Warrants

The Company accounts for stock warrants as either equity instruments or derivative liabilities depending on the specific terms of the warrant agreement. See Note 3 for further details on accounting policies related to the Company's stock warrants. As of December 31, 2015 and 2014, all of the Company's outstanding stock warrants were classified as derivative liabilities.

Liability-classified Warrants

The following table summarizes outstanding liability-classified warrants to purchase common stock as of:



	Number of Warrants
	December 31, 2015	December 31, 2014	Exercise Price		Expiration Dates
Issued in Series A, B and D Preferred Stock offerings (1)	1,970,594	2,247,118	$	6.25	Oct 2015 - Dec 2016
Issued in March 2010 financing	319,789	393,416	$	6.25	Mar 2016
Issued in June 2011 financing	6,113	6,113	$	22.50	Jun 2016
Issued in August 2011 financing	565,759	565,759	$	18.75	Aug 2016
Issued to placement agents in August 2011 financing	50,123	50,123	$	13.635	Aug 2016
Issued in Series B, D and E Preferred Stock offerings (2)	60,000	76,120	$	2.50	Nov 2015 - Dec 2017
Issued with Convertible Notes	1,125,578	1,125,578	$	2.50	Jun 2018
Issued in Series E Preferred Stock offering	1,568,823	1,568,823	$	7.50	Dec 2018
Total	5,666,779	6,033,050


(1)	As of December 31, 2015, all Series A warrants had expired.


(2)	As of December 31, 2015, the Series B and D warrants in this group had either been exercised or expired.

The table below is a summary of the Company's warrant activity for the year ended December 31, 2015.



	Number of warrants		Weighted average exercise price
Outstanding at December 31, 2014	6,033,050		$	7.08
Granted	—		—
Exercised (1)	(90,947	)	6.20
Expired	(275,324	)	6.05
Outstanding at December 31, 2015	5,666,779		$	7.14


(1)	All warrants were exercised on a cashless basis resulting in the issuance of 11,584 shares of the Company's common stock.

The foregoing warrants are recorded as liabilities at their estimated fair value at the date of issuance, with subsequent changes in estimated fair value recorded in "Warrant revaluation and other finance income (expense)" in the Company’s Consolidated Statement of Operations in each subsequent period. The change in estimated fair value of the Company's warrant liability for the years ended December 31, 2015, 2014 and 2013 resulted in non-cash income of $2.9 million, non-cash income of $3.9 million, and non-cash expense of $1.1 million, respectively. The Company utilizes the Monte Carlo simulation valuation method to value its liability-classified warrants.

The estimated fair value of these warrants is determined using Level 3 inputs. Inherent in the Monte Carlo valuation model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock based on the median of peer group historical volatility for a period that matches the weighted average of the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the weighted average of the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero.

The following table summarizes the calculated aggregate fair values, along with the assumptions utilized in each calculation:



($ in thousands, except per share data)	December 31, 2015			December 31, 2014			December 31, 2013
Calculated aggregate value	$	8,275		$	11,286		$	15,216
Weighted average exercise price per share of warrant	$	7.14		$	7.08		$	7.08
Closing price per share of common stock	$	4.55		$	2.59		$	4.06
Volatility	85.2		%	67.6		%	70.0		%
Weighted average remaining expected life	1 year, 8 months			2 years, 7 months			3 years, 6 months
Risk-free interest rate	0.98		%	0.86		%	1.20		%
Dividend yield	—		%	—		%	—		%