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, 2015

Available-for-Sale and Fair Value Measurements [Abstract]

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, 2015 and December 31, 2014 as follows (in thousands):

	Fair Value Measurements at March 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⁾	$	60,073					$	60,073
Foreign exchange options		-		-		-		-
Total	$	60,073	$	-	$	-	$	60,073

Liabilities:
Contingent warrant liabilities	$	-	$	-	$	31,868	$	31,868

	Fair Value Measurements at December 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⁾	$	67,569	$	-	$	-	$	67,569
Foreign exchange options		-		6		-		6
Total	$	67,569	$	6	$	-	$	67,575

Liabilities:
Contingent warrant liabilities	$	-	$	-	$	31,828	$	31,828

(1)

Included in cash and cash equivalents

Warrant liabilities fair value assumptions

The estimated fair value of the contingent warrant liabilities was estimated using the following range of assumptions at March 31 2015 and December 31, 2014:

	March 31, 2015			December 31, 2014

Expected volatility		73.9% - 74.8	%		69.6% - 72.9	%
Risk-free interest rate		0.55	%		0.03% - 0.67	%
Expected term	1.69 - 1.94 years			0.09 - 2.19 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, 2015 (in thousands):

	Three Months Ended March 31,
	2015		2014
Beginning balance	$	31,828	$	69,869
Reclassification of contingent warrant liability to equity upon exercise of warrants		-		(2,525	)
Net increase (decrease) in estimated fair value of contingent warrant liabilities upon revaluation		40		(20,002	)
Ending balance	$	31,868	$	47,342

Outstanding debt carrying amount and estimated fair value

The carrying amount and the estimated fair value of the Company’s outstanding debt at March 31, 2015 and December 31, 2014 are as follows (in thousands):

	March 31, 2015				December 31, 2014
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Outstanding debt	$	47,189	$	47,668	$	35,308	$	36,461

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References + Details

- 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