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CONVERTIBLE NOTES (Tables) | 12 Months Ended
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Dec. 31, 2016
CONVERTIBLE NOTES [Abstract] |
Schedule of Interest Expense Recognized | The following table sets forth total interest expense recognized for the years ended December 31, 2014, 2015 and 2016 related to the 2013 Notes:
|  | Year ended December 31, |
(U.S. Dollars in thousands) |  | 2014 |  | 2015 |  | 2016 |
Contractual interest expense |  | $ | 3,105 |  | $ | 3,105 |  | $ | 2,943 |
Amortization of debt issuance costs and debt discount |  |  | 444 |  |  | 444 |  |  | 421 |
Total |  | $ | 3,549 |  | $ | 3,549 |  | $ | 3,364 |
Fair Value Measurements, Recurring and Nonrecurring | The Company prepared a valuation of the fair value of the 2016 Notes (a Level 3 valuation). The value of the 2016 Notes was estimated by implementing the binomial model. The liability component was valued based on the Income Approach. The following parameters were used:
(U.S. Dollars in thousands) |  | December 7, 2016 |  |  | December 31, 2016 |
Stock price (USD) |  |  | 0.3 |  |  |  | 0.445 |
Expected term |  |  | 4.94 |  |  |  | 4.88 |
Risk free rate |  |  | 1.86 | % |  |  | 1.95 | %
Volatility |  |  | 54.12 | % |  |  | 56.08 | %
Yield |  |  | 13.98 | % |  |  |  |
Schedule of Debt | The following table sets forth total interest expense recognized for the year ended December 31, 2016 related to the 2016 Notes:
(U.S. Dollars in thousands) |  | Year Ended December 31, 2016 |
Contractual interest expense |  | $ | 313 |
Debt discount amortization |  |  | 147 |
Gain on extinguishment |  |  | (14,063) |
Change in fair value of convertible note embedded derivative |  |  | 6,473 |
Total |  | $ | (7,130) |

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- Definition Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19279-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bb) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI http://asc.fasb.org/extlink&oid=66048111&loc=SL7498348-110258 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 + Details
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