Fair value of financial instruments (Tables)

3 Months Ended

Mar. 31, 2016

Estimated Fair Value of Private Placement Warrants Publicly Traded Stock Pricing Approach

As of March 31, 2016 and December 31, 2015, the Company estimated the fair value of its liability for Private Placement Warrants with a publicly traded stock pricing approach using the Black-Scholes option pricing model. The inputs of the Black-Scholes option pricing model included the following:


	March 31, 2016			December 31, 2015
Market value of the Company’s common stock	$	13.80		$	18.25
Exercise price	$	13.00		$	13.00
Risk-free interest rate		0.25	%		0.12	%
Estimated price volatility		55.00	%		55.00	%
Contractual term		0.08 years			0.33 years
Dividend yield		—			—

Summary of Change in Estimated Fair Value of Company's Level 3 Financial Instrument

The following table summarizes the change in the estimated fair value of the Company’s Level 3 Private placement warrants liability in the three months ended March 31, 2016:


Balance at December 31, 2015	$	1,482
Decrease in the fair value of private placement warrants liability		(1,256	)


Balance at March 31, 2016	$	226

Financial Liability Measured at Fair Value on Recurring Basis

The following table summarizes fair value measurements by level as of March 31, 2016, for the Company’s level 3 financial liabilities measured at fair value on a recurring basis:


	Level 1		Level 2		Level 3
Private placement warrants liability		—		—	$	226

The following table summarizes fair value measurements by level as of December 31, 2015, for the Company’s level 3 financial liabilities measured at fair value on a recurring basis:


	Level 1		Level 2		Level 3
Private placement warrants liability		—		—	$	1,482