Fair Value of Financial Instruments

9 Months Ended

Sep. 30, 2015

The following is a list of those assets and liabilities that are measured at fair value by hierarchy level:



	Fair Value Measurements Using
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value
As of September 30, 2015	(In Thousands)
U.S. Treasury securities and obligations of U.S. government agencies	$	41,404	$	26,819	$	—	$	68,223
Municipal debt securities	—		10,984		—		10,984
Corporate debt securities	—		177,343		—		177,343
Asset-backed securities	—		57,905		—		57,905
Cash and cash equivalents	132,791		—		—		132,791
Total assets	$	174,195	$	273,051	$	—	$	447,246
Warrant liability	$	—	$	—	$	1,899	$	1,899
Total liabilities	$	—	$	—	$	1,899	$	1,899



	Fair Value Measurements Using
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Fair Value
As of December 31, 2014	(In Thousands)
U.S. Treasury securities and obligations of U.S. government agencies	$	39,176	$	29,169	$	—	$	68,345
Municipal debt securities	—		11,963		—		11,963
Corporate debt securities	—		199,785		—		199,785
Asset-backed securities	—		56,408		—		56,408
Cash and cash equivalents	103,021		—		—		103,021
Total assets	$	142,197	$	297,325	$	—	$	439,522
Warrant liability	$	—	$	—	$	3,372	$	3,372
Total liabilities	$	—	$	—	$	3,372	$	3,372

The following is a roll-forward of Level 3 liabilities measured at fair value:



	For the nine months ended September 30,
Warrant Liability	2015			2014
	(In Thousands)
Balance, January 1	$	3,372		$	6,371
Change in fair value of warrant liability included in earnings	(1,473		)	(3,009		)
Issuance of common stock on warrant exercise	—			(13		)
Gain on settlement of warrants	—			(37		)
Balance, September 30	$	1,899		$	3,312

We revalue the warrant liability quarterly using a Black-Scholes option-pricing model, in combination with a binomial model, and we value the pricing protection features within the warrants using a Monte-Carlo simulation model. As of September 30, 2015, the assumptions used in the option-pricing model were as follows: a common stock price as of September 30, 2015 of $7.60, risk free interest rate of 1.56%, expected life of 6.00 years, expected volatility of 32.7% and a dividend yield of 0%. The change in fair value is primarily attributable to a decline in the price of our common stock from December 31, 2014 to September 30, 2015.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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