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Fair value measurements
 3 Months Ended
Mar. 31, 2015
Fair Value Disclosures [Abstract]  
Fair value measurements

5. Fair value measurements

The fair value of the Company’s financial assets and liabilities on a recurring basis were as follows:

 

(U.S. Dollars in thousands)

 

Balance

March 31,

2015

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Collective trust funds

 

$

1,679

 

 

$

—

 

 

$

1,679

 

 

$

—

 

Treasury securities

 

 

507

 

 

 

507

 

 

 

—

 

 

 

—

 

Certificates of deposit

 

 

1,260

 

 

 

1,260

 

 

 

—

 

 

 

—

 

Derivative securities

 

 

6,472

 

 

 

—

 

 

 

6,472

 

 

 

—

 

Equity securities

 

 

1,457

 

 

 

—

 

 

 

1,457

 

 

 

—

 

Debt securities

 

 

15,000

 

 

 

—

 

 

 

—

 

 

 

15,000

 

Total

 

$

26,375

 

 

$

1,767

 

 

$

9,608

 

 

$

15,000

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deferred compensation plan

 

$

(1,488

)

 

$

—

 

 

$

(1,488

)

 

$

—

 

Total

 

$

(1,488

)

 

$

—

 

 

$

(1,488

)

 

$

—

 

 

 

(U.S. Dollars in thousands)

 

Balance

December 31,

2014

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets

 

 

 

 

 

 

 

 

 

 

 

Collective trust funds

 

$

1,696

 

 

$

—

 

 

$

1,696

 

 

$

—

 

Treasury securities

 

 

586

 

 

 

586

 

 

 

—

 

 

 

—

 

Certificates of deposit

 

 

1,510

 

 

 

1,510

 

 

 

—

 

 

 

—

 

Derivative securities

 

 

2,825

 

 

 

—

 

 

 

2,825

 

 

 

—

 

Equity securities

 

 

1,457

 

 

 

—

 

 

 

1,457

 

 

 

—

 

Total

 

$

8,074

 

 

$

2,096

 

 

$

5,978

 

 

$

—

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deferred compensation plan

 

$

(1,886

)

 

$

—

 

 

$

(1,886

)

 

$

—

 

Total

 

$

(1,886

)

 

$

—

 

 

$

(1,886

)

 

$

—

 

Debt Securities

 

On March 4, 2015, the Company entered into an Option Agreement (the “Option Agreement”) with eNeura, Inc. (“eNeura”), a privately held medical technology company that is developing devices for the treatment of migraines. The Option Agreement provides the Company with an exclusive option to acquire eNeura (the “Option”) during the 18-month period following the grant of the Option. In consideration for the Option, (i) the Company paid a non-refundable $0.3 million fee to eNeura, and (ii) eNeura issued a Convertible Promissory Note (the “eNeura Note”) to the Company. The principal amount of the eNeura Note is $15.0 million and interest accrues at 8.0%. The eNeura Note will mature on the earlier of (i) March 4, 2019, or (ii) exercise of the Option. The investment in eNeura is recorded in other long-term assets, and is classified as an available for sale debt security, for which the fair value is based upon significant unobservable inputs, requiring the Company to develop its own assumptions, therefore the Company has categorized this asset as a Level 3 financial asset. Given the date of the transaction, as of March 31, 2015, the Company believes the initial amount of the investment approximates fair value.  

 

The following table provides a reconciliation of the beginning and ending balances for the debt securities measured at fair value using significant unobservable inputs (Level 3):

 

(U.S. Dollars in thousands)

 

2015

 

Balance at January 1

 

$

—

 

Additions to debt securities

 

 

15,000

 

Balance at March 31

 

$

15,000