| 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. |
|