Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2016

The fair value of the Warrants at March 31, 2016 was determined by using option pricing models with the following assumptions:

	July 2015 Series A Warrants		February 2015 Warrants		October 2013 Warrants
Expected volatility		93.81%		94.20%		92.70%
Risk-free interest rates		1.04%		0.96%		0.80%
Expected life (in years)		4.3		3.9		2.5

Assets and liabilities measured at fair value on a recurring basis

The table below presents the Company’s assets and liabilities measured at fair value on a recurring basis as of March 31, 2016, aggregated by the level in the fair value hierarchy within which those measurements fall in accordance with ASC 820.

	Assets and Liabilities Measured at Fair Value on a Recurring Basis
(in thousands)	Level 1		Level 2		Level 3		Balance at March 31, 2016
Assets
Money market funds (included in Cash and cash equivalents)	$	1,943	$	—	$	—	$	1,943
Liabilities
Derivative instrument liabilities	$	—	$	—	$	2,051	$	2,051

Fair value measurements using significant unobservable inputs

The table below presents the activity within Level 3 of the fair value hierarchy for the three months ended March 31, 2016:

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

(in thousands)	Warrant Liability
Balance at December 31, 2015	$	3,785
Total change in the liability included in earnings		(1,672	)
Fair value of warrants issued		183
Fair value of warrants exercised		(245	)
Balance at March 31, 2016	$	2,051