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Common Stock Warrant Liability (Tables)
 9 Months Ended
Sep. 30, 2013
Changes in Fair Value of Common Stock Warrant Liability

The following table presents changes in the fair value of the common stock warrant liability during the periods indicated:

 

 

Three Months Ended September 30,

 

  

Nine Months Ended September 30,

 

(Dollars in thousands)

2013

 

  

2012

 

  

2013

 

  

2012

 

Beginning balance

$

  7,500

  

  

$

  2,000

  

  

$

  2,350

  

  

$

  1,403

  

Change in fair value of common stock warrant liability

 

  3,300

  

  

 

  850

  

  

 

  8,450

  

  

 

  1,447

  

Ending balance

$

  10,800

  

  

$

  2,850

  

  

$

  10,800

  

  

$

  2,850

  

 
Summary of Assumptions Used to Estimate Fair Value of Common Stock Warrant Liability

The following table summarizes the assumptions used to estimate the fair value of the common stock warrant liability during the periods indicated, as if the Reverse Split occurred on December 31, 2011:

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

(Weighted averages)

2013

 

 

2012

 

 

2013

 

 

2012

 

Expected term (years)

 

  4.1

  

 

 

  7.2

  

 

 

  5.3

  

 

 

  7.6

  

Volatility

 

  55.0

%

 

 

  51.0

%

 

 

  53.0

%

 

 

  49.5

%

Risk-free rate

 

  0.99

%

 

 

  1.07

%

 

 

  1.12

%

 

 

  1.36

%

Exercise multiple

 

  2.8

  

 

 

  2.8

  

 

 

  2.8

  

 

 

  2.8

  

Market price of Signature common stock

$

  12.00

  

 

$

  4.60

  

 

$

  8.90

  

 

$

  3.60

  

Exercise price

$

  6.85

  

 

$

  6.85

  

 

$

  6.85

  

 

$

  6.85