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Note 8 - Fair Value Measurements | 12 Months Ended
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Jan. 31, 2014
Disclosure Text Block [Abstract] |
Fair Value, Measurement Inputs, Disclosure [Text Block] |
8. | Fair Value Measurements
We follow FASB ASC 820, "Fair Value Measurements and Disclosures" (“ASC 820”), in connection with assets and liabilities measured at fair value on a recurring basis subsequent to initial recognition. The guidance applies to our derivative liabilities. We had no assets or liabilities measured at fair value on a non-recurring basis for any period reported. ASC 820 requires that assets and liabilities carried at fair value will be classified and disclosed in one of the following three categories. We measure the fair value of applicable financial and non-financial assets based on the following fair value hierarchy: Level 1: Quoted market prices in active markets for identical assets or liabilities. Level 2: Observable market based inputs or unobservable inputs that are corroborated by market data. Level 3: Unobservable inputs that are not corroborated by market data. The hierarchy noted above requires us to minimize the use of unobservable inputs and to use observable market data, if available, when determining fair value. The fair value of our recorded derivative liabilities is determined based on unobservable inputs that are not corroborated by market data, which is a Level 3 classification. We record derivative liabilities on our balance sheet at fair value with changes in fair value recorded in our consolidated statements of operations. The hierarchy noted above requires the Company to minimize the use of unobservable inputs and to use observable market data, if available, when determining fair value. There were no transfers between Level 1, Level 2 and/or Level 3 during fiscal 2014. Our fair value measurements at the January 31, 2014 reporting date are classified based on the valuation technique level noted in the table below (in thousands):
|  |  |  |  |  | Quoted Prices |  |  |  |  |  |  |  |  |
|  |  |  |  |  | in Active |  |  | Significant Other |  |  | Significant |
|  | January 31, |  |  | Markets for |  |  | Observable |  |  | Unobservable |
Description |  | 2014 |  |  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
Derivative Liabilties |  | $ | 2,520 |  |  | $ | - |  |  | $ | - |  |  | $ | 2,520 |
The following outlines the significant weighted average assumptions used to estimate the fair value information presented, in connection with the conversion and anti-dilutive features embedded in the Elkhorn Secured Loan Agreement in Note 7 utilizing the Monte Carlo simulation model:
| January 31, 2014
Risk free interest rate | 0.09%
Average expected life (in years) | 0.83
Expected volatility | 54.17%
Expected dividends | None
The following outlines the significant weighted average assumptions used to estimate the fair value information presented, in connection with our outstanding and contingent warrants issued to Broadwood as described in Note 7 utilizing the Monte Carlo simulation model:
| January 31, 2014
Risk free interest rate | 1.97%
Average expected life (in years) | 6.49
Expected volatility | 115.59%
Expected dividends | None
The table below sets forth a summary of changes in the fair value of our Level 3 financial instruments for the fiscal year ended January 31, 2014 (in thousands):
|  |  |  |  |  |  |  |  |  | Change in estimated |  |  |  |  |
|  |  |  |  |  | Recorded new |  |  | fair value recognized |  |  |  |  |
|  | February 1, |  |  | Derivative |  |  | in results of |  |  | January 31, |
Description |  | 2013 |  |  | Liabilities |  |  | operations |  |  | 2014 |
Broadwood warrants |  | $ | 2,466 |  |  | $ | - |  |  | $ | (40 | ) |  | $ | 2,426 |
Elkhorn conversion features |  |  | 0 |  |  |  | 624 |  |  |  | (530 | ) |  |  | 94 |
|  | $ | 2,466 |  |  | $ | 624 |  |  | $ | (570 | ) |  | $ | 2,520 |

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- Definition The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis. + 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=25499696&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 1 -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19190-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19207-110258 + Details
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