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)

9 Months Ended

Sep. 30, 2014

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

- 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.

+ References + Details