FAIR VALUE MEASUREMENT (Tables)

3 Months Ended

Mar. 31, 2015

Fair values by input hierarchy of items measured at fair value on a recurring basis

The following tables summarize the fair values by input hierarchy of items measured at fair value on a recurring basis on our consolidated balance sheets (in thousands):

	Level 1		Level 2		Level 3			Total
Total liabilities at fair value, as of March 31, 2015 - derivative warrant liabilities	$	-	$	-	$	(782	)	$	(782	)

Total liabilities at fair value, as of December 31, 2014 - derivative warrant liabilities	$	-	$	-	$	(955	)	$	(955	)

Additional assumptions used to calculate fair value

Additional assumptions that were used to calculate fair value follow.

	March 31, 2015		December 31, 2014
Risk-free interest rate		0.2%		0.1% - 1.0%
			(0.7% weighted average)
Expected volatility		80.7% - 91.2%		95%
	(88.2% weighted average)

Changes in level 3 items measured at fair value

The following tables summarize the changes in level 3 items measured at fair value on a recurring basis (in thousands):

	Fair Value as of Beginning of Period			Total Realized and Unrealized Gains (Losses)			Issuance of New Instruments			Fair Value, at End of Period			Change in Unrealized Gains (Losses) on Instruments Still Held
					(1	)
Three Months Ended March 31, 2015
Derivative warrant liability	$	(955	)	$	173		$	-		$	(782	)	$	173
Derivative conversion liability		-			-			-			-			-
Total Level 3 fair value	$	(955	)	$	173		$	-		$	(782	)	$	173

Three Months Ended March 31, 2014
Derivative warrant liability	$	(1,685	)	$	1,555		$	(4,991	)	$	(5,121	)	$	1,555
Derivative conversion liability		-			503			(589	)		(86	)		503
Total Level 3 fair value	$	(1,685	)	$	2,058		$	(5,580	)	$	(5,207	)	$	2,058

(1)

Included in change in fair value of derivative warrant and conversion liabilities in our consolidated statements of operations.

- Definition

Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes 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 liability.

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