Fair Value Measurements

9 Months Ended

Sep. 30, 2015

Fair Value Disclosures [Abstract]

Fair Value Disclosures [Text Block]

4. Fair Value Measurements

The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of September 30, 2015 and December 31, 2014 (in thousands):

	Fair value measured at September 30, 2015
			Quoted prices in active		Significant other		Significant
	Fair value at		markets		observable inputs		unobservable inputs
	September 30, 2015		(Level 1)		(Level 2)		(Level 3)
Warrant liability	$	56,020	$	-	$	-	$	56,020

	Fair value measured at December 31, 2014
			Quoted prices in active		Significant other		Significant
	Fair value at		markets		observable inputs		unobservable inputs
	December 31, 2014		(Level 1)		(Level 2)		(Level 3)
Warrant liability	$	44,742	$	-	$	-	$	44,742

There were no transfers between Level 1, 2 or 3 during the nine month period ended September 30, 2015.

The following table presents changes in Level 3 liabilities measured at fair value for the nine month period ended September 30, 2015. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long-dated volatilities) inputs (in thousands).

	Warrant
	Liability
Balance – January 1, 2015	$	44,742
Change in fair value		12,362
Cashless warrants exercise		(521)
Warrants exercised for cash		(264)
Redeemable security settlement		(299)
Balance – September 30, 2015	$	56,020

The Company’s warrant liabilities are measured at fair value using the Monte Carlo simulation valuation methodology. A summary of weighted average (in aggregate) about significant unobservable inputs (Level 3 inputs) used in measuring the Company’s warrant liabilities that are categorized within Level 3 of the fair value hierarchy for the nine months ended September 30, 2015 is as follows:

Date of valuation	January 1, 2015			September 30, 2015
Strike price	$	3.54		$	3.51
Volatility (annual)		70.9	%		84.2	%
Risk-free rate		1.8	%		1.0	%
Contractual term (years)		5.0			3.4
Dividend yield (per share)		0	%		0	%

During fiscal 2015 approximately 184,000 warrants classified as liabilities were exercised as both cash and cashless exercises.  The warrants were marked to market through other income (expense) and the balances were reclassified as stockholder’ equity (deficit) at the point of exercise.  A summary of weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring warrant exercises through the nine months ended September 30, 2015 is as follows:

Date of valuation	2015 Warrants Exercises
Strike price	$	4.30
Volatility (annual)		74.6	%
Risk-free rate		0.5	%
Contractual term (years)		2.1
Dividend yield (per share)		0	%

The development and determination of the unobservable inputs for Level 3 fair value measurements and fair value calculations are the responsibility of the Company’s management.