Fair Value
12 Months Ended
Dec. 31, 2011
Fair Value [Abstract]  
Fair Value

18.    Fair Value

In accordance with FASB ASC 820, Fair Value Measurements and Disclosures, the following table represents the Company’s fair value hierarchy for its financial liabilities measured at fair value on a recurring basis as of December 31, 2011 and 2010:

 

                         

December 31, 2011:

  Level 2     Level 3     Total  
     (in thousands)     (in thousands)     (in thousands)  

Derivative instruments

  $ 2,487     $ 7,712     $ 10,199  

 

                         

December 31, 2010:

  Level 2     Level 3     Total  
     (in thousands)     (in thousands)     (in thousands)  

Derivative instruments

  $ 20,800     $ 13,306     $ 34,106  

Level 3 financial instruments consist of common stock warrants common stock warrants and embedded conversion features. The fair value of the warrants and embedded conversion features that have exercise reset features are estimated using an adjusted Black-Scholes model. The Company computes valuations each quarter, using Black-Scholes model calculations for such warrants to account for the various possibilities that could occur due to various circumstances that could arise in connection with the contractual terms of said instruments. The Company weights each Black-Scholes model calculation based on its estimation of the likelihood of the occurrence of each circumstance and adjusts relevant Black-Scholes model input to calculate the value of the derivative at the reporting date.

The following table summarizes the changes in fair value of the Company’s Level 3 financial instruments for the years ended December 31, 2011 and 2010:

 

                 
    Year Ended December 31,  
    2011     2010  

Beginning Balance

  $ 13,306     $ 4,804  

Issuance of warrants

          1,858  

Change in fair value

    (5,594     6,644  
   

 

 

   

 

 

 

Ending Balance

  $ 7,712     $ 13,306