Fair value

A derivative liability was recorded related to the Company’s series D-3 redeemable convertible preferred stock due to stated features allowing for redemption equal to the greater of the fair value per share of series D-3 redeemable convertible preferred stock, or the liquidation preference per share of series D-3 redeemable convertible preferred stock. The derivative instrument is recorded at its fair value, using an option pricing model, and is adjusted to fair value as of the end of each reporting period. Changes in the fair value of derivative instruments are recognized currently in the condensed consolidated financial statements. The Company has classified this derivative financial instrument as Level 3 in the fair value hierarchy. The Company continued to record adjustments to the fair value of the derivative liability until March 31, 2014, at which time the Company modified the terms of the series D-3 redeemable convertible preferred stock. As a result of the modifications, the Company reclassified the aggregate fair value of the liability to additional paid-in capital.

The following table includes a roll forward of the amounts for the three and nine months ended October 31, 2014 and 2013 for instruments classified within Level 3. The classification within Level 3 is based upon significance of the unobservable inputs to the overall fair value measurement.



	Three months ended October 31,				Nine months ended October 31,
(in thousands)	2014		2013		2014			2013
Balance at beginning of period	$	—	$	818	$	6,182		$	818
Loss on revaluation	—		109		735			109
Elimination of liability due to removal of FMV provision	—		—		(6,917		)	—
Balance at end of period	$	—	$	927	$	—		$	927

The following table summarizes the significant quantitative inputs and assumptions used for items categorized in Level 3 of the fair value hierarchy as of January 31, 2014:

Series D-3 redeemable convertible preferred stock derivative liability



	January 31, 2014
Market value of common stock on measurement date	$	4.06
Projected exercise price	$	2.64
Risk-free interest rate	0.06		%
Expected lives	180 days
Expected volatility	25.2		%
Probability of liquidation event	—		%

There are no other financial instruments that are considered Level 1 or Level 2 as of October 31, 2014 and January 31, 2014.