Quarterly report pursuant to Section 13 or 15(d)

9. Fair Value Measurements (Tables)

v3.5.0.2
9. Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2016
Fair Value Disclosures [Abstract]  
Schedule of Significant Assumptions Used and Related Fair Values for Warrants

Significant assumptions used and related fair values for the warrants as of September 30, 2016 were as follows:

 

Original Issuance   Exercise Price     Volatility     Risk Free Interest Rate     Term (years)     Market Discount     Warrants Outstanding     Fair Value  
7/3/2012   $ 6.09       46.3%       0.52%       0.76       15.7%       211,000     $ 296,000  
12/13/2011   $ 8.43       37.7%       0.25%       0.20       6.7%       138,000       30,000  
                                                    $ 326,000  

 

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  
7/3/2012   $ 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 September 30, 2016 (in thousands):

 

    Fair                    
    Value     Level 1     Level 2     Level 3  
Assets:                        
Derivative financial instruments (1)   $ 3,242     $ 3,242     $     $  
    $ 3,242     $ 3,242     $     $  
                                 
Liabilities:                                
Warrants (3)   $ (326 )   $     $     $ (326 )
Derivative financial instruments (4)     (3,492 )     (3,492 )            
    $ (3,818 )   $ (3,492 )   $     $ (326 )

 

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 derivative instruments in the consolidated balance sheets.
(2) Fair values of plan assets are determined annually and therefore are not included as of September 30, 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 derivative instruments in the consolidated balance sheets.

 

Schedule of Fair Value of Level 3 Inputs to Warrants

Balance, December 31, 2015   $ 273  
Adjustments to fair value for the period     53  
Balance, September 30, 2016   $ 326