| Assumptions used and related fair value for conversion feature |
| Original Issuance |
|
Exercise Price |
|
Volatility |
|
Risk-Free
Interest
Rate
|
|
Term (years) |
|
Discount for
marketability
restrictions
|
|
Warrants Outstanding |
|
Fair Value |
|
| 09/26/2012 |
|
$8.85 |
|
51.2% |
|
0.13% |
|
0.99 |
|
|
35.6% |
|
|
473,000 |
|
$ |
1,732,000 |
|
| 07/3/2012 |
|
$6.09 |
|
52.3% |
|
1.07% |
|
2.76 |
|
|
31.7% |
|
|
391,000 |
|
|
2,361,000 |
|
| 12/13/2011 |
|
$8.43 |
|
52.0% |
|
0.58% |
|
2.21 |
|
|
29.2% |
|
|
138,000 |
|
|
700,000 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,002,000 |
|
$ |
4,793,000 |
|
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 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
8,241,000 |
|
$ |
8,215,000 |
|
|
| Summary of fair value measurements by level |
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commodity contracts(1) |
|
$ |
1,130 |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
1,130 |
|
| Total Assets |
|
$ |
1,130 |
|
|
$ |
– |
|
|
$ |
– |
|
|
$ |
1,130 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrants(2) |
|
$ |
– |
|
|
$ |
– |
|
|
$ |
4,793 |
|
|
$ |
4,793 |
|
| Commodity contracts(3) |
|
|
659 |
|
|
|
– |
|
|
|
– |
|
|
|
659 |
|
| Total Liabilities |
|
$ |
659 |
|
|
$ |
– |
|
|
$ |
4,793 |
|
|
$ |
5,452 |
|
__________
(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 |
|
__________
|