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FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2014
Fair Value Measurements Tables  
Activity in Level 3 assets

The following represents a reconciliation of the changes in fair value of warrants measured at fair value using Level 3 inputs during the quarter ended June 30, 2014: 

 

(in $ thousands)   2013 Investor Warrants     2013 Placement Agent Warrants     2010 Investor Warrants     2010 Placement Agent Warrants     Total  
                               
Balance, December 31, 2013   $ 4,599     $ 460     $ 689     $ 1     $ 5,749  
                                         
Repurchase of warrants (1)     -       -       (421 )     -       (421 )
                                         
Fair value adjustments:                     (86 )              (86  ) 
                                         
Change in fair value     6,646       664       911       10       8,231  
                                         
Balance, June 30, 2014 (2)   $ 11,245     $ 1,124     $ 1,093     $ 11     $ 13,473  

 

  (1) Represents amount paid to repurchase warrants exercisable into 142,857 shares of common stock, which were initially issued in the April 2010 capital raise transaction.
     
  (2) The warrants are valued using a trinomial lattice valuation methodology because that model embodies all of the relevant assumptions that address the features underlying these instruments. Significant assumptions used in the model at June 30, 2014 included the market price of our common stock, an expected dividend yield of zero, the remaining period to the expiration date of the warrants, expected volatility of our common stock over the remaining life of the warrants of 53.96%, estimated based on a review of our historical volatility, and risk-free rates of return of 0.6% based on constant maturity rates published by the U.S. Federal Reserve, applicable to the remaining life of the warrants. We also take into consideration a probability assumption for anti-dilution.