Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v2.4.0.8
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2013
Fair Value Measurements [Abstract]  
Financial assets and liabilities carried at fair value
Financial assets and liabilities carried at fair value as of September 30, 2013 and December 31, 2012 were classified as follows (in thousands):
 
 
Fair Value Measurements at September 30, 2013 Using
   
 
 
 
Quoted Prices in Active Markets for Identical Assets
   
Significant
Other
Observable
Inputs
   
Significant Unobservable Inputs
   
 
 
 
(Level 1)
   
(Level 2)
   
(Level 3)
   
Total
 
Assets:
 
   
   
   
 
Money market funds (1)
 
$
57,756
   
$
-
   
$
-
   
$
57,756
 
Foreign exchange options (3)
   
-
     
304
     
-
     
304
 
Total
 
$
57,756
   
$
304
   
$
-
   
$
58,060
 
 
                               
Liabilities:
                               
Contingent warrant liabilities
 
$
-
   
$
-
   
$
39,162
   
$
39,162
 

 
 
Fair Value Measurements at December 31, 2012 Using
   
 
 
 
Quoted Prices in Active Markets for Identical Assets
   
Significant
Other
Observable
Inputs
   
Significant Unobservable Inputs
   
 
 
 
(Level 1)
   
(Level 2)
   
(Level 3)
   
Total
 
Assets:
 
   
   
   
 
Money market funds (1)
 
$
37,461
   
$
-
   
$
-
   
$
37,461
 
U.S. treasury securities (2)
   
39,987
     
-
     
-
     
39,987
 
Foreign exchange options (3)
   
-
     
488
     
-
     
488
 
Total
 
$
77,448
   
$
488
   
$
-
   
$
77,936
 
 
                               
Liabilities:
                               
Contingent warrant liabilities
 
$
-
   
$
-
   
$
15,001
   
$
15,001
 

 
(1)
Included in cash and cash equivalents
 
(2)
Included in short-term investments
 
(3)
Included in other assets
Warrant liabilities fair value assumptions
The fair value of the contingent warrant liabilities was estimated using the following range of assumptions at September 30, 2013 and December 31, 2012:

 
 
September 30,
2013
   
December 31,
2012
 
Expected volatility
   
40
%
   
40
%
Risk-free interest rate
   
0.1% - 0.7
%
   
0.3% - 0.7
%
Expected term
 
1.2 - 3.4 years
   
1.9 - 4.2 years
 

Summary of changes in fair value of Level 3 financial liabilities
The following table provides a summary of changes in the fair value of the Company’s Level 3 financial liabilities for the nine months ended September 30, 2013 (in thousands):

Contingent warrant liabilities
 
September 30,
2013
 
Balance at December 31, 2012
   
15,001
 
Reclassification of contingent warrant liability to equity upon exercise of warrants
   
(1,585
)
Net increase in fair value of contingent warrant liabilities upon revaluation
   
25,746
 
Balance at September 30, 2013
   
39,162