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