Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2015

Fair Value of Financial Instruments [Abstract]

Assets and liabilities measured at fair value

The tables below categorize assets and liabilities measured at fair value on a recurring basis for the periods presented:

	Fair Value		Fair value measurement using
	June 30, 2015		Level 1		Level 2		Level 3
Assets:
Cash and cash equivalents	$	26,091	$	26,091	$	–	$	–
Certificate of deposit		225		225		–		–
Total Assets	$	26,316	$	26,316	$	–	$	–
Liabilities:
Common stock warrant liability	$	820	$	–	$	–	$	820

	Fair Value		Fair value measurement using
	December 31, 2014		Level 1		Level 2		Level 3
Assets:
Cash and cash equivalents	$	44,711	$	44,711	$	–	$	–
Certificate of deposit		225		225		–		–
Total Assets	$	44,936	$	44,936	$	–	$	–
Liabilities:
Common stock warrant liability	$	1,258	$	–	$	–	$	1,258

Common stock warrants measured at Level 3 inputs on recurring basis

The table below summarizes the activity of Level 3 inputs measured on a recurring basis for the six months ended June 30, 2015 and 2014:

(in thousands)	Fair Value Measurements of Common Stock Warrants Using Significant Unobservable Inputs (Level 3)
Balance at December 31, 2014	$	1,258
Change in fair value of common stock warrant liability		(438	)
Balance at June 30, 2015	$	820

(in thousands)	Fair Value Measurements of Common Stock Warrants Using Significant Unobservable Inputs (Level 3)
Balance at December 31, 2013	$	5,425
Exercise of warrants		(375	)
Change in fair value of common stock warrant liability		(1,826	)
Balance at June 30, 2014	$	3,224

Significant unobservable input assumption used for valuation

The significant unobservable inputs for a trinomial model used in the fair value measurement of the common stock warrants measured on a recurring basis are the historical volatility of our common stock market price, expected term of the applicable warrants, and the risk-free interest rate based on the U.S. Treasury yield curve in effect at the measurement date.  In addition to the significant unobservable inputs noted above, certain fair value measurements also take into account an assumption of the likelihood and timing of the occurrence of an event that would result in an adjustment to the exercise price in accordance with the anti-dilutive pricing provisions in certain of the warrants.  Any significant increases or decreases in the unobservable inputs, with the exception of the risk-free interest rate, may result in significantly higher or lower fair value measurements.

Significant Unobservable Input Assumptions of Level 3 Valuations	June 30, 2015	December 31, 2014
Historical volatility	82%	55% – 84%
Expected term (in years)	0.6	0.1 – 1.1
Risk-free interest rate	0.16%	0.03% – 0.31%