XOMA Corporation Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Available-for-Sale and Fair Value Measurements (Tables)

Available-for-Sale and Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2014

Available-for-Sale and Fair Value Measurements [Abstract]

Schedule of Available-for-sale securities

The classification of the Company’s available-for-sale securities consisted of the following (in thousands):

	December 31, 2014		December 31, 2013
Money Market funds	$	67,569	$	82,759
U.S. treasury securities		-		19,989
	$	67,569	$	102,748

Financial assets and liabilities carried at fair value

The following tables set forth the Company’s fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of December 31, 2014 and 2013 as follows (in thousands):

	Fair Value Measurements at December 31, 2014 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⁾	$	67,569	$	-	$	-	$	67,569
Foreign exchange options		-		6		-		6
Total	$	67,569	$	6	$	-	$	67,575

Liabilities:
Contingent warrant liabilities	$	-	$	-	$	31,828	$	31,828

	Fair Value Measurements at December 31, 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⁾	$	82,759	$	-	$	-	$	82,759
U.S. treasury securities		19,989		-		-		19,989
Foreign exchange options		-		361		-		361
Total	$	102,748	$	361	$	-	$	103,109

Liabilities:
Contingent warrant liabilities	$	-	$	-	$	69,869	$	69,869

(1) Included in cash and cash equivalents

Warrant liabilities fair value assumptions

The fair value of the contingent warrant liabilities was estimated using the following range of assumptions at December 31, 2014 and 2013:

	December 31, 2014			December 31, 2013
Expected volatility		69.6% - 72.9	%		66.1% - 86.6	%
Risk-free interest rate		0.03% - 0.67	%		0.10% - 0.80	%
Expected term	0.09 - 2.19 years			0.90 - 3.20 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 years ended December 31, 2014, 2013, and 2012 (in thousands):

	Warrant Liabilities
Balance at December 31, 2011	$	379
Initial fair value of warrants issued in March 2012		6,390
Reclassification of contingent warrant liability to equity upon exercise of warrants		(940	)
Net increase in fair value of contingent warrant liabilities upon revaluation		9,172
Balance at December 31, 2012		15,001
Reclassification of contingent warrant liability to equity upon exercise of warrants		(6,171	)
Net increase in fair value of contingent warrant liabilities upon revaluation		61,039
Balance at December 31, 2013		69,869
Initial fair value of warrants issued in December 2014 warrant		10,258
Reclassification of contingent warrant liability to equity upon exercise of warrants		(2,526	)
Net decrease in fair value of contingent warrant liabilities upon revaluation		(45,773	)
Balance at December 31, 2014	$	31,828

Outstanding debt carrying amount and estimated fair value

The fair value of the Company’s outstanding debt is estimated based on market interest rates. The carrying amount and the estimated fair value of the Company’s outstanding debt at December 31, 2014 and 2013 are as follows:

	December 31, 2014				December 31, 2013
	Carrying Amount		Fair Value		Carrying Amount		Fair Value

Outstanding debt	$	35,537	$	36,461	$	40,985	$	41,813

- Definition

Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities.

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- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References + Details

- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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