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Note 9 - Fair Value Measurements | 3 Months Ended
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Apr. 30, 2014
Disclosure Text Block [Abstract] |
Fair Value, Measurement Inputs, Disclosure [Text Block] |
9. | 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 the first quarter of fiscal 2015. Our fair value measurements at the April 30, 2014 reporting date are classified based on the valuation technique level noted in the table below (in thousands):
Description |  | April 30, 2014 |  |  | Quoted Prices in Active Markets for (Level 1) |  |  | Significant Other Observable (Level 2) |  |  | Significant Unobservable (Level 3) |
Derivative Liabilties |  | $ | 3,525 |  |  | $ | - |  |  | $ | - |  |  | $ | 3,525 |
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 warrants as described in Note 8 utilizing the Monte Carlo simulation model:
|  | April 30, 2014 |
Risk free interest rate |  | 2.04% |
Average expected life (years) |  | 6.24 |
Expected volatility |  | 120.03% |
Expected dividends |  | None |
The following outlines the significant weighted average assumptions used to estimate the fair value information presented in connection with the derivative liabilities associated with our Elkhorn Loan as described in Note 8 utilizing the Monte Carlo simulation model:
|  | April 30, 2014 |
Risk free interest rate |  | 0.06% |
Average expected life (years) |  | 0.59 |
Expected volatility |  | 82.31% |
Expected dividends |  | None |
The table below sets forth a summary of changes in the fair value of our Level 3 financial instruments for the three months ended April 30, 2014 (in thousands):
Description |  | February 1, 2014 |  |  | Recorded new Derivative Liabilities |  |  | Change in estimated fair value recognized in results of operations |  |  | April 30, 2014 |
Broadwood warrants |  | $ | 2,426 |  |  | $ | - |  |  | $ | 799 |  |  | $ | 3,225 |
Elkhorn conversion features |  |  | 94 |  |  |  | 0 |  |  |  | 206 |  |  |  | 300 |
|  | $ | 2,520 |  |  | $ | - |  |  | $ | 1,005 |  |  | $ | 3,525 |
The table below sets forth a summary of changes in the fair value of our Level 3 financial instruments for the three months ended April 30, 2013 (in thousands):
|  | February 1, 2013 |  |  | Recorded New Derivative Liabilities |  |  | Change in estimated fair value recognized in results of operations |  |  | April 30, 2013 |
Derivative liabilities |  | $ | 2,466 |  |  | $ | 624 |  |  | $ | 767 |  |  | $ | 3,857 |

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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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