Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2013

Financial Instruments Measured at Fair Value on Recurring Basis by Level within Fair Value Hierarchy

The following tables present the Company’s financial instruments that were measured at fair value on a recurring basis as of March 31, 2013 and December 31, 2012 by level within the fair value hierarchy (in thousands):

	March 31, 2013
	Level 1		Level 2		Level 3		Total
Financial Assets
Cash equivalents	$	4,753	$	26,310	$	—	$	31,063
Marketable securities		1,998		181,673		—		183,671
Total	$	6,751	$	207,983	$	—	$	214,734
Financial Liabilities
Derivative liability	$	—	$	—	$	3,861	$	3,861
Warrant liability		—		—		781		781
Total	$	—	$	—	$	4,642	$	4,642

	December 31, 2012
	Level 1		Level 2		Level 3		Total
Financial Assets
Cash equivalents	$	25,781	$	2,829	$	—	$	28,610
Marketable securities		1,997		116,190		—		118,187
Total	$	27,778	$	119,019	$	—	$	146,797
Financial Liability
Warrant liability	$	—	$	—	$	835	$	835

Summary of Level 3 Inputs to Monte Carlo

The following table sets forth the Level 3 inputs to the Monte Carlo simulation model that were used to determine the fair value of the embedded derivative:

	Issuance Date			March 31, 2013
Stock price	$	6.88		$	7.80
Conversion rate		121.1240			121.1240
Conversion price	$	8.26		$	8.26
Maturity date		November 1, 2016			November 1, 2016
Risk-free interest rate		0.79	%		0.74	%
Estimated stock volatility		50	%		50	%

Estimated Fair Value of the Embedded Derivative

The following table sets forth the estimated fair value of the embedded derivative as of the issuance date and March 31, 2013 (in thousands):

	Issuance Date		March 31, 2013
Estimated fair value of the embedded derivative	$	3,124	$	3,861

Change in Value of Warrant Liability

The following tables presents the change in fair values of the Company’s Level 3 financial instruments that were measured on a recurring basis using significant unobservable inputs as of March 31, 2013 (in thousands):

Fair value at December 31, 2012	$	835
Fair value of derivative liability recorded on measurement date		3,124
Change in fair value recorded as a loss from change in fair value of derivative liability		737
Change in fair value recorded as a gain from change in fair value of warrant liability		(54	)
Fair value at March 31, 2013	$	4,642