XWELL, Inc. - 10-K filing on 2014-03-10

Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2013

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents the placement in the fair value hierarchy of assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2013 and 2012:

			Fair value measurement at reporting date using
			Quoted prices in
			active markets	Significant other	Significant
			for identical	observable	unobservable
Derivative liabilities on account of warrants	Balance		assets (Level 1)	inputs (Level 2)	inputs (Level 3)
As of December 31, 2013	$	4,083	—	—	$	4,083
As of December 31, 2012	$	7,612	—	—	$	7,612

Assets and Liabilities Measured at Fair Value on Nonrecurring Basis

The following table presents the placement in the fair value hierarchy of assets and liabilities that are measured at fair value on a non-recurring basis as of December 31, 2013 (there were no such assets or liabilities as of December 31, 2012):

Fair value measurement at reporting date using

Quoted prices in

active markets

Significant other

Significant

for identical

observable

unobservable

Balance

assets (Level 1)

inputs (Level 2)

inputs (Level 3)

Assets held for sale

787

150

—

637

Changes in Liabilities Measured at Fair Value Using Significant Unobservable Inputs

The following table summarizes the changes in the Company’s liabilities measured at fair value using significant unobservable inputs (Level 3) during the years ended December 31, 2013 and 2012:

	Level 3
Balance at January 1, 2012	$	—
Derivative warrants issued to I/P’s shareholders in connection with the Merger, July 19, 2012		21,954
Fair value of derivative warrants issued by Legal Parent (refer to Note 9)		3,162
Fair value adjustment, prior to exercise of warrants, included in statement of operations		156
Exercise of derivative warrants		(10,657)
Fair value adjustment at end of period, included in statement of operations		(7,003)
Balance at December 31, 2012		7,612
Net impact of removal of down-round clause in Series 1 Warrant (refer to Note 9)		(2,300)
Fair value adjustment, prior to exercise of warrants, included in statement of operations		9
Exercise of derivative warrants		(808)
Fair value adjustment at end of period, included in statement of operations		(430)
Balance at December 31, 2013	$	4,083

Fair Value Measurements Based Upon Sensitivity and Nature of Inputs

The fair value measurements are evaluated by management to ensure that changes are consistent with expectations of management based upon the sensitivity and nature of the inputs.

Description	Valuation technique	Unobservable inputs	Range
Special Bridge Warrants, Conversion Warrants, Preferential Reload Warrants and the outstanding derivative Series 1 Warrants	Black-Scholes-Merton and the Monte-Carlo models	Volatility	46.85% – 52.63%
		Risk free interest rate	0.16% – 1.11%
		Expected term, in years	0.99 – 3.55
		Dividend yield	0%
		Probability and timing of down-round triggering event	5% occurrence in December 2014