Fair Value of Financial Instruments (Tables)

12 Months Ended

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



	December 31, 2015
	Level 1		Level 2		Level 3		Total
Financial Assets
Cash equivalents	$	3	$	18,900	$	—	$	18,903
Marketable securities	3,722		47,287		—		51,009
Total	$	3,725	$	66,187	$	—	$	69,912
Financial Liabilities
Derivative liabilities	$	—	$	—	$	82	$	82



	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	December 31, 2015			December 31, 2015			December 31, 2014			December 31, 2014
	2018 Notes			2019 Notes			2018 Notes			2019 Notes
Stock price	$	2.48		$	2.48		$	2.58		$	2.58
Estimated credit spread	4,685 basis points			3,978 basis points			2,450 basis points			2,900 basis points
Estimated stock volatility	55		%	55		%	55		%	55		%

Estimated Fair Value of the Embedded Derivative

The following table sets forth the estimated fair values of the embedded derivatives (in thousands):



	December 31, 2015		December 31, 2014
2018 Notes	$	26	$	35
2019 Notes	$	56	$	48