Fair Value Measurments (Tables)
 6 Months Ended
Jun. 30, 2015
Fair Value Measurements.  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

 

The following table summarizes the financial instruments measured at fair value on a recurring basis in the consolidated balance sheets (in thousands):

 

Balance at June 30, 2015

 

Total

 

(Level 1)

 

(Level 2)

 

(Level 3)

 

 

 

 

 

 

 

 

 

 

 

Common stock warrant liability

 

$
6,982 

 

$

—

 

$

—

 

$
6,982 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common stock warrant liability

 

$
9,418 

 

$

—

 

$

—

 

$
9,418 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assumptions used to calculate common stock warrants

 

 

At June 30, 2015

 

At December 31, 2014

 

 

 

 

 

 

 

Risk-free interest rate

 

0.28%-1.375%

 

0.21%-1.35%

 

Volatility

 

52.92%-134.4%

 

119.16%-136.62%

 

Expected average term

 

0.92-3.55

 

1.42-4.04

 

 

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

 

The following table shows reconciliations of the beginning and ending balances for financial instruments measured at fair value on a recurring basis using significant unobservable inputs (in thousands):

 

 

 

Fair Value

 

 

 

Measurement Using

 

 

 

Significant

 

 

 

Unobservable Inputs

 

 

 

Three months ended

 

Six months ended

 

Common stock warrant liability

 

June 30, 2015

 

June 30, 2014

 

June 30, 2015

 

June 30, 2014

 

 

 

 

 

 

 

 

 

 

 

Beginning of period

 

$
7,649

 

$
25,742

 

$
9,418

 

$
28,830

 

Change in fair value of common stock warrants

 
(667

)
(9,577

)
(2,436

)
58,856

 

Issuance of common stock warrants

 

—

 

—

 

—

 
11,773

 

Exercise of common stock warrants

 

—

 
(36

)

—

 
(83,330

)

 

 

 

 

 

 

 

 

 

 

End of period

 

$
6,982

 

$
16,129

 

$
6,982

 

$
16,129