| Significant assumptions |
Significant assumptions used and
related fair values for the warrants as of December 31, 2016 were as follows:
| Original Issuance |
|
Exercise
Price |
|
Volatility |
|
|
Risk Free
Interest
Rate |
|
|
Term
(years) |
|
|
Market
Discount |
|
|
Warrants
Outstanding |
|
|
Fair
Value |
|
| 07/03/2012 |
|
$6.09 |
|
|
40.9% |
|
|
|
0.62% |
|
|
|
0.50 |
|
|
|
11.3% |
|
|
|
211,000 |
|
|
$ |
651,000 |
|
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 |
|
| 07/03/2012 |
|
$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 |
|
|
| Schedule of fair value measurements |
The following
table summarizes recurring fair value measurements by level at December 31, 2016 (in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Benefit Plan |
|
|
|
Fair |
|
|
|
|
|
|
|
|
|
|
|
Percentage |
|
|
|
Value |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Allocation |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative financial
instruments(1) |
|
$ |
978 |
|
|
$ |
978 |
|
|
$ |
– |
|
|
$ |
– |
|
|
|
|
|
| Defined benefit plan assets(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (pooled separate accounts): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Large U.S. Equity(3) |
|
|
3,134 |
|
|
|
– |
|
|
|
3,134 |
|
|
|
– |
|
|
25% |
|
| Small/Mid U.S. Equity(4) |
|
|
1,802 |
|
|
|
– |
|
|
|
1,802 |
|
|
|
– |
|
|
15% |
|
| International Equity(5) |
|
|
2,006 |
|
|
|
– |
|
|
|
2,006 |
|
|
|
– |
|
|
16% |
|
| Fixed Income(6) |
|
|
5,481 |
|
|
|
– |
|
|
|
5,481 |
|
|
|
– |
|
|
44% |
|
| |
|
$ |
13,401 |
|
|
$ |
978 |
|
|
$ |
12,423 |
|
|
$ |
– |
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrants(7) |
|
$ |
(651 |
) |
|
$ |
– |
|
|
$ |
– |
|
|
$ |
(651 |
) |
|
|
|
|
| Derivative
financial instruments(8) |
|
|
(4,115 |
) |
|
|
(4,115 |
) |
|
|
– |
|
|
|
– |
|
|
|
|
|
| |
|
$ |
(4,766 |
) |
|
$ |
(4,115 |
) |
|
$ |
– |
|
|
$ |
(651 |
) |
|
|
|
|
The following table summarizes
recurring fair value measurements by level at December 31, 2015 (in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Benefit Plan |
|
|
|
Fair |
|
|
|
|
|
|
|
|
|
|
|
Percentage |
|
|
|
Value |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
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 |
) |
|
|
|
|
__________
| (1) |
|
Included
in derivative assets in the consolidated balance sheets. |
| (2) |
|
See
Note 10 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 derivative liabilities in the consolidated balance sheets. |
|
| Level 3 fair value schedule |
| |
|
Warrants |
|
| 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 |
|
| Exercises of warrants |
|
|
(179 |
) |
| Adjustments to fair value for the period |
|
|
557 |
|
| Balance, December 31, 2016 |
|
$ |
651 |
|
|