Common Stock Warrants

On November 25, 2014, the Company issued Warrants to purchase a total of 27,500 shares of common stock to SVB and Life Science Loans, LLC at an exercise price of $11.04 per share in connection with the Second Loan Modification Agreement (See Note 6). In connection with the Company's drawdown of an additional $5.0 million pursuant to the Loan Agreement in May 2015, the Warrants automatically became exercisable for the purchase of an additional 27,500 shares of common stock at a per share exercise price of $11.83. The Warrants are exercisable immediately and have a ten-year life. The Warrants were initially valued at $0.3 million each using the Black-Scholes option-pricing model. The following assumptions were used in valuing the Warrants:



	May 11, 2015		November 25, 2014
Risk-free interest rate	2.28	%	2.27	%
Expected dividend yield	—	%	—	%
Expected term (in years)	10		10
Expected volatility	94.60	%	79.28	%

On December 2, 2014, the Company issued 871,840 warrants to purchase shares of common stock at an exercise price of $15.00 per share (the “PIPE Warrants”) in connection with a private placement of common stock (See Note 8). The PIPE Warrants are exercisable immediately and have a three-year life. Upon certain events, the Company is required to settle the PIPE Warrants for cash. As a result, the Company has classified the PIPE Warrants as a liability.

The Company allocated $3.0 million to the PIPE Warrants with the residual proceeds allocated to the common stock. The fair value of the PIPE Warrants was determined using the Black-Scholes option pricing model. The fair value of the PIPE Warrants is re-measured at each reporting date using then-current assumptions With changes in fair value charged to other income (expense) on the statement of operations and comprehensive loss. As of December 31, 2015 and 2014, the PIPE Warrants were valued using the Black-Scholes option-pricing model at $0.1 million and $3.2 million, respectively. The following assumptions were used in valuing the PIPE Warrants:



	December 31, 2015		December 31, 2014		December 2, 2014
Risk-free interest rate	1.06	%	1.10	%	0.96	%
Expected dividend yield	—	%	—	%	—	%
Expected term (in years)	1.92		2.92		3
Expected volatility	70.67	%	56.79	%	57.28	%

The change in fair value of $(3.1) million and $0.2 million was recorded as other (income) expense in the accompanying statement of operations for the year ended December 31, 2015 and 2014, respectively. As of December 31, 2015, none of the PIPE Warrants had been exercised.