Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2015

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 September 30, 2015 and December 31, 2014 by level within the fair value hierarchy (in thousands):



	September 30, 2015
	Level 1		Level 2		Level 3		Total
Financial Assets
Cash equivalents	$	2	$	17,525	$	—	$	17,527
Marketable securities	3,743		65,260		—		69,003
Total	$	3,745	$	82,785	$	—	$	86,530
Financial Liabilities
Derivative liabilities	$	—	$	—	$	56	$	56



	December 31, 2014
	Level 1		Level 2		Level 3		Total
Financial Assets
Cash equivalents	$	1,880	$	7,828	$	—	$	9,708
Marketable securities	4,897		159,722		—		164,619
Total	$	6,777	$	167,550	$	—	$	174,327
Financial Liabilities
Derivative liabilities	$	—	$	—	$	83	$	83

Summary of Level 3 Inputs to Monte Carlo

The following tables set forth the Level 3 inputs to the Monte Carlo simulation models that were used to determine the fair values of the embedded derivatives for the Notes:



Constant Inputs	2018 Notes		2019 Notes
Conversion rate	121.1240		75.7576
Conversion price	$	8.26	$	13.20
Maturity date of the Notes	February 1, 2018		October 1, 2019
Maturity date of early payment feature	November 1, 2016		January 1, 2018



Variable Inputs	September 30, 2015			September 30, 2015			December 31, 2014			December 31, 2014
	2018 Notes			2019 Notes			2018 Notes			2019 Notes
Stock price	$	2.60		$	2.60		$	2.58		$	2.58
Estimated credit spread	3,460 basis points			2,900 basis points			2,450 basis points			2,900 basis points
Estimated stock volatility	55		%	55		%	55		%	55		%

Estimated fair value of the embedded derivatives

Changes in certain inputs into the model can have a significant impact on changes in the estimated fair values of the embedded derivatives. The following table sets forth the estimated fair values of the embedded derivatives (in thousands):



	September 30, 2015		December 31, 2014
2018 Notes	$	11	$	35
2019 Notes	$	45	$	48

Change in Value of Warrant and Derivative Liability Unobservable Inputs Financial Instrument Reconciliation

The following table 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 September 30, 2015 (in thousands):




Fair value at December 31, 2014	$	83
Change in fair value of derivative liabilities of the Notes recorded as a gain	(27		)
Fair value at September 30, 2015	$	56