Fair value of financial instruments (Tables)

3 Months Ended

Mar. 31, 2015

Estimated Fair Value of Private Placement Warrants Publicly Traded Stock Pricing Approach

As of March 31, 2015 and December 31, 2014, the Company estimated the fair value of its liability for Private Placement Warrants with a publicly traded stock pricing approach using the Black-Scholes option pricing model. The inputs of the Black-Scholes option pricing model included the following:


	March 31, 2015			December 31, 2014
Market value of the Company’s common stock	$	64.29		$	51.61
Exercise price	$	13.00		$	13.00
Risk-free interest rate		0.28	%		0.39	%
Estimated price volatility		55.00	%		55.00	%
Contractual term		1.08 years			1.33 years
Dividend yield		—			—

Summary of Change in Estimated Fair Value of Company's Level 3 Financial Instrument

The following table summarizes the change in the estimated fair value of the Company’s Level 3 Private Placement Warrants liability in the three months ended March 31, 2015:


Balance at December 31, 2014	$	11,036
Change in the value of private placement warrants		3,614

Balance at March 31, 2015	$	14,650

Financial Liability Measured at Fair Value on Recurring Basis

The following table summarizes fair value measurements by level as of March 31, 2015, for the Company’s level 3 financial liabilities measured at fair value on a recurring basis:


	Level 1		Level 2		Level 3
Private placement warrants liability		—		—	$	14,650

The following table summarizes fair value measurement by level as of December 31, 2014, for the Company’s level 3 financial liability measured at fair value on a recurring basis:


	Level 1		Level 2		Level 3
Private placement warrants liability		—		—	$	11,036

- Definition

Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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- 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.

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