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, 2014
Fair Value Measurements [Abstract]  
Financial assets and liabilities carried at fair value
Financial assets and liabilities carried at fair value as of September 30, 2014 and December 31, 2013 were classified as follows (in thousands):

 
 
Fair Value Measurements at September 30, 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)
 
$
34,566
   
$
-
   
$
-
   
$
34,566
 
U.S. treasury securities
   
5,000
     
-
     
-
     
5,000
 
Foreign exchange options
   
-
     
35
     
-
     
35
 
Total
 
$
39,566
   
$
35
   
$
-
   
$
39,601
 
                                 
Liabilities:
                               
Contingent warrant liabilities
 
$
-
   
$
-
   
$
33,658
   
$
33,658
 

 
 
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 September 30, 2014 and December 31, 2013:

   
September 30, 2014
   
December 31, 2013
 
Expected volatility
   
43.0% - 68.7
%
   
66.1% - 86.6
%
Risk-free interest rate
   
0.0% - 0.6
%
   
0.1% - 0.8
%
Expected term
 
0.2 - 2.4 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 nine months ended September 30, 2014 (in thousands):

Contingent warrant liabilities
 
September 30, 2014
 
Balance at December 31, 2013
 
$
69,869
 
Reclassification of contingent warrant liability to equity upon exercise of warrants
   
(2,526
)
Net decrease in fair value of contingent warrant liabilities upon revaluation
   
(33,685
)
Balance at September 30, 2014
 
$
33,658