| Significant assumptions |
Significant
assumptions used and related fair values for the warrants as of December 31, 2015 were as follows:
| Original Issuance |
|
|
Exercise Price |
|
|
Volatility |
|
|
Risk Free Interest
Rate |
|
|
Term (years) |
|
|
Market Discount |
|
|
Warrants Outstanding |
|
|
Fair Value |
|
| |
07/3/2012 |
|
|
$ |
6.09 |
|
|
|
49.1% |
|
|
|
0.86% |
|
|
|
1.51 |
|
|
|
22.9% |
|
|
|
211,000 |
|
|
|
200,000 |
|
| |
12/13/2011 |
|
|
$ |
8.43 |
|
|
|
48.4% |
|
|
|
0.65% |
|
|
|
0.95 |
|
|
|
18.3% |
|
|
|
138,000 |
|
|
|
73,000 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
273,000 |
|
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 |
|
|
| Schedule of fair value measurements |
The following
table summarizes recurring fair value measurements by level at December 31, 2015 (in thousands):
| |
|
|
Fair
Value |
|
|
|
Level
1 |
|
|
|
Level
2 |
|
|
|
Level
3 |
|
|
|
Benefit
Plan Percentage Allocation |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative financial instruments(1) |
|
$ |
2,081 |
|
|
$ |
2,081 |
|
|
$ |
– |
|
|
$ |
– |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Defined benefit plan assets(2)
(pooled separate accounts): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Large U.S. Equity (3) |
|
|
3,662 |
|
|
|
– |
|
|
|
3,662 |
|
|
|
– |
|
|
|
29% |
|
| Small/Mid U.S. Equity(4) |
|
|
1,099 |
|
|
|
– |
|
|
|
1,099 |
|
|
|
– |
|
|
|
9% |
|
| International Equity(5) |
|
|
1,525 |
|
|
|
– |
|
|
|
1,525 |
|
|
|
– |
|
|
|
12% |
|
| Fixed Income(6) |
|
|
6,281 |
|
|
|
– |
|
|
|
6,281 |
|
|
|
– |
|
|
|
50% |
|
| |
|
$ |
14,648 |
|
|
$ |
2,081 |
|
|
|
12,567 |
|
|
$ |
– |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrants (7) |
|
$ |
(273 |
) |
|
$ |
– |
|
|
$ |
– |
|
|
$ |
(273 |
) |
|
|
|
|
| Derivative financial instruments(8) |
|
|
(1,848 |
) |
|
|
(1,848 |
) |
|
|
– |
|
|
|
– |
|
|
|
|
|
| |
|
$ |
(2,121 |
) |
|
$ |
(1,848 |
) |
|
$ |
– |
|
|
$ |
(273 |
) |
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table summarizes
recurring fair value measurements by level at December 31, 2014 (in thousands):
| |
|
|
Fair
Value |
|
|
|
Level
1 |
|
|
|
Level
2 |
|
|
|
Level
3 |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative
financial instruments(1) |
|
$ |
1,586 |
|
|
$ |
1,586 |
|
|
$ |
– |
|
|
$ |
– |
|
| |
|
$ |
1,586 |
|
|
$ |
1,586 |
|
|
$ |
– |
|
|
$ |
– |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrants |
|
$ |
(1,986 |
) |
|
$ |
– |
|
|
$ |
– |
|
|
$ |
(1,986 |
) |
| Derivative financial instruments |
|
|
(1,149 |
) |
|
|
(1,149 |
) |
|
|
– |
|
|
|
– |
|
| |
|
$ |
(3,135 |
) |
|
$ |
(1,149 |
) |
|
$ |
– |
|
|
$ |
(1,986 |
) |
__________
|
(1) |
Included in other current assets
in the consolidated balance sheets. |
|
(2) |
See Note __ for accounting discussion |
(3)
This category includes investments in funds comprised of equity securities of large U.S. companies. The funds are valued using
the net asset value method in which an average of the market prices for the underlying investments is used to value the fund.
|
(4) |
This
category includes investments in funds comprised of equity securities of small- and medium-sized
U.S. companies. The funds are valued using the net asset value method in which an average
of the market prices for the underlying investments is used to value the fund. |
|
(5) |
This
category includes investments in funds comprised of equity securities of foreign companies
including emerging markets. The funds are valued using the net asset value method in
which an average of the market prices for the underlying investments is used to value
the fund. |
|
(6) |
This
category includes investments in funds comprised of U.S. and foreign investment-grade
fixed income securities, high-yield fixed income securities that are rated below investment-grade,
U.S. treasury securities, mortgage-backed securities, and other asset-backed securities.
The funds are valued using the net asset value method in which an average of the market
prices for the underlying investments is used to value the fund. |
| |
(7) |
Included in warrant liabilities at fair value in the consolidated
balance sheets. |
| |
(8) |
Included in accrued liabilities in the consolidated balance sheets. |
|
| Level 3 fair value schedule |
| |
|
Warrants |
|
|
Conversion
Features |
|
| Balance, December 31, 2012 |
|
$ |
4,892 |
|
|
$ |
– |
|
| Issuance of warrants in January offering |
|
$ |
2,657 |
|
|
$ |
– |
|
| Issuance of notes and warrants in March offering |
|
|
1,572 |
|
|
|
1,401 |
|
| Issuance of notes in June offering |
|
|
– |
|
|
|
2,929 |
|
| Conversions of notes |
|
|
– |
|
|
|
(5,205 |
) |
| Exercises of warrants |
|
|
(260 |
) |
|
|
– |
|
| Adjustments to fair value for the period |
|
|
(646 |
) |
|
|
875 |
|
| Balance, December 31, 2013 |
|
$ |
8,215 |
|
|
$ |
– |
|
| Exercises of warrants |
|
|
(41,486 |
) |
|
|
– |
|
| Expiration of warrants |
|
|
(3 |
) |
|
|
– |
|
| Adjustments to fair value for the period |
|
|
35,260 |
|
|
|
– |
|
| Balance, December 31, 2014 |
|
$ |
1,986 |
|
|
$ |
– |
|
| Exercises of warrants |
|
|
(72 |
) |
|
|
– |
|
| Expiration of warrants |
|
|
(527 |
) |
|
|
– |
|
| Adjustments to fair value for the period |
|
|
(1,114 |
) |
|
|
– |
|
| Balance, December 31, 2015 |
|
$ |
273 |
|
|
$ |
– |
|
|