Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.22.2.2
Derivative Instruments (Tables)
9 Months Ended
Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Assumptions to Estimate the Fair Value
The Company used the following assumptions to estimate the fair value of the Private Placement Warrants:
September 30, 2022 December 31, 2021
Stock price
$ 18.01 $ 18.28
Exercise price
$ 11.50 $ 11.50
Volatility
51.0  % 46.0  %
Expected term (in years)
4.0 4.7
Risk-free interest rate
4.1  % 1.2  %
Schedule of Fair Value of Warrant Liabilities
The change in the fair value of the warrant liabilities is recognized in gain (loss) on warrants and derivative contracts in the consolidated statement of operations. The changes in the warrant liabilities for the nine months ended September 30, 2022 are as follows:
(in thousands)

Warrant liabilities as of December 31, 2021
$ 67,290 
Change in fair value
(2,306)
Less fair value of warrants exercised (11,836)
Warrant liabilities as of September 30, 2022
$ 53,148 
Schedule of Balance Sheet Effect of Fair Value
The following summarizes the balance sheet classification and fair value of the Company’s derivative instruments as of September 30, 2022 and December 31, 2021:
(in thousands)
September 30, 2022 December 31, 2021
Prepaid expenses and other current assets
Natural gas swap asset $ 274  $ — 
Interest rate swap asset 852  — 
Other non-current assets
Interest rate swap asset 736  439 
Total derivative assets $ 1,862  $ 439 
Accrued and other current liabilities
Natural gas swap liability $ 34  $ 44 
Interest rate swap liability 368  727 
Derivative liabilities
Natural gas swap liability
—  134 
Interest rate swap liability 201  — 
Warrant liabilities
53,148  67,290 
Total derivative liabilities $ 53,751  $ 68,195 
Schedule of Income Statement Effect of Gains (Losses) Related to Derivative Instruments
The following table summarizes the income statement effect of gains and losses related to warrants and derivative instruments for the three and nine months ended September 30, 2022 and 2021:
Three Months Ended September 30, Nine Months Ended September 30,
(in thousands)
2022 2021 2022 2021
Gain (loss) on natural gas swap contract
$ 287  $ 64  $ 857  $ 64 
Gain (loss) on interest rate swap contract 2,806  —  7,412  — 
Gain (loss) on warrant liabilities
(10,698) (10,477) 2,306  (10,477)
Total
$ (7,605) $ (10,413) $ 10,575  $ (10,413)