Annual report pursuant to section 13 and 15(d)

12. FAIR VALUE MEASUREMENTS (Tables)

v2.4.0.6
12. FAIR VALUE MEASUREMENTS (Tables)
 12 Months Ended
Dec. 31, 2012
Fair Value Disclosures [Abstract]  
Significant assumptions used in the valuations

Significant assumptions used and related fair values for the warrants as of December 31, 2012 are as follows:

 

Original

Issuance

  

Exercise

Price

     Volatility    

Risk Free

Interest Rate

    

Term

(years)

    

Market

Discount

    

Warrants

Outstanding

     Fair Value  
09/26/2012   $ 0.59       70.2%       0.36%       2.74       53.9%       27,500,000     $ 1,112,000  
07/3/2012   $ 0.50       76.1%       0.72%       4.51       55.5%       28,000,000       2,756,000  
07/3/2012   $ 0.43       69.3%       0.16%       1.01       55.5%       13,950,000       509,000  
12/13/2011   $ 0.83       74.4%       0.54%       3.95       52.3%       4,956,250       480,000  
10/6/2010   $ 0.12       76.0%       0.72%       4.80       46.4%       252,101       35,000  
                                                    $ 4,892,000  

 

Significant assumptions used and related fair values for the warrants as of December 31, 2011 are as follows:

 

Original

Issuance

  

Exercise

Price

     Volatility    

Risk Free

Interest Rate

    

Term

(years)

    

Market

Discount

    

Warrants

Outstanding

     Fair Value  
12/13/2011   $ 1.50       68.0%       0.83%       4.96       52.0%       4,956,250     $ 1,695,000  
10/6/2010   $ 0.45       68.0%       1.09%       5.90       47.4%       504,202       226,000  
                                                    $ 1,921,000  

  
Summary of fair value measurements by level

    Level 1     Level 2     Level 3     Total  
Assets:                                
Commodity contracts(1)   $ 189     $ –     $ –     $ 189  
Total Assets   $ 189     $ –     $ –     $ 189  
                                 
Liabilities:                                
Warrants   $ –     $ –     $ 4,892     $ 4,892  
Commodity contracts(2)     167       –       –       167  
Total Liabilities   $ 167     $ –     $ 4,892     $ 5,059  

 

 

(1) Included in other current assets in the consolidated balance sheets. 

(2) Included in other current liabilities in the consolidated balance sheets.

  

The following table summarizes fair value measurements by level at December 31, 2011 (in thousands):

 

    Level 1     Level 2     Level 3     Total  
Assets:                                
Commodity contracts(1)   $ 244     $ –     $ –     $ 244  
Total Assets   $ 244     $ –     $ –     $ 244  
                                 
Liabilities:                                
Warrants   $ –     $ –     $ 1,921     $ 1,921  
Commodity contracts(2)     500       –       –       500  
Total Liabilities   $ 500     $ –     $ 1,921     $ 2,421  

 

 

(1) Included in other assets in the consolidated balance sheets. 

(2) Included in other liabilities in the consolidated balance sheets.
Changes in the fair value of the Company's Level 3 inputs

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

 

    Warrants     Convertible Notes  
                 
Balance, December 31, 2010   $ 5,718     $ 38,108  
Retirement of Convertible Notes     –       (35,000 )
Issuance of 2011 Warrants     1,809       –  
Exercises of Warrants     (1,155 )     –  
Adjustments to fair value for the period     (4,451 )     (3,108 )
Balance, December 31, 2011   $ 1,921     $ –  
Issuance of July Offering Warrants   $ 3,380     $ –  
Issuance of September Offering Warrants     1,658       –  
Exercises of Warrants     (113 )     –  
Adjustments to fair value for the period     (1,954 )     –  
Balance, December 31, 2012   $ 4,892     $ –