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

Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2016

Financial Assets and Liabilities Carried at Fair Value on Recurring Basis

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 follows (in thousands):

	Fair Value Measurements at December 31, 2016 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⁾	$	4,161	$	—	$	—	$	4,161

	Fair Value Measurements at December 31, 2015 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⁾	$	42,590	$	—	$	—	$	42,590
Marketable securities		496		—		—		496
Total	$	43,086	$	—	$	—	$	43,086

Liabilities:
Contingent warrant liabilities	$	—	$	—	$	10,464	$	10,464

(1) Included in cash and cash equivalents

Summary of Estimated Fair Value Assumptions of Contingent Warrant Liabilities

The estimated fair value of the contingent warrant liabilities was estimated using the following range of assumptions at December 31, 2016 and 2015:

	December 31,
	2016		2015
Expected volatility		64%	166% - 183%
Risk-free interest rate		0.51%	0.64% - 0.74%
Expected term (in years)	0.19		0.94 - 1.19

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, 2016 and 2015 (in thousands):

Balance at December 31, 2014	$	31,828
Reclassification of contingent warrant liability to equity upon exercise of warrants		(3,552	)
Decrease in estimated fair value of contingent warrant liabilities upon revaluation		(17,812	)
Balance at December 31, 2015		10,464
Decrease in estimated fair value of contingent warrant liabilities upon revaluation		(10,464	)
Balance at December 31, 2016	$	—

Outstanding Debt Carrying Amount and Estimated Fair Value

The carrying amount and the estimated fair value of the Company’s outstanding interest-bearing obligations at December 31, 2016 and 2015 are as follows (in thousands):

	December 31, 2016				December 31, 2015
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Hercules term loan	$	16,850	$	16,453	$	19,653	$	21,231
Servier loan		12,231		12,242		15,331		15,185
Novartis note		14,086		13,836		13,683		13,394
Total interest bearing obligations	$	43,167	$	42,531	$	48,667	$	49,810