Fair Value Measurements

9 Months Ended

Sep. 30, 2015

Fair Value Disclosures [Abstract]

Fair Value Measurements

4. Fair Value Measurements

The Company measures and reports its cash equivalents, restricted cash, short-term investments and preferred stock warrant liabilities at fair value. The following table sets forth the fair value of the Company’s financial assets and liabilities measured on a recurring basis by level within the fair value hierarchy:

	September 30, 2015
	Level 1		Level 2		Level 3		Total
	(in thousands)
Financial Assets
Money market funds	$	155,766	$	—	$	—	$	155,766
Restricted money market funds		225		—		—		225
Total financial assets	$	155,991	$	—	$	—	$	155,991
	December 31, 2014
	Level 1		Level 2		Level 3		Total
	(in thousands)
Financial Assets
Money market funds	$	27,847	$	—	$	—	$	27,847
Restricted money market funds		75		—		—		75
Short-term investments		—		10,010		—		10,010
Total financial assets	$	27,922	$	10,010	$	—	$	37,932
Financial Liabilities
Preferred stock warrant liabilities	$	—	$	—	$	1,810	$	1,810

Money market funds are measured at fair value on a recurring basis using quoted prices and are classified as a Level 1 input.

The short-term investments contain observable inputs. Accordingly, the carrying value of this instrument approximates its fair value and is classified as Level 2 inputs.

The Company’s preferred stock warrant liabilities contained unobservable inputs that reflected the Company’s own assumptions in which there was little, if any, market activity for at the measurement date. Accordingly, the Company’s warrant liabilities at December 31, 2014 were measured at fair value on a recurring basis using unobservable inputs and were classified as Level 3 inputs.

At December 31, 2014, the Company remeasured the preferred stock warrants to fair value using the OPM and/or the PWERM models with the following assumptions used in the OPM:

	As of December 31, 2014
Expected term (in years)		1.2 – 2.5
Expected volatility		69 – 86	%
Risk-free interest rate		0.3 – 0.6	%
Expected dividend rate		—	%
Discount for lack of marketability		19.5 – 24.3	%

During the nine months ended September 30, 2015, the Company remeasured the preferred stock warrants using the OPM and/or PWERM models, or based on the fair value of the underlying stock. On the closing of the IPO, the outstanding preferred stock warrants were exercised and the liability on the preferred stock warrants was reclassified to additional paid-in capital in stockholders’ equity (deficit), and is no longer subject to remeasurement.

The following table provides a summary of the changes in the estimated fair value of the Company’s preferred stock warrants, which were measured at fair value on a recurring basis until their exercise (in thousands):

Balance as of December 31, 2014	$	1,810
Fair value of preferred stock warrants exercised		(19,253	)
Change in fair value of preferred stock warrants		17,443
Balance as of September 30, 2015	$	—

The change in fair value of the preferred stock warrant liabilities is attributable to the increase of the fair value of the underlying stock. The change in the fair value of preferred stock warrants for each presented period is recognized as a loss in the condensed consolidated statements of operations.

There were no transfers between Levels 1, 2 or 3 for the year ended December 31, 2014. During the three and nine months ended September 30, 2015, $10.0 million of short-term investments transferred from being a Level 2 financial asset to a Level 1 financial asset when the short-term investments were sold in July 2015. The proceeds from the sale of the short-term investments were invested in money market funds, which is a Level 1 financial asset. During the three and nine months ended September 30, 2015, the Company realized a $0 and $10,000 other-than-temporary impairment loss on its short-term investments through other income (expense) in the accompanying condensed consolidated statements of operations. During the three and nine months ended September 30, 2014, the Company did not realize any other-than-temporary impairment on its short-term investments.