Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v2.4.0.6
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2012
Fair Value Measurements [Abstract]  
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, 2012 and 2011 are classified as follows (in thousands):
 
   
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
    39,987       -       -       39,987  
Foreign exchange options
    -       488       -       488  
Total
  $ 77,448     $ 488     $ -     $ 77,936  
                                 
Liabilities:
                               
Contingent warrant liabilities
  $ -     $ -     $ 15,001     $ 15,001  

   
Fair Value Measurements at December 31, 2011 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)
  $ 27,222     $ -     $ -     $ 27,222  
Foreign exchange options
    -       1,202       -       1,202  
Total
  $ 27,222     $ 1,202     $ -     $ 28,424  
                                 
Liabilities:
                               
Contingent warrant liabilities
  $ -     $ -     $ 379     $ 379  

 
(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, 2012 and 2011:

   
December 31,
2012
   
December 31,
2011
 
Expected volatility
    40 %     102.1 - 103.2 %
Risk-free interest rate
    0.3% - 0.7 %     0.4 %
Expected term
 
1.9 - 4.2 years
   
2.9 - 3.1 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, 2012 and 2011 (in thousands):

   
Warrant
Liabilities
 
Balance at December 31, 2010
  $ 4,245  
Net decrease in fair value of contingent warrant liabilities upon revaluation
    (3,866 )
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