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Assets and Liabilities Measured at Fair Value
 12 Months Ended
Dec. 31, 2011
Assets and Liabilities Measured at Fair Value [Abstract]  
Assets and Liabilities Measured at Fair Value
(6)
Assets and Liabilities Measured at Fair Value
 
Derivative Financial Instruments
As disclosed in Note 3, the Company allocated proceeds to the warrants issued in connection with a private placement and recent public offering that were classified as liabilities and accounted for as a derivative instrument in accordance with FASB ASC 815.  The valuation of the warrants is determined using an option pricing model. This model uses inputs such as the underlying price of the shares issued when the warrant is exercised, volatility, risk free interest rate and expected life of the instrument.   The Company has determined that the warrant derivative liability should be classified within Level 3 of the fair-value hierarchy by evaluating each input for the option pricing model against the fair-value hierarchy criteria and using the lowest level of input as the basis for the fair-value classification as called for in FASB ASC 820. There are six inputs: closing price of Delcath stock on the day of evaluation; the exercise price of the warrants; the remaining term of the warrants; the volatility of Delcath's stock over that term; annual rate of dividends; and the riskless rate of return. Of those inputs, the exercise price of the warrants and the remaining term are readily observable in the warrant agreements. The annual rate of dividends is based on the Company's historical practice of not granting dividends. The closing price of Delcath stock would fall under Level 1 of the fair-value hierarchy as it is a quoted price in an active market (820-10). The riskless rate of return is a Level 2 input as defined in 820-10, while the historical volatility is a Level 3 input as defined in FASB ASC 820. Since the lowest level input is a Level 3, Delcath determined the warrant derivative liability is most appropriately classified within Level 3 of the fair value hierarchy.
 
Money Market Funds and Treasury Bills
Cash and cash equivalents includes a money market account valued at approximately $25.4 million. The fair market value of certificates of deposit at December 31, 2011 was $4.97 million.
 
The Company has determined that the inputs associated with the fair value determination are based on quoted prices (unadjusted) and as a result the investments are classified within Level 1 of the fair value hierarchy.
 
The table below presents the Company's assets and liabilities measured at fair value on a recurring basis as of December 31, 2011 and 2010, aggregated by the level in the fair value hierarchy within which those measurements fall.

Assets and Liabilities Measured at Fair Value on a Recurring Basis
 
 (in thousands)
 
Level 1
  
Level 2
  Level 3  
Balance at
December 31,
 
   
2011
  
2010
  
2011
  
2010
  2011  2010  
2011
  
2010
 
Assets
                           
Money market funds
 $25,417  $45,407   -   -   -   -  $25,417  $45,407 
Marketable equity securities
  -   20   -   -   -   -   -   20 
Liabilities
                                
Derivative instrument liabilities
  -   -   -   -  $2,439  $ 18,005  $2,439  $18,005 
 
Fair Value Measurements Using Significant Unobservable
Inputs (Level 3)
 
(in thousands)
 
Derivative
 
Balance at January 1, 2010
 $11,207 
Total increase in the liability included in earnings
  15,951 
Total liability reclassified to additional paid in capital upon exercise of warrants
  (9,153)
Balance at December 31, 2010
 $18,005 
Total decrease in the liability included in earnings
  (15,566)
Balance at December 31, 2011
 $2,439