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

Quarterly report pursuant to sections 13 or 15(d)

8. FAIR VALUE MEASUREMENTS (Tables)

8. FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2013

Assumptions used and related fair values for warrants

Significant assumptions used and related fair values for the warrants as of June 30, 2013 were as follows:

Original Issuance	Exercise Price		Volatility			Risk-Free Interest Rate			Term (years)		Discount for marketability restrictions			Warrants Outstanding		Fair Value
06/21/2013	$	7.80		60.3	%		0.36	%		1.74		30.5	%		1,051,200	$	689,300
03/28/2013	$	7.80		60.3	%		0.36	%		1.74		30.5	%		788,400		517,800
01/11/2013	$	7.41		65.0	%		1.41	%		4.54		46.5	%		1,708,700		2,286,200
09/26/2012	$	8.85		60.1	%		0.36	%		2.24		48.3	%		1,770,800		470,400
07/3/2012	$	7.12		64.0	%		1.04	%		4.01		44.8	%		1,812,400		2,315,600
07/3/2012	$	6.27		49.6	%		0.11	%		0.51		47.5	%		803,900		65,400
12/13/2011	$	10.28		60.4	%		1.04	%		3.46		40.0	%		305,700		372,700
																$	6,717,400

Significant assumptions used and related fair values for the warrants as of December 31, 2012 were as follows:

Original Issuance	Exercise Price		Volatility			Risk-Free Interest Rate			Term (years)		Discount for marketability restrictions			Warrants Outstanding		Fair Value
09/26/2012	$	8.85		70.2	%		0.36	%		2.74		53.9	%		1,833,000	$	1,112,000
07/3/2012	$	7.50		76.1	%		0.72	%		4.51		55.5	%		1,867,000		2,756,000
07/3/2012	$	6.45		69.3	%		0.16	%		1.01		55.5	%		930,000		509,000
12/13/2011	$	12.45		74.4	%		0.54	%		3.95		52.3	%		330,000		480,000
10/6/2010	$	1.80		76.0	%		0.72	%		4.80		46.4	%		17,000		35,000
																$	4,892,000

Assumptions used and related fair value for conversion feature

Instrument		Initial Conversion Price				Volatility				Risk-Free Interest Rate				Term (years)				Discount for marketability restrictions				Fair Value
Series A and B Notes		$	15.00				49.1	%			0.15	%			0.8				16.8	%		$	3,710,000

Summary of fair value measurements by level

The following table summarizes fair value measurements by level at June 30, 2013 (in thousands):

	Level 1		Level 2		Level 3		Total
Assets:
Commodity contracts⁽¹⁾	$	660	$	–	$	–	$	660
Total Assets	$	660	$	–	$	–	$	660

Liabilities:
Warrants⁽²⁾	$	–	$	–	$	6,717	$	6,717
Conversion feature⁽²⁾		–		–		3,710		3,710
Commodity contracts⁽³⁾		1,020		–		–		1,020
Total Liabilities	$	1,020	$	–	$	10,427	$	11,447

__________

(1) Included in other current assets in the consolidated balance sheets.

(2) Included in warrant liabilities and conversion features at fair value in the consolidated balance sheets.

(3) Included in accrued liabilities in the consolidated balance sheets.

The following table summarizes fair value measurements by level at December 31, 2012 (in thousands):

	Level 1		Level 2		Level 3		Total
Assets:
Commodity contracts⁽¹⁾	$	189	$	–	$	–	$	189
Total Assets	$	189	$	–	$	–	$	189

Liabilities:
Warrants	$	–	$	–	$	4,892	$	4,892
Commodity contracts⁽²⁾		167		–		–		167
Total Liabilities	$	167	$	–	$	4,892	$	5,059

__________

(1) Included in other current assets in the consolidated balance sheets.

(2) Included in accrued liabilities in the consolidated balance sheets.

Changes in fair value of Level 3 inputs

	Warrants			Conversion Features
Balance, December 31, 2012	$	4,892		$	–
Issuance of warrants in January offering		2,657			–
Issuance of notes and warrants on March 28, 2013		883			1,401
Issuance of notes and warrants on June 21, 2013		689			2,929
Conversions of notes		–			(1,234	)
Exercises of warrants		(260	)		–
Adjustments to fair value for the period		(2,144	)		614
Balance, June 30, 2013	$	6,717		$	3,710

- 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