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Financial instruments
12 Months Ended
Dec. 31, 2015
Investments, All Other Investments [Abstract]  
Financial instruments

11. Financial instruments

Securities classified as available for sale

The Company’s short-term investments and long-term investments consist of available-for-sale securities as follows:

 

December 31, 2015    Amortized cost      Gross
unrealized
gains
     Gross
unrealized
losses
     Fair value  

Short-term investments:

           

U.S. treasury securities

   $ 33,014       $ —         $ (61    $ 32,953   

U.S. government agency securities

     2,003         —           —           2,003   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 35,017       $ —         $ (61    $ 34,956   
  

 

 

    

 

 

    

 

 

    

 

 

 

Long-term investments:

           

U.S. government agency securities

   $ 38,687       $ —         $ (229    $ 38,458   
  

 

 

    

 

 

    

 

 

    

 

 

 

Contractual maturities:

           

Due within one year

   $ 35,017             $ 34,956   

Due after one year through two years

     38,687               38,458   

 

December 31, 2014    Amortized cost      Gross
unrealized
gains
     Gross
unrealized
losses
     Fair value  

Short-term investments:

           

U.S. treasury securities

   $ 12,199       $ —         $ (5    $ 12,194   

U.S. government agency securities

     11,996         1         —           11,997   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 24,195       $ 1       $ (5    $ 24,191   
  

 

 

    

 

 

    

 

 

    

 

 

 

Long-term investments:

           

U.S. government agency securities

   $ 2,003       $ —         $ —         $ 2,003   
  

 

 

    

 

 

    

 

 

    

 

 

 

Contractual maturities:

           

Due within one year

   $ 24,195             $ 24,191   

Due after one year through two years

     2,003               2,003   

The aggregate estimated fair value of the Company’s investments with unrealized losses are as follows:

 

     Period of continuous unrealized loss  
     12 months or less      Greater than 12 months  
December 31, 2015    Fair value      Gross
unrealized
losses
     Fair value      Gross
unrealized
losses
 

U.S. treasury securities

   $ 32,953       $ (61      NA         NA   
  

 

 

    

 

 

    

 

 

    

 

 

 

U.S. Government agency securities

     38,458         (229      N/A         N/A   
  

 

 

    

 

 

    

 

 

    

 

 

 

December 31, 2014

   $ 12,194       $ (5      NA         NA   
  

 

 

    

 

 

    

 

 

    

 

 

 

Fair value of financial instruments

The fair value of the Company’s financial instruments are determined according to a fair value hierarchy that prioritizes the inputs and assumptions used, and the valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).

 

The determination of a financial instrument’s level within the fair value hierarchy is based on an assessment of the lowest level of any input that is significant to the fair value measurement. The Company considers observable data to be market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

The carrying amounts of certain of the Company’s financial instruments including cash, cash equivalents, accounts and other amounts receivable, accounts payable and other liabilities, approximate their fair values because of their nature and/or short maturities. The Company holds short and long-term investments that are classified as available-for-sale securities, which are measured at fair value determined on a recurring basis according to the fair value hierarchy.

The following tables present the fair value of our financial instruments that are measured at fair value on a recurring basis:

 

     QUOTED PRICES IN
ACTIVE MARKETS
FOR IDENTICAL
ASSETS

(LEVEL 1)
     OTHER
OBSERVABLE
INPUTS

(LEVEL 2)
     SIGNIFICANT
UN-
OBSERVABLE
INPUTS

(LEVEL 3)
    TOTAL  

BALANCES – December 31, 2015

     

Short-term investments – U.S. treasury securities

   $ 32,953         —           —        $ 32,953   

Short-term investments – U.S. government agency securities

     2,003         —           —          2,003   

Long-term investments – U.S. treasury securities

     38,458         —           —          38,458   

Long-term investments – U.S. government agency securities

     —           —           —          —     

Bank loan warrant derivative liabilities

     —           —           (124     (124
  

 

 

    

 

 

    

 

 

   

 

 

 
   $ 73,414       $ —         $ (124   $ 73,290   
  

 

 

    

 

 

    

 

 

   

 

 

 

BALANCES – December 31, 2014

     

Short-term investments – U.S. treasury securities

   $ 12,194         —           —        $ 12,194   

Short-term investments – U.S. government agency securities

     11,997         —           —          11,997   

Investments – U.S. treasury securities

     —           —           —          —     

Investments – U.S. government agency securities

     2,003         —           —          2,003   

Bank loan warrant derivative liabilities

     —           —           (72     (72
  

 

 

    

 

 

    

 

 

   

 

 

 
   $ 26,194       $ —         $ (72   $ 26,122   
  

 

 

    

 

 

    

 

 

   

 

 

 

Level 1 instruments, which include investments that are valued based on quoted market prices in active markets, consisted of U.S. Treasury and U.S. government agency securities.

Level 2 instruments, which include investments for which all significant inputs are observable, consisted of bank term deposits.

 

Level 3 instruments consisted of the Company’s preferred stock embedded feature and warrants which are accounted for as derivative liabilities. The Company used Level 3 inputs for the valuation methodology of the derivative liabilities. The estimated fair values were computed using a Black-Scholes option pricing model which incorporates a number of assumptions and judgments to estimate the fair value of these derivative liabilities including the fair value per share of the underlying stock, remaining contractual term of the warrants and redeemable convertible preferred stock, risk-free interest rate, expected dividend yield, credit spread, and expected volatility of the underlying stock. The derivative liabilities are adjusted to reflect estimated fair value at each period end, with any decrease or increase in the estimated fair value being recorded in change in fair value of derivative liabilities:

Fair value of significant unobservable inputs (Level 3):

 

     BANK LOAN
WARRANT
DERIVATIVE
LIABILITIES
 

BALANCES – December 31, 2014

   $ 72   

Change in fair value of derivative liabilities

     52   
  

 

 

 

BALANCES – December 31, 2015

   $ 124   
  

 

 

 

There were no transfers between Levels 1, 2, and 3 during the years ended December 31, 2015 and December 31, 2014.

At December 31, 2015, the Company had short-term investments consisting of available for sale securities of $34,956 and long-term investments consisting of available for sale securities of $38,458. Total gains for securities were $96 as of December 31, 2015. The Company’s long-term investments had contractual maturities of less than 24 months.