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, 2015

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 September 30, 2015 and December 31, 2014 as follows (in thousands):

	Fair Value Measurements at September 30, 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⁾	$	12,084	$	—	$	—	$	12,084

Liabilities:
Contingent warrant liabilities	$	—	$	—	$	4,070	$	4,070

	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 ⁽²⁾		—		6		—		6
Total	$	67,569	$	6	$	—	$	67,575

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

(1)	Included in cash and cash equivalents

(2)	Included in other assets

Warrant liabilities fair value assumptions

The estimated fair value of the contingent warrant liabilities was estimated using the following range of assumptions at September 30, 2015, and December 31, 2014:

	September 30, 2015	December 31, 2014
Expected volatility	143% - 153%	70% - 73%
Risk-free interest rate	0.37% - 0.45%	0.03% - 0.67%
Expected term	1.19 - 1.44 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 nine months ended September 30, 2015 (in thousands):

Balance at December 31, 2014	$	31,828
Reclassification of contingent warrant liability to equity upon exercise of warrants		(3,552	)
Decrease in estimated fair value of contingent warrant liabilities upon revaluation		(24,206	)
Balance at September 30, 2015	$	4,070

Outstanding debt carrying amount and estimated fair value

The carrying amount and the estimated fair value of the Company’s outstanding interest bearing obligations at September 30, 2015, and December 31, 2014, are as follows (in thousands):

	September 30, 2015				December 31, 2014
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Interest bearing obligations	$	48,585	$	49,617	$	35,308	$	36,461