| Schedule of Significant Assumptions Used and Related Fair Values for Warrants |
Significant assumptions used and related
fair values for the warrants as of March 31, 2016 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 |
|
|
|
51.1 |
% |
|
|
0.59 |
% |
|
|
1.26 |
|
|
|
22.1 |
% |
|
|
211,000 |
|
|
$ |
178,000 |
|
| 12/13/2011 |
|
$ |
8.43 |
|
|
|
52.9 |
% |
|
|
0.49 |
% |
|
|
0.70 |
|
|
|
17.4 |
% |
|
|
138,000 |
|
|
|
56,000 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
234,000 |
|
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 |
|
|
| Summary of Recurring Fair Value Measurements by Level |
The following table summarizes recurring fair value measurements
by level at March 31, 2016 (in thousands):
| |
|
Fair |
|
|
|
|
|
|
|
|
|
|
| |
|
Value |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative financial instruments(1) |
|
$ |
1,774 |
|
|
$ |
1,774 |
|
|
$ |
— |
|
|
$ |
— |
|
| |
|
$ |
1,774 |
|
|
$ |
1,774 |
|
|
$ |
— |
|
|
$ |
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrants |
|
$ |
(234 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(234 |
) |
| Derivative financial instruments(4) |
|
|
(1,868 |
) |
|
|
(1,868 |
) |
|
|
— |
|
|
|
— |
|
| |
|
$ |
(2,102 |
) |
|
$ |
(1,868 |
) |
|
$ |
— |
|
|
$ |
(234 |
) |
The following table summarizes recurring fair value measurements
by level at December 31, 2015 (in thousands):
| |
|
Fair |
|
|
|
|
|
|
|
|
|
|
| |
|
Value |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative financial instruments(1) |
|
$ |
2,081 |
|
|
$ |
2,081 |
|
|
$ |
— |
|
|
$ |
— |
|
| Defined benefit plan assets(2) (pooled separate accounts): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Large U.S. Equity |
|
|
3,662 |
|
|
|
— |
|
|
|
3,662 |
|
|
|
— |
|
| Small/Mid U.S. Equity |
|
|
1,099 |
|
|
|
— |
|
|
|
1,099 |
|
|
|
— |
|
| International Equity |
|
|
1,525 |
|
|
|
— |
|
|
|
1,525 |
|
|
|
— |
|
| Fixed Income |
|
|
6,281 |
|
|
|
— |
|
|
|
6,281 |
|
|
|
— |
|
| |
|
$ |
14,648 |
|
|
$ |
2,081 |
|
|
$ |
12,567 |
|
|
$ |
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrants (3) |
|
$ |
(273 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(273 |
) |
| Derivative financial instruments(4) |
|
|
(1,848 |
) |
|
|
(1,848 |
) |
|
|
— |
|
|
|
— |
|
| |
|
$ |
(2,121 |
) |
|
$ |
(1,848 |
) |
|
$ |
— |
|
|
$ |
(273 |
) |
| (1) |
Included in other current assets in the consolidated balance sheets. |
| |
|
| (2) |
Fair values of plan assets are determined annually and therefore are not included as of March 31, 2016. For further descriptions of these assets see the Company’s Form 10-K for the year ended December 31, 2015. |
| |
|
| (3) |
Included in warrant liabilities at fair value in the consolidated balance sheets. |
| |
|
| (4) |
Included in accrued liabilities in the consolidated balance sheets. |
|
| Schedule of Fair Value of Level 3 Inputs to Warrants |
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, 2015 |
|
$ |
273 |
|
| Adjustments to fair value for the period |
|
|
(39 |
) |
| Balance, March 31, 2016 |
|
$ |
234 |
|
|