Fair Value of Financial Instruments

3 Months Ended

Mar. 31, 2015

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

3. Fair Value of Financial Instruments

The fair value hierarchy prioritizes the inputs to valuation techniques used to measure fair value into three broad levels as follows: Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities; Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and Level 3 inputs are unobservable inputs that reflect the Company’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.

The following table presents information about the Company’s financial assets and liabilities that have been measured at fair value, and indicates the fair value hierarchy of the valuation inputs utilized to determine such fair value. The Company determines the fair value of the common stock warrants using Level 3 inputs.

The following table summarizes the assets measured at fair value on a recurring basis at March 31, 2015 (in thousands):

Description	March 31, 2015		Active Markets (Level 1)		Observable Inputs (Level 2)		Unobservable Inputs (Level 3)
Assets:
Cash and cash equivalents	$	45,549	$	45,549	$	—	$	—
Total	$	45,549	$	45,549	$	—	$	—

Description	March 31, 2015		Active Markets (Level 1)		Observable Inputs (Level 2)		Unobservable Inputs (Level 3)
Liabilities:
Warrant liability	$	1,915	$	—	$	—	$	1,915
Total	$	1,915	$	—	$	—	$	1,915

The following table summarizes the assets and liabilities measured at fair value on a recurring basis at December 31, 2014 (in thousands):

Description	December 31, 2014		Active Markets (Level 1)		Observable Inputs (Level 2)		Unobservable Inputs (Level 3)
Assets:
Cash and cash equivalents	$	54,059	$	54,059	$	—	$	—
Total	$	54,059	$	54,059	$	—	$	—

Description	December 31, 2014		Active Markets (Level 1)		Observable Inputs (Level 2)		Unobservable Inputs (Level 3)
Liabilities:
Warrant liability	$	3,219	$	—	$	—	$	3,219
Total	$	3,219	$	—	$	—	$	3,219

The Company measures the fair value of the warrants classified as a liability at each reporting date using the Black-Scholes option pricing model using the following assumptions:

	March 31, 2015			December 31, 2014
Risk-free interest rate		0.89	%		1.10	%
Expected dividend yield		0.00	%		0.00	%
Expected term (in years)		2.67			2.92
Expected volatility		62.19	%		56.79	%

The following table sets forth a summary of changes in the fair value of the Company’s preferred stock warrant liability, which represented a recurring measurement classified within Level 3 of the fair value hierarchy, wherein fair value was estimated using significant unobservable inputs (in thousands):

Beginning balance, January 1, 2015	$	3,219
Change in fair value		(1,304	)
Ending balance, March 31, 2015	$	1,915

The carrying amounts reflected in the balance sheets for restricted cash, prepaid expenses and other current assets, other assets, accounts payable and accrued expenses approximate their fair values at March 31, 2015 and December 31, 2014, due to their short-term nature. At March 31, 2015, the carrying value of the notes payable approximates fair value, which was determined using Level 3 inputs, including a quoted rate.

There have been no changes to the valuation methods during the three months ended March 31, 2015. The Company evaluates transfers between levels at the end of each reporting period. There were no transfers of assets or liabilities between levels during the three months ended March 31, 2015.