Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2013

Financial assets and liabilities carried at fair value

Financial assets and liabilities carried at fair value as of September 30, 2013 and December 31, 2012 were classified as follows (in thousands):

	Fair Value Measurements at September 30, 2013 Using
	Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds ⁽¹⁾	$	57,756	$	-	$	-	$	57,756
Foreign exchange options ⁽³⁾		-		304		-		304
Total	$	57,756	$	304	$	-	$	58,060

Liabilities:
Contingent warrant liabilities	$	-	$	-	$	39,162	$	39,162

	Fair Value Measurements at December 31, 2012 Using
	Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds ⁽¹⁾	$	37,461	$	-	$	-	$	37,461
U.S. treasury securities ⁽²⁾		39,987		-		-		39,987
Foreign exchange options ⁽³⁾		-		488		-		488
Total	$	77,448	$	488	$	-	$	77,936

Liabilities:
Contingent warrant liabilities	$	-	$	-	$	15,001	$	15,001

(1)

Included in cash and cash equivalents

(2)

Included in short-term investments

(3)

Included in other assets

Warrant liabilities fair value assumptions

The fair value of the contingent warrant liabilities was estimated using the following range of assumptions at September 30, 2013 and December 31, 2012:

	September 30, 2013			December 31, 2012
Expected volatility		40	%		40	%
Risk-free interest rate		0.1% - 0.7	%		0.3% - 0.7	%
Expected term	1.2 - 3.4 years			1.9 - 4.2 years

Summary of changes in fair value of Level 3 financial liabilities

The following table provides a summary of changes in the fair value of the Company’s Level 3 financial liabilities for the nine months ended September 30, 2013 (in thousands):

Contingent warrant liabilities	September 30, 2013
Balance at December 31, 2012		15,001
Reclassification of contingent warrant liability to equity upon exercise of warrants		(1,585	)
Net increase in fair value of contingent warrant liabilities upon revaluation		25,746
Balance at September 30, 2013		39,162

- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References+ Details