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

Quarterly report pursuant to sections 13 or 15(d)

9. FAIR VALUE MEASUREMENTS (Tables)

9. FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2013

Assumptions used and related fair values for warrants

Significant assumptions used and related fair values for the warrants as of September 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	$	7.70		58.7%		0.22%		1.49		27.7%		1,051,200	$	494,600
03/28/2013	$	7.70		58.7%		0.22%		1.49		27.7%		788,400		370,300
01/11/2013	$	6.60		64.7%		1.01%		4.28		46.5%		1,708,700		1,940,500
09/26/2012	$	8.85		61.6%		0.33%		1.99		46.5%		1,770,800		315,000
07/3/2012	$	6.36		63.7%		1.01%		3.76		43.5%		1,812,400		2,018,100
07/3/2012	$	5.68		48.2%		0.02%		0.26		42.8%		803,900		34,700
12/13/2011	$	8.92		61.0%		0.63%		3.21		39.9%		305,700		318,000
													$	5,491,200

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

Significant assumptions used and related fair value for the conversion feature as of September 30, 2013 were as follows:

Instrument

Initial

Conversion

Price

Volatility

Risk-Free

Interest

Rate

Term

(years)

Discount for marketability restrictions

Fair Value

Series B Notes

15.00

50.7%

0.04%

0.50

14.2%

1,139,100

Summary of fair value measurements by level

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

	Level 1		Level 2		Level 3		Total
Assets:
Commodity contracts⁽¹⁾	$	128	$	–	$	–	$	128
Total Assets	$	128	$	–	$	–	$	128

Liabilities:
Warrants⁽²⁾	$	–	$	–	$	5,491	$	5,491
Conversion feature⁽²⁾		–		–		1,139		1,139
Commodity contracts⁽³⁾		44		–		–		44
Total Liabilities	$	44	$	–	$	6,630	$	6,674

__________

(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⁽²⁾	$	–	$	–	$	4,892	$	4,892
Commodity contracts⁽³⁾		167		–		–		167
Total Liabilities	$	167	$	–	$	4,892	$	5,059

__________

(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.

Changes in fair value of Level 3 inputs

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

	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		1,572			1,401
Issuance of notes on June 21, 2013		–			2,929
Conversions of notes		–			(4,269	)
Exercises of warrants		(260	)		–
Adjustments to fair value		(3,370	)		1,078
Balance, September 30, 2013	$	5,491		$	1,139

- 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