Fair Value Measurement (Tables)

12 Months Ended

Dec. 31, 2017

Fair Value of Assets Measured on a Non-Recurring Basis

The fair value of our instruments measured on a non-recurring basis as of December 31, 2017 is as follows (in thousands):



	Fair Value Measurements Using:
	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Gains (Losses)
Warrant	$	2,840	$	—	$	—	$	2,840	$	—

The following is quantitative information about our significant unobservable inputs used in our Level 3 fair value measurements (dollars in thousands):



	Fair Value at December 31, 2017		Valuation Technique	Unobservable Inputs	Quantitative Inputs Used for Original Warrant		Quantitative Inputs Used for Replacement Warrant (1)
Warrant	$	2,840	Monte Carlo	Volatility of underlying	50.0	%	55.0	%
				Risk-free rate	1.78	%	2.02	%
				Dividend yield	—	%	—	%
				Probability of Designated Event (2)	0% - 50%		0% - 50%
				Timing of Designated Event (2)	3-5 years from issuance		3-5 years from issuance

(1)

In connection with the Replacement Warrant, we received an additional payment of $700 thousand from PEAK6 Investments. In accordance with U.S. GAAP, we performed valuations immediately before and after the equity modification and concluded that the additional payment approximately represented the incremental fair value provided by the Replacement Warrant. For additional information, please see Note 15.


(2)	Refers to certain change of control transactions, defined as a "Designated Event" as in the Warrant Agreement.