XOMA Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2014

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 March 31, 2014 and December 31, 2013.

Financial assets and liabilities carried at fair value as of March 31, 2014 and December 31, 2013 were classified as follows (in thousands):

	Fair Value Measurements at March 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⁾	$	63,561	$	-	$	-	$	63,561
U.S. treasury securities		19,996		-		-		19,996
Foreign exchange options		-		239		-		239
Total	$	83,557	$	239	$	-	$	83,796

Liabilities:
Contingent warrant liabilities	$	-	$	-	$	47,342	$	47,342

	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		19,990		-		-		19,990
Foreign exchange options		-		361		-		361
Total	$	102,749	$	361	$	-	$	103,110

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 March 31, 2014 and December 31, 2013:

	March 31, 2014			December 31, 2013
Expected volatility		74.2% - 88.4	%		66.1% - 86.6	%
Risk-free interest rate		0.1% - 0.9	%		0.1% - 0.8	%
Expected term	0.7 - 2.9 years			0.9 - 3.2 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 three months ended March 31, 2014 (in thousands):

Contingent warrant liabilities	March 31, 2014
Balance at December 31, 2013	$	69,869
Reclassification of contingent warrant liability to equity upon exercise of warrants		(2,525	)
Net increase in fair value of contingent warrant liabilities upon revaluation		(20,002	)
Balance at March 31, 2014	$	47,342

- 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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