Note 6 - Fair Value Measurements

6 Months Ended

Jun. 30, 2018

Notes to Financial Statements

Fair Value Disclosures [Text Block]

NOTE

6

–

FAIR VALUE MEASUREMENTS

The following table presents information about warrant derivative liabilities that are measured at fair value on a recurring basis as of

June 30, 2018,

and indicate the fair value hierarchy of the valuation techniques we utilized to determine such fair value. In general, fair values determined by Level 

1

inputs utilize quoted prices (unadjusted) in active markets for identical assets or liabilities. We consider a security that trades at least weekly to have an active market. Fair values determined by Level 

2

inputs utilize data points that are observable, such as quoted prices, interest rates and yield curves. Fair values determined by Level 

3

inputs are unobservable data points for the asset or liability, and include situations where there is little, if any, market activity for the asset or liability.  

	Derivatives at Fair Value as of June 30 , 2018
(in thousands)	Level 1		Level 2		Level 3			Total
Warrant derivative liabilities		-		-		(1,528	)		(1,528	)
Total warrant derivative liabilities	$	-	$	-	$	(1,528	)	$	(1,528	)

The following table presents a reconciliation of Level

3

activity for the

three

month period ended

June 30, 2018:

	Level 3 Liabilities
(in thousands)	Warrant Derivative Liabilities
Balance at March 31, 2018	$	1,871
Unrealized Gains, net		(343	)
Balance at June 30, 2018	$	1,528

The following table presents a reconciliation of Level

3

activity for the

six

month period ended

June 30, 2018:

	Level 3 Liabilities
(in thousands)	Warrant Derivative Liabilities
Balance at December 31, 2017	$	2,387
Unrealized Gains, net		(859	)
Balance at June 30, 2018	$	1,528

The Warrants are Level

3

and are valued using a lattice model that uses unobservable inputs such as volatility and future probability of issuing new shares.