9. Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2016

Fair Value Disclosures [Abstract]

Schedule of Significant Assumptions Used and Related Fair Values for Warrants

Significant assumptions used and related fair values for the warrants as of September 30, 2016 were as follows:

Original Issuance	Exercise Price		Volatility		Risk Free Interest Rate		Term (years)		Market Discount		Warrants Outstanding		Fair Value
7/3/2012	$	6.09		46.3%		0.52%		0.76		15.7%		211,000	$	296,000
12/13/2011	$	8.43		37.7%		0.25%		0.20		6.7%		138,000		30,000
													$	326,000

Significant assumptions used and related fair values for the warrants as of December 31, 2015 were as follows:

Original Issuance	Exercise Price		Volatility		Risk Free Interest Rate		Term (years)		Market Discount		Warrants Outstanding		Fair Value
7/3/2012	$	6.09		49.1%		0.86%		1.51		22.9%		211,000	$	200,000
12/13/2011	$	8.43		48.4%		0.65%		0.95		18.3%		138,000		73,000
													$	273,000

Summary of Recurring Fair Value Measurements by Level

The following table summarizes recurring fair value measurements by level at September 30, 2016 (in thousands):

	Fair
	Value			Level 1			Level 2		Level 3
Assets:
Derivative financial instruments (1)	$	3,242		$	3,242		$	–	$	–
	$	3,242		$	3,242		$	–	$	–
Liabilities:
Warrants (3)	$	(326	)	$	–		$	–	$	(326	)
Derivative financial instruments (4)		(3,492	)		(3,492	)		–		–
	$	(3,818	)	$	(3,492	)	$	–	$	(326	)

The following table summarizes recurring fair value measurements by level at December 31, 2015 (in thousands):

	Fair
	Value			Level 1			Level 2		Level 3
Assets:
Derivative financial instruments (1)	$	2,081		$	2,081		$	–	$	–
Defined benefit plan assets (2)
(pooled separate accounts):
Large U.S. Equity		3,662			–			3,662		–
Small/Mid U.S. Equity		1,099			–			1,099		–
International Equity		1,525			–			1,525		–
Fixed Income		6,281			–			6,281		–
	$	14,648		$	2,081		$	12,567	$	–
Liabilities:
Warrants (3)	$	(273	)	$	–		$	–	$	(273	)
Derivative financial instruments (4)		(1,848	)		(1,848	)		–		–
	$	(2,121	)	$	(1,848	)	$	–	$	(273	)

__________

(1) Included in derivative instruments in the consolidated balance sheets.

(2) Fair values of plan assets are determined annually and therefore are not included as of September 30, 2016. For further descriptions of these assets see the Company’s Form 10-K for the year ended December 31, 2015.

(3) Included in warrant liabilities at fair value in the consolidated balance sheets.

(4) Included in derivative instruments in the consolidated balance sheets.

Schedule of Fair Value of Level 3 Inputs to Warrants

Balance, December 31, 2015	$	273
Adjustments to fair value for the period		53
Balance, September 30, 2016	$	326