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8. FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended 12 Months Ended
Mar. 31, 2013
Dec. 31, 2012
Fair Value Measurements Tables    
Assumptions used and related fair values for warrants

Significant assumptions used and related fair values for the warrants as of March 31, 2013 were as follows:

 

Original Issuance  Exercise Price   Volatility   Risk-Free Interest Rate   Term (years)   Discount for Marketability restrictions   Warrants Outstanding   Fair Value 
03/28/2013  $7.80    71.1%    0.24%    2.00    38.2%    788,000   $882,000 
01/11/2013  $7.80    72.5%    0.77%    4.79    54.4%    1,709,000    2,728,000 
09/26/2012  $8.85    84.2%    0.31%    2.49    75.9%    1,771,000    776,000 
07/3/2012  $7.50    71.1%    0.57%    4.26    51.8%    1,812,000    2,880,000 
07/3/2012  $6.45    63.7%    0.14%    0.76    57.6%    804,000    335,000 
12/13/2011  $11.25    68.1%    0.57%    3.71    47.1%    306,000    478,000 
                                 $8,079,000 

 

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

 

Original Issuance  Exercise Price   Volatility   Risk-Free Interest Rate   Term (years)   Discount for Marketability restrictions   Warrants Outstanding   Fair Value 
09/26/2012  $8.85    70.2%    0.36%    2.74    53.9%    1,833,000   $1,112,000 
07/3/2012  $7.50    76.1%    0.72%    4.51    55.5%    1,867,000    2,756,000 
07/3/2012  $6.45    69.3%    0.16%    1.01    55.5%    930,000    509,000 
12/13/2011  $12.45    74.4%    0.54%    3.95    52.3%    330,000    480,000 
10/6/2010  $1.80    76.0%    0.72%    4.80    46.4%    17,000    35,000 
                                 $4,892,000 

 

 

Original Issuance   Exercise Price     Volatility     Risk Free Interest Rate     Term (years)     Market Discount     Warrants Outstanding     Fair Value  
09/26/2012   $ 8.85       70.2%       0.36%       2.74       53.9%       1,833,000     $ 1,112,000  
07/3/2012   $ 7.50       76.1%       0.72%       4.51       55.5%       1,867,000       2,756,000  
07/3/2012   $ 6.45       69.3%       0.16%       1.01       55.5%       930,000       509,000  
12/13/2011   $ 12.45       74.4%       0.54%       3.95       52.3%       330,000       480,000  
10/6/2010   $ 1.80       76.0%       0.72%       4.80       46.4%       17,000       35,000  
                                                    $ 4,892,000  

 

 

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

 

Original Issuance   Exercise Price     Volatility     Risk Free Interest Rate     Term (years)     Market Discount     Warrants Outstanding     Fair Value  
12/13/2011   $ 22.50       68.0%       0.83%       4.96       52.0%       330,000     $ 1,695,000  
10/6/2010   $ 6.75       68.0%       1.09%       5.90       47.4%       34,000       226,000  
                                                    $ 1,921,000  

 
Assumptions used and related fair value for conversion feature

 

Original Issuance  Conversion Price   Volatility   Risk-Free Interest Rate   Term (years)   Market Discount   Fair Value 
3/28/13  $15.00    62.2%    0.14%    1.0    24.5%   $1,400,800 

  
Summary of fair value measurements by level

The following table summarizes fair value measurements by level at March 31, 2013 (in thousands):

 

   Level 1   Level 2   Level 3   Total 
Assets:                    
Commodity contracts(1)  $205   $–   $–   $205 
Total Assets  $205   $–   $–   $205 
                     
Liabilities:                    
Warrants(2)  $–   $–   $8,079   $8,079 
Conversion feature(2)   –    –    1,401    1,401 
Commodity contracts(3)   115    –    –    115 
Total Liabilities  $115   $–   $9,480   $9,595 

 

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

(2) Included in warrant liabilities and conversion feature at fair value in the consolidated balance sheets.

(3) Included in accrued liabilities in the consolidated balance sheets.

 

The following table summarizes fair value measurements by level at December 31, 2012 (in thousands):

   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 accrued liabilities in the consolidated balance sheets.

   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 fair value of Level 3 inputs

 

   Warrants   Conversion Feature 
Balance, December 31, 2012  $4,892   $– 
Issuance of warrants in January offering   2,657    – 
Issuance of notes and warrants in March offering   883    1,401 
Exercises of warrants   (260)   – 
Adjustments to fair value for the period   (93)   – 
Balance, March 31, 2013  $8,079   $1,401 

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     $ –