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Assets and Liabilities Measured at Fair Value
 3 Months Ended
Mar. 31, 2012
Assets and Liabilities Measured at Fair Value [Abstract]  
Assets and Liabilities Measured at Fair Value
Note 4:
Assets and Liabilities Measured at Fair Value
 
Derivative warrant liability
 
Derivative warrant liability
 
The Company allocated part of the proceeds of a private placement and a public offering of the Company's common stock to warrants issued in connection with such transactions. The Company determined that these warrants should be classified as liabilities rather than equity.  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 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 820-10-35. There are six inputs: the closing price of the Company's common 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 our historical practice of not granting dividends. The closing price of the Company's common stock would fall under Level 1 of the fair-value hierarchy as it is a quoted price in an active market (820-10-35-40). The riskless rate of return is a Level 2 input as defined in FASB ASC 820-10-35-48, while the historical volatility is a Level 3 input as defined in FASB ASC 820-10-55-22. Since the lowest level input is a Level 3, the Company determined the warrant derivative liability is most appropriately classified within Level 3 of the fair value hierarchy.
 
In September 2007, the Company completed the sale of 3,833,108 shares of its common stock and the issuance of warrants to purchase 1,916,554 common shares (the "2007 Warrants") in a private placement to institutional and accredited investors. The Company received net proceeds of $13.3 million in this transaction. The Company allocated $4.3 million of those proceeds to the 2007 Warrants (see below). The 2007 Warrants were initially exercisable at $4.53 per share beginning six months after the issuance thereof and will expire on September 21, 2012. As required by the 2007 Warrant agreement, both the exercise price and number of warrants were adjusted following the Company's June 9, 2009 sale of common stock and were further adjusted following the Company's March 19, 2012 sale of common stock under the "at the market" equity offering program as discussed in more detail in Note 5 of this filing. At March 31, 2012, the 2007 Warrants were exercisable at $3.03 per share with 1,668,298 warrants outstanding. The shares and warrants were issued pursuant to an effective registration statement on Form S-3.
 
In June 2009, the Company completed the sale of 869,565 shares of its common stock and the issuance of warrants to purchase 1,043,478 common shares (the "2009 Warrants") pursuant to a subscription agreement with a single investor. The Company received gross proceeds of $3.0 million, with net cash proceeds after related expenses from this transaction of approximately $2.7 million. Of those proceeds, the Company allocated an estimated fair value of $2.2 million to the 2009 Warrants (see below). As required by the 2009 Warrant agreement, the exercise price of the warrants was adjusted following the Company's March 19, 2012 sale of common stock under the "at the market" equity offering program as discussed in more detail in Note 5 of this filing. As of March 31, 2012, the 2009 Warrants were exercisable at $3.03 per share with 1,043,478 warrants outstanding.  The 2009 Warrants have a five-year term. The shares and warrants were issued pursuant to an effective registration statement on Form S-3.
 
The $2.2 million in proceeds allocated to the 2009 Warrants and the $4.3 million in proceeds allocated to the 2007 Warrants are classified as derivative instrument liabilities. The terms of the warrants provide for potential adjustment in the exercise price and are therefore considered to be derivative instrument liabilities that are subject to mark-to-market adjustment each period. As a result, for the three month period ended March 31, 2012, the Company recorded pre-tax derivative instrument expense of $0.3 million. The resulting derivative instrument liabilities totaled $2.9 million at March 31, 2012. Management expects that the warrants will either be exercised or expire worthless, at which point the then existing derivative instrument liabilities will be credited to stockholders' equity. The fair value of the Warrants at March 31, 2012 was determined by using an option pricing model assuming a risk free interest rate of 0.37% for the 2009 Warrants and 0.14% for the 2007 Warrants, volatility of 82.83% for the 2009 Warrants and 90.74% for the 2007 Warrants and an expected life equal to the contractual life of the warrants (June 2014 and September 2012, respectively).
 
Money Market Funds
 
Cash and cash equivalents includes a money market account valued at $16.7 million. The fair market value of certificates of deposit at March 31, 2012 was $3.7 million.
 
The table below presents the Company's assets and liabilities measured at fair value on a recurring basis as of March 31, 2012, 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 at March 31, 2012
(in thousands)

   
Level 1
 
Level 2
 
Level 3
  
Balance at
March 31,
2012
 
Assets
           
Money market funds
 $16,712       $16,712 
Total Assets
 $16,712       $16,712 
Liabilities
             
Warrant liability
      $2,930  $2,930 
Total Liabilities
      $2,930  $2,930 

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
(in thousands)

   
Warrant Liability
 
Beginning balance
 $2,439 
Total increase in the liability included in earnings
  338 
Fair value of warrants issued
  153 
Ending balance
 $2,930