Quarterly report pursuant to Section 13 or 15(d)

8. FAIR VALUE MEASUREMENTS (Tables)

v2.4.1.9
8. FAIR VALUE MEASUREMENTS (Tables)
3 Months Ended
Mar. 31, 2015
Fair Value Disclosures [Abstract]  
Assumptions used and related fair value for conversion feature

Significant assumptions used and related fair values for the warrants as of March 31, 2015 were as follows:

 

Original Issuance   Exercise Price   Volatility   Risk Free
Interest
Rate
  Term (years)   Market Discount   Warrants Outstanding   Fair Value  
09/26/2012   $8.85   54.6%   0.20%   0.49     32.0%     452,000   $ 815,000  
07/3/2012   $6.09   53.9%   0.56%   2.26     30.6%     211,000     855,000  
12/13/2011   $8.43   54.8%   0.56%   1.71     27.3%     138,000     450,000  
                              $ 2,120,000  

 

Significant assumptions used and related fair values for the warrants as of December 31, 2014 were as follows:

 

Original Issuance   Exercise Price   Volatility   Risk Free
Interest
Rate
  Term (years)   Market Discount   Warrants Outstanding   Fair Value  
09/26/2012   $8.85   51.0%   0.19%   0.74     37.0%     473,000   $ 748,000  
07/3/2012   $6.09   56.1%   0.89%   2.51     32.8%     211,000     811,000  
12/13/2011   $8.43   54.3%   0.67%   1.95     28.7%     138,000     427,000  
                              $ 1,986,000  

 

Summary of fair value measurements by level

The following table summarizes fair value measurements by level at March 31, 2015 (in thousands):

 

    Level 1     Level 2     Level 3     Total  
Assets:                                
Commodity contracts(1)   $ 812     $     –     $     $ 812  
Total Assets   $ 812     $     $     $ 812  
                                 
Liabilities:                                
Warrants(2)   $     $     $ 2,120     $ 2,120  
Commodity contracts(3)     449                   449  
Total Liabilities   $ 449     $     $ 2,120     $ 2,569  

__________

(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.

 

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

 

    Level 1     Level 2     Level 3     Total  
Assets:                                
Commodity contracts(1)   $ 1,586     $     –     $     $ 1,586  
Total Assets   $ 1,586     $     $     $ 1,586  
                                 
Liabilities:                                
Warrants(2)   $     $     $ 1,986     $ 1,986  
Commodity contracts(3)     1,149                   1,149  
Total Liabilities   $ 1,149     $     $ 1,986     $ 3,135  

__________

(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

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

 

Balance, December 31, 2014   $ 1,986  
Exercises of warrants     (39 )
Adjustments to fair value for the period     173  
Balance, March 31, 2015   $ 2,120