Alto Ingredients, Inc. Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS. (Tables)

FAIR VALUE MEASUREMENTS. (Tables)

12 Months Ended

Dec. 31, 2017

											Benefit Plan
	Fair										Percentage
	Value			Level 1			Level 2		Level 3		Allocation
Assets:
Derivative financial instruments(1)	$	998		$	998		$	—	$	—
Defined benefit plan assets(2) (pooled separate accounts):
Large U.S. Equity(3)		3,748			—			3,748		—		27	%
Small/Mid U.S. Equity(4)		2,018			—			2,018		—		14	%
International Equity(5)		2,528			—			2,528		—		18	%
Fixed Income(6)		5,664			—			5,664		—		41	%
	$	14,956		$	998		$	13,958	$	—
Liabilities:
Derivative financial instruments(7)	$	(2,307	)	$	(2,307	)	$	—	$	—

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 financial instruments(1)	$	978		$	978		$	—	$	—
Defined benefit plan assets(2) (pooled separate accounts):
Large U.S. Equity(3)		3,134			—			3,134		—			25	%
Small/Mid U.S. Equity(4)		1,802			—			1,802		—			15	%
International Equity(5)		2,006			—			2,006		—			16	%
Fixed Income(6)		5,481			—			5,481		—			44	%
	$	13,401		$	978		$	12,423	$	—
Liabilities:
Warrants(8)	$	(651	)	$	—		$	—	$	(651	)
Derivative financial instruments(7)		(4,115	)		(4,115	)		—		—
	$	(4,766	)	$	(4,115	)	$	—	$	(651	)

(1)

Included in derivative assets in the consolidated balance sheets.

(2)

See Note 9 for accounting discussion.

(3)

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.

(4)

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.

(5)

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.

(6)

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.

(7)

Included in derivative liabilities in the consolidated balance sheets.

(8)

Included in warrant liabilities at fair value in the consolidated balance sheets.

Schedule of significant assumptions

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

Schedule of level 3 fair value schedule

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

	Warrants
Balance, December 31, 2014	$	1,986
Exercises of warrants		(72	)
Expiration of warrants		(527	)
Adjustments to fair value for the period		(1,114	)
Balance, December 31, 2015	$	273
Exercises of warrants		(179	)
Adjustments to fair value for the period		557
Balance, December 31, 2016	$	651
Exercises of warrants		(178	)
Adjustments to fair value for the period		(473	)
Balance, December 31, 2017	$	—