Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v2.4.0.6
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2012
Fair Value Measurements [Abstract]  
Financial assets and liabilities carried at fair value
Financial assets and liabilities carried at fair value as of June 30, 2012 and December 31, 2011 were classified as follows (in thousands):
 
 
Fair Value Measurements at June 30, 2012 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)
 
$
30,036
 
 
$
-
 
 
$
-
 
 
$
30,036
 
U.S. treasury securities (1)
 
 
26,992
 
 
 
-
 
 
 
-
 
 
 
26,992
 
Foreign exchange options
 
 
-
 
 
 
591
 
 
 
-
 
 
 
591
 
Total
 
$
57,028
 
 
$
591
 
 
$
-
 
 
$
57,619
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
             Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Contingent warrant liabilities
 
$
-
 
 
$
-
 
 
$
23,293
 
 
$
23,293
 
 
 
Fair Value Measurements at December 31, 2011 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)
 
$
27,222
 
 
$
-
 
 
$
-
 
 
$
27,222
 
Foreign exchange options
 
 
-
 
 
 
1,202
 
 
 
-
 
 
 
1,202
 
Total
 
$
27,222
 
 
$
1,202
 
 
$
-
 
 
$
28,424
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
             Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Contingent warrant liabilities
 
$
-
 
 
$
-
 
 
$
379
 
 
$
379
 
                                                                                                                                          
                        (1) 
Included in cash and cash equivalents                                                                                                                                            
 
Contingent warrant liabilities fair value assumptions
The fair value of the contingent warrant liabilities was estimated using the following range of assumptions at June 30, 2012 and December 31, 2011:

 
June 30,
2012
 
 
December 31,
2011
 
Expected volatility
 
 
40
%
 
 
102.1% - 103.2
%
Risk-free interest rate
 
 
0.3% - 0.7
%
 
 
0.4
%
Expected term
 
2.4 - 4.7 years
 
 
2.9 - 3.1 years
 


Summary of changes in fair value of financial liabilities
The following table provides a summary of changes in the fair value of the Company's Level 3 financial liabilities for the six months ended June 30, 2012 (in thousands):

Contingent warrant liabilities
 
June 30, 2012
 
Balance at December 31, 2011
 
$
379
 
Initial fair value of warrants issued in March 2012
 
 
6,390
 
Reclassification of contingent warrant liability to equity upon exercise of warrants
 
 
(14
)
Net increase in fair value of contingent warrant liabilities upon revaluation
 
 
16,538
 
Balance at June 30, 2012
 
$
23,293