2020 |
|
$ |
0.01 |
|
|
|
97.0 |
% |
|
|
0.34 |
% |
|
|
5.00 |
|
|
$ |
23,638 |
|
| Other |
|
10/28/2020 |
|
$ |
9.76 |
|
|
|
134.0 |
% |
|
|
0.14 |
% |
|
|
1.50 |
|
|
$ |
27,048 |
|
| Pre-funded |
|
11/16/2020 |
|
$ |
0.01 |
|
|
|
97.0 |
% |
|
|
0.40 |
% |
|
|
4.95 |
|
|
$ |
21,916 |
|
| Other |
|
11/24/2020 |
|
$ |
9.76 |
|
|
|
135.0 |
% |
|
|
0.13 |
% |
|
|
1.45 |
|
|
$ |
31,231 |
|
The fair values of the warrants are based on unobservable
inputs and are designated as Level 3 inputs. The changes in the Company’s fair value of its Level 3 inputs with respect to its warrants
were as follows (in thousands):
| |
|
Warrants to
Senior
Note
holders |
|
|
Pre-funded
Warrants |
|
|
Other
Warrants |
|
| Balance, December 31, 2019 |
|
$ |
977 |
|
|
$ |
— |
|
|
$ |
— |
|
| Issuance of warrants in October 2020 offering |
|
|
— |
|
|
|
23,638 |
|
|
|
27,048 |
|
| Exercise of warrants/reclass to equity in 2020 |
|
|
(8,474 |
) |
|
|
(21,917 |
) |
|
|
(31,231 |
) |
| Adjustments to fair value for 2020 |
|
|
7,497 |
|
|
|
(1,721 |
) |
|
|
4,183 |
|
| Balance, December 31, 2021 and 2022 |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Other Derivative Instruments –
The Company’s other derivative instruments consist of commodity positions. The fair values of the commodity positions are based
on quoted prices on the commodity exchanges and are designated as Level 1 inputs.
The following table summarizes recurring and nonrecurring
fair value measurements by level at December 31, 2022 (in thousands):
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Benefit Plan |
|
| |
|
Fair |
|
|
|
|
|
|
|
|
|
|
|
Percentage |
|
| |
|
Value |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Allocation |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative financial instruments |
|
$ |
4,973 |
|
|
$ |
4,973 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Defined benefit plan assets(1)
(pooled separate accounts): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Large U.S. Equity(2) |
|
|
4,586 |
|
|
|
— |
|
|
|
4,586 |
|
|
|
— |
|
|
|
28 |
% |
| Small/Mid U.S. Equity(3) |
|
|
2,986 |
|
|
|
— |
|
|
|
2,986 |
|
|
|
— |
|
|
|
18 |
% |
| International Equity(4) |
|
|
2,406 |
|
|
|
— |
|
|
|
2,406 |
|
|
|
— |
|
|
|
14 |
% |
| Fixed Income(5) |
|
|
6,710 |
|
|
|
— |
|
|
|
6,710 |
|
|
|
— |
|
|
|
40 |
% |
| |
|
$ |
21,661 |
|
|
$ |
4,973 |
|
|
$ |
16,688 |
|
|
$ |
— |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative financial instruments |
|
$ |
6,732 |
|
|
$ |
6,732 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
The following table summarizes recurring and nonrecurring
fair value measurements by level at December 31, 2021 (in thousands):
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Benefit Plan |
|
| |
|
Fair |
|
|
|
|
|
|
|
|
|
|
|
Percentage |
|
| |
|
Value |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Allocation |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative financial instruments |
|
$ |
15,839 |
|
|
$ |
15,839 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long-lived assets held-for-sale |
|
|
1,000 |
|
|
|
— |
|
|
|
— |
|
|
|
1,000 |
|
|
|
|
|
Defined benefit plan assets(1)
(pooled separate accounts): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Large U.S. Equity(2) |
|
|
5,612 |
|
|
|
— |
|
|
|
5,612 |
|
|
|
— |
|
|
|
28 |
% |
| Small/Mid U.S. Equity(3) |
|
|
3,684 |
|
|
|
— |
|
|
|
3,684 |
|
|
|
— |
|
|
|
18 |
% |
| International Equity(4) |
|
|
2,909 |
|
|
|
— |
|
|
|
2,909 |
|
|
|
— |
|
|
|
15 |
% |
| Fixed Income(5) |
|
|
7,782 |
|
|
|
— |
|
|
|
7,782 |
|
|
|
— |
|
|
|
39 |
% |
| |
|
$ |
36,826 |
|
|
$ |
15,839 |
|
|
$ |
19,987 |
|
|
$ |
1,000 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative financial instruments |
|
$ |
13,582 |
|
|
$ |
13,582 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
| (1) |
See Note 11 for accounting discussion. |
| (2) |
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. |
| (3) |
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. |
| (4) |
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. |
| (5) |
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. |
|