Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2014

Summary of Realized and Unrealized Gains/(Losses) of Derivative Instruments

The following table summarizes the realized and unrealized gain / (loss) of the Company’s derivative instruments (in thousands).

	Three Months Ended March 31,					From Inception to
Realized Gain / (Losses)	2014		2013			March 31, 2014
Exchange-traded futures contracts	$	-	$	249		$	(235	)
Unrealized Gain / (Losses)
Exchange-traded futures contracts		-		(276	)		648
Forward purchase contracts		-		20			(43	)

Input to Lattice Model that was Used to Value Embedded Derivative

The following table sets forth the inputs to the lattice model that were used to value the embedded derivatives.

	March 31,			December 31,
	2014			2013
Stock price	$	1.17		$	1.43
Conversion Rate		175.6697			175.6697
Conversion Price	$	5.69		$	5.69
Maturity date	July 1, 2022			July 1, 2022
Risk-free interest rate		2.5	%		2.8	%
Estimated stock volatility		78	%		65	%
Estimated credit spread		20	%		33	%

Convertible Notes With and Without Embedded Derivative and Fair Value of Embedded Derivative

The following table sets forth the value of the Convertible Notes with and without the embedded derivative, and the fair value of the embedded derivative (in thousands).

	March 31,		December 31,
	2014		2013
Fair value of Convertible Notes:
With the embedded derivatives	$	20,310	$	15,925
Without the embedded derivatives		18,104		12,455
Estimated fair value of the embedded derivatives	$	2,206	$	3,470