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FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2015

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 March 31, 2015:

(in $ thousands)		2013 Investor Warrants				2013 Placement Agent Warrants				2010 Investor Warrants				2010 Placement Agent Warrants				Total

Balance, December 31, 2014		$	10,546			$	998			$	1,065			$	4			$	12,613

Issuances			-				-				-				-				-

Exchange of warrants ⁽¹⁾			(10,546	)			-				-				-				(10,546	)

Change in fair value			-				(597	)			(845	)			(2	)			(1,444	)

Balance, March 31, 2015 ⁽²⁾		$	-			$	401			$	220			$	2			$	622

(1)	Represents the fair value carrying amount of 5,250,000 warrants that, along with 3,500,000 Series A Preferred shares, were exchanged for 3,588,139 shares of Series B Preferred stock exercisable into 7,176,298 shares of common stock. Resulting in a deemed dividend to the preferred shareholders of $13,956,000.

(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 March 31, 2015 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 51.6%, estimated based on a review of our historical volatility, and risk-free rates of return of 0.12% for the 2010 warrants and 1.65% for the 2013 warrants 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.

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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