Quarterly report pursuant to sections 13 or 15(d)

8. FAIR VALUE MEASUREMENTS (Tables)

v2.4.0.8
8. FAIR VALUE MEASUREMENTS (Tables)
3 Months Ended
Mar. 31, 2014
Fair Value Disclosures [Abstract]  
Assumptions used and related fair value for conversion feature

Significant assumptions used and related fair values for the Company’s warrants as of March 31, 2014 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   $ 7.59       56.4%       0.13%       1.00       22.1%       788,000     $ 5,098,000  
06/21/2013   $ 7.59       55.4%       0.13%       1.24       24.2%       1,051,000       6,703,000  
01/11/2013   $ 6.32       60.6%       1.32%       3.79       41.0%       813,000       5,343,000  
09/26/2012   $ 8.85       54.6%       0.29%       1.49       40.6%       1,639,000       7,382,000  
07/3/2012   $ 6.09       60.2%       0.90%       3.26       39.3%       976,000       6,462,000  
12/13/2011   $ 8.43       60.8%       0.90%       2.71       36.6%       281,000       1,691,000  
                                                    $ 32,679,000  

 

Significant assumptions used and related fair values for the Company’s warrants as of December 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   $ 7.59       52.4%       0.13%       1.20       22.7%       788,000     $ 495,000  
06/21/2013   $ 7.59       52.4%       0.13%       1.24       22.7%       1,051,000       660,000  
01/11/2013   $ 6.32       63.3%       1.27%       4.03       43.8%       1,709,000       2,892,000  
09/26/2012   $ 8.85       58.5%       0.38%       1.74       42.3%       1,771,000       702,000  
07/3/2012   $ 6.09       61.2%       1.27%       3.51       40.2%       1,812,000       3,008,000  
07/3/2012   $ 5.47       52.8%       0.01%       0.01       42.3%       804,000       3,000  
12/13/2011   $ 8.43       60.4%       0.78%       2.95       37.9%       306,000       455,000  
                                                    $ 8,215,000  

 

Summary of fair value measurements by level

The following table summarizes fair value measurements by level at March 31, 2014 (in thousands):

 

    Level 1     Level 2     Level 3     Total  
Assets:                                
Commodity contracts(1)   $ 388     $     $     $ 388  
Total Assets   $ 388     $     $     $ 388  
                                 
Liabilities:                                
Warrants(2)   $     $     $ 32,679     $ 32,679  
Commodity contracts(3)     301                   301  
Total Liabilities   $ 301     $     $ 32,679     $ 32,980  

__________

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

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

(3) Included in other current liabilities in the consolidated balance sheets.

 

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

 

    Level 1     Level 2     Level 3     Total  
Assets:                                
Commodity contracts(1)   $ 961     $     $     $ 961  
Total Assets   $ 961     $     $     $ 961  
                                 
Liabilities:                                
Warrants(2)   $     $     $ 8,215     $ 8,215  
Commodity contracts(3)     859                   859  
Total Liabilities   $ 859     $     $ 8,215     $ 9,074  

__________

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

(2) Included in warrant liabilities 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
    Warrants  
Balance, December 31, 2013   $ 8,215  
Adjustments to fair value for the period     35,844  
Exercises of warrants     (11,377 )
Expiration of warrants     (3 )
Balance, March 31, 2014   $ 32,679