CONVERTIBLE NOTES (Tables)

12 Months Ended

Dec. 31, 2016

CONVERTIBLE NOTES [Abstract]

Schedule of Interest Expense Recognized

The following table sets forth total interest expense recognized for the years ended December 31, 2014, 2015 and 2016 related to the 2013 Notes:

	Year ended December 31,
(U.S. Dollars in thousands)	2014		2015		2016
Contractual interest expense	$	3,105	$	3,105	$	2,943
Amortization of debt issuance costs and debt discount		444		444		421
Total	$	3,549	$	3,549	$	3,364

Fair Value Measurements, Recurring and Nonrecurring

The Company prepared a valuation of the fair value of the 2016 Notes (a Level 3 valuation). The value of the 2016 Notes was estimated by implementing the binomial model. The liability component was valued based on the Income Approach. The following parameters were used:

(U.S. Dollars in thousands)	December 7, 2016			December 31, 2016
Stock price (USD)		0.3			0.445
Expected term		4.94			4.88
Risk free rate		1.86	%		1.95	%
Volatility		54.12	%		56.08	%
Yield		13.98	%

Schedule of Debt

The following table sets forth total interest expense recognized for the year ended December 31, 2016 related to the 2016 Notes:

(U.S. Dollars in thousands)	Year Ended December 31, 2016
Contractual interest expense	$	313
Debt discount amortization		147
Gain on extinguishment		(14,063)
Change in fair value of convertible note embedded derivative		6,473
Total	$	(7,130)