CONVERTIBLE NOTES (Tables)

9 Months Ended

Sep. 30, 2017

Fair Value Measurements, Recurring and Nonrecurring

The Company prepared a valuation of the fair value of the 4.5% convertible notes due 2018, for the 4.5% convertible notes due 2022 and for the 7.5% convertible notes due 2021 (a Level 3 valuation) as of September 30, 2017. The value of these notes were 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)	4.5% notes due 2018		4.5% notes due 2022		7.5% notes due 2021
Stock price (USD)		0.58		0.58		0.58
Expected term		0.96		4.38		4.13
Risk free rate		1.33%		1.87%		1.83%
Volatility		103.71%		64.73%		66.34%
Yield		11.87%		14.22%		11.30%

- 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.

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