General form of registration statement for all companies including face-amount certificate companies

8. FAIR VALUE MEASUREMENTS (Tables)

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8. FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended 12 Months Ended
Mar. 31, 2013
Dec. 31, 2012
Fair Value Measurements Tables    
Assumptions used and related fair values for warrants

Significant assumptions used and related fair values for the warrants as of March 31, 2013 were as follows:

 

Original Issuance   Exercise Price     Volatility     Risk-Free Interest Rate     Term (years)     Discount for Marketability restrictions     Warrants Outstanding     Fair Value  
03/28/2013   $ 7.80       71.1%       0.24%       2.00       38.2%       788,000     $ 882,000  
01/11/2013   $ 7.80       72.5%       0.77%       4.79       54.4%       1,709,000       2,728,000  
09/26/2012   $ 8.85       84.2%       0.31%       2.49       75.9%       1,771,000       776,000  
07/3/2012   $ 7.50       71.1%       0.57%       4.26       51.8%       1,812,000       2,880,000  
07/3/2012   $ 6.45       63.7%       0.14%       0.76       57.6%       804,000       335,000  
12/13/2011   $ 11.25       68.1%       0.57%       3.71       47.1%       306,000       478,000  
                                                    $ 8,079,000  

 

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  

 

 

Original Issuance   Exercise Price     Volatility     Risk Free Interest Rate     Term (years)     Market Discount     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  

 

 

Significant assumptions used and related fair values for the warrants as of December 31, 2011 were as follows:

 

Original Issuance   Exercise Price     Volatility     Risk Free Interest Rate     Term (years)     Market Discount     Warrants Outstanding     Fair Value  
12/13/2011   $ 22.50       68.0%       0.83%       4.96       52.0%       330,000     $ 1,695,000  
10/6/2010   $ 6.75       68.0%       1.09%       5.90       47.4%       34,000       226,000  
                                                    $ 1,921,000  

 
Assumptions used and related fair value for conversion feature

 

Original Issuance   Conversion Price     Volatility     Risk-Free Interest Rate     Term (years)     Market Discount     Fair Value  
3/28/13   $ 15.00       62.2%       0.14%       1.0       24.5%     $ 1,400,800  

 
Summary of fair value measurements by level

The following table summarizes fair value measurements by level at March 31, 2013 (in thousands):

 

    Level 1     Level 2     Level 3     Total  
Assets:                                
Commodity contracts(1)   $ 205     $ –     $ –     $ 205  
Total Assets   $ 205     $ –     $ –     $ 205  
                                 
Liabilities:                                
Warrants(2)   $ –     $ –     $ 8,079     $ 8,079  
Conversion feature(2)     –       –       1,401       1,401  
Commodity contracts(3)     115       –       –       115  
Total Liabilities   $ 115     $ –     $ 9,480     $ 9,595  

 

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

(2) Included in warrant liabilities and conversion feature 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.

    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 other current liabilities in the consolidated balance sheets.

  

The following table summarizes fair value measurements by level at December 31, 2011 (in thousands):

 

    Level 1     Level 2     Level 3     Total  
Assets:                                
Commodity contracts(1)   $ 244     $ –     $ –     $ 244  
Total Assets   $ 244     $ –     $ –     $ 244  
                                 
Liabilities:                                
Warrants   $ –     $ –     $ 1,921     $ 1,921  
Commodity contracts(2)     500       –       –       500  
Total Liabilities   $ 500     $ –     $ 1,921     $ 2,421  

 

 

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

(2) Included in other liabilities in the consolidated balance sheets.
Changes in fair value of Level 3 inputs

 

    Warrants     Conversion Feature  
Balance, December 31, 2012   $ 4,892     $ –  
Issuance of warrants in January offering     2,657       –  
Issuance of notes and warrants in March offering     883       1,401  
Exercises of warrants     (260 )     –  
Adjustments to fair value for the period     (93 )     –  
Balance, March 31, 2013   $ 8,079     $ 1,401  

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

 

    Warrants     Convertible Notes  
                 
Balance, December 31, 2010   $ 5,718     $ 38,108  
Retirement of Convertible Notes     –       (35,000 )
Issuance of 2011 Warrants     1,809       –  
Exercises of Warrants     (1,155 )     –  
Adjustments to fair value for the period     (4,451 )     (3,108 )
Balance, December 31, 2011   $ 1,921     $ –  
Issuance of July Offering Warrants   $ 3,380     $ –  
Issuance of September Offering Warrants     1,658       –  
Exercises of Warrants     (113 )     –  
Adjustments to fair value for the period     (1,954 )     –  
Balance, December 31, 2012   $ 4,892     $ –