Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2017

Schedule of assets and liabilities measured at fair value on a recurring basis

The following tables present the assets and liabilities the Company has measured at fair value on a recurring basis (in thousands):


			Fair Value Measurements at Reporting Date Using
			Quoted Prices in		Significant Other		Significant
			Active Markets for		Observable		Unobservable
			Identical Assets		Inputs		Inputs
	March 31, 2017		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash and cash equivalents:
Money market funds	$	86,428	$	86,428	$	—	$	—
U.S. Treasury securities		21,473		21,473		—		—
U.S. government-sponsored securities		19,979		—		19,979		—
Available-for-sale securities:
U.S. Treasury securities		68,980		68,980		—		—
U.S. government-sponsored securities		93,040		—		93,040		—
Convertible Note Hedges		150,509		—		—		150,509
Total assets measured at fair value	$	440,409	$	176,881	$	113,019	$	150,509
Liabilities:
Note Hedge Warrants	$	133,424	$	—	$	—	$	133,424
Contingent Consideration		79,273		—		—		79,273
Total liabilities measured at fair value	$	212,697	$	—	$	—	$	212,697


			Fair Value Measurements at Reporting Date Using
			Quoted Prices in		Significant Other		Significant
			Active Markets for		Observable		Unobservable
			Identical Assets		Inputs		Inputs
	December 31, 2016		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash and cash equivalents:
Money market funds	$	32,486	$	32,486	$	—	$	—
Available-for-sale securities:
U.S. Treasury securities		115,021		115,021		—		—
U.S. government-sponsored securities		136,191		—		136,191		—
Convertible Note Hedges		132,521		—		—		132,521
Total assets measured at fair value	$	416,219	$	147,507	$	136,191	$	132,521
Liabilities:
Note Hedge Warrants	$	113,237	$	—	$	—	$	113,237
Contingent Consideration		77,660		—		—		77,660
Total liabilities measured at fair value	$	190,897	$	—	$	—	$	190,897

Schedule of assumptions used in fair market valuations

The following inputs were used in the fair market valuation of the Convertible Note Hedges and Note Hedge Warrants as of March 31, 2017 and December 31, 2016:


	Three months ended						Year Ended
	March 31,						December 31,
	2017						2016
	Convertible			Note Hedge			Convertible			Note Hedge
	Note Hedges			Warrants			Note Hedges			Warrants
Risk-free interest rate (1)		2.0	%		2.0	%		2.0	%		2.1	%
Time to maturity		5.2			5.8			5.5			6.0
Stock price (2)	$	17.06		$	17.06		$	15.29		$	15.29
Strike price (3)	$	16.58		$	21.50		$	16.58		$	21.50
Common stock volatility (4)		45.4	%		45.9	%		47.4	%		45.8	%
Dividend yield		—	%		—	%		—	%		—	%

(1)

Based on U.S. Treasury yield curve, with terms commensurate with the terms of the Convertible Note Hedges and the Note Hedge Warrants.

(2)

The closing price of the Company’s Class A common stock on the last trading day of the quarter ended March 31, 2017 and December 31, 2016.

(3)

As per the respective agreements for the Convertible Note Hedges and Note Hedge Warrants.

(4)

Selected volatility based on historical volatility of the Company’s Class A common stock.

Schedule of the change in Level 3 convertible note derivatives

The following table reflects the change in the Company’s Level 3 convertible note derivatives from December 31, 2016 through March 31, 2017 (in thousands):


	Convertible		Note Hedge
	Note Hedges		Warrants
Balance at December 31, 2016	$	132,521	$	(113,237)
Change in fair value, recorded as a component of gain (loss) on derivatives		17,988		(20,187)
Balance at March 31, 2017	$	150,509	$	(133,424)

Schedule of changes in contingent consideration payable

The following table reflects the change in the Company’s Level 3 contingent consideration payable from December 31, 2016 through March 31, 2017 (in thousands):


	Contingent
	Consideration
Fair value at December 31, 2016	$	77,660
Changes in fair value		1,614
Payments/transfers to accrued expenses and other current liabilities		(1)
Fair value at March 31, 2017	$	79,273