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Fair Value of Financial Assets and Liabilities - Derivative Instruments | 3 Months Ended
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Mar. 31, 2015
Derivative Assets (Liabilities), at Fair Value, Net, by Balance Sheet Classification [Abstract] |
Derivatives and Fair Value [Text Block] | 3. Fair Value of Financial Assets and Liabilities — Derivative Instruments ASC Topic 820, Fair Value Measurement (ASC 820), establishes a fair value hierarchy for instruments measured at fair value that distinguishes between assumptions based on market data (observable inputs) and the Company’s own assumptions (unobservable inputs). Observable inputs are inputs that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Company. Unobservable inputs are inputs that reflect the Company’s assumptions about the inputs that market participants would use in pricing the asset or liability, and are developed based on the best information available in the circumstances. ASC 820 identifies fair value as the exchange price, or exit price, representing the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. As a basis for considering market participant assumptions in fair value measurements, ASC Topic 820 establishes a three-tier fair value hierarchy that distinguishes among the following:
| ⋅ | Level 1—Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access.
| ⋅ | Level 2—Valuations based on quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active and models for which all significant inputs are observable, either directly or indirectly.
| ⋅ | Level 3—Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
To the extent that the valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the Company in determining fair value is greatest for instruments categorized in Level 3. A financial instrument's level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. Items measured at fair value on a recurring basis include common stock warrants and embedded derivatives related to the Company’s redeemable convertible preferred stock. During the periods presented, the Company has not changed the manner in which it values liabilities that are measured at fair value using Level 3 inputs. The following fair value hierarchy table presents information about each major category of the Company's financial liabilities measured at fair value on a recurring basis:
|  | Quoted Prices in Active Markets for Identical Items (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total |
March 31, 2015 |  |  |  |  |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |
Preferred B stock conversion liability |  | $ | — |  | $ | — |  | $ | 19,425,000 |  | $ | 19,425,000 |
Warrant liability |  |  | — |  |  | — |  |  | 14,727,000 |  |  | 14,727,000 |
Total liabilities |  | $ | — |  | $ | — |  | $ | 34,152,000 |  | $ | 34,152,000 |
December 31, 2014 |  |  |  |  |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |
Preferred B stock conversion liability |  | $ | — |  | $ | — |  | $ | 12,320,000 |  | $ | 12,320,000 |
Warrant liability |  |  | — |  |  | — |  |  | 5,826,000 |  |  | 5,826,000 |
Total liabilities |  | $ | — |  | $ | — |  | $ | 18,146,000 |  | $ | 18,146,000 |
There were no transfers between Level 1, Level 2 or Level 3 of the fair value hierarchy for the quarter ended March 31, 2015 and the year ended December 31, 2014. The following table sets forth a summary of changes in the fair value of the Company's Series B redeemable convertible preferred stock derivative and warrant liability, which represents a recurring measurement that is classified within Level 3 of the fair value hierarchy, wherein fair value is estimated using significant unobservable inputs:
|  | Warrant Liability |  | Preferred B Stock Conversion Liability |
Balance as of December 31, 2014 |  | $ | 5,826,000 |  | $ | 12,320,000 |
Issuance of warrants |  |  | 4,211,000 |  |  | — |
Changes in estimated fair value |  |  | 4,690,000 |  |  | 7,105,000 |
Balance as of March 31, 2015 |  | $ | 14,727,000 |  | $ | 19,425,000 |
The fair value of the warrants on the date of issuance and on each re-measurement date for warrants classified as liabilities is estimated using the Monte Carlo valuation model. For this liability, the Company develops its own assumptions that do not have observable inputs or available market data to support the fair value. This method of valuation involves using inputs such as the fair value of the Company’s common stock, stock price volatility, the contractual term of the warrants, risk–free interest rates and dividend yields. Due to the nature of these inputs, the valuation of the warrants is considered a Level 3 measurement. The following assumptions were used at March 31, 2015 and December 31, 2014:
|  | March 31, 2015 |  |  | December 31, 2014 |
|  |  |  |  |  | June |  |  | July |  |  | December |  |  | March |  |  |  |  |  |  | June |  |  | July |  |  | December |
|  | 2011 |  |  | 2013 |  |  | 2013 |  |  | 2013 |  |  | 2015 |  |  | 2011 |  |  | 2013 |  |  | 2013 |  |  | 2013 |
Volatility |  |  | 105 | % |  |  | 141 | % |  |  | 141 | % |  |  | 152 | % |  |  | 141 | % |  |  | 155 | % |  |  | 155 | % |  |  | 155 | % |  |  | 151 | %
Expected term (years) |  |  | 1.73 |  |  |  | 3.24 |  |  |  | 3.29 |  |  |  | 3.73 |  |  |  | 4.96 |  |  |  | 1.98 |  |  |  | 3.49 |  |  |  | 3.54 |  |  |  | 3.98 |
Risk-free interest rate |  |  | 0.48 | % |  |  | 0.95 | % |  |  | 0.96 | % |  |  | 1.07 | % |  |  | 1.36 | % |  |  | 0.67 | % |  |  | 1.23 | % |  |  | 1.25 | % |  |  | 1.37 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | %
Exercise price |  | $ | 0.46 |  |  | $ | 0.14 |  |  | $ | 0.14 |  |  | $ | 0.17 |  |  | $ | 0.215 |  |  | $ | 0.46 |  |  | $ | 0.14 |  |  | $ | 0.14 |  |  | $ | 0.25 |
Common stock closing price |  | $ | 0.30 |  |  | $ | 0.30 |  |  | $ | 0.30 |  |  | $ | 0.30 |  |  | $ | 0.30 |  |  | $ | 0.21 |  |  | $ | 0.21 |  |  | $ | 0.21 |  |  | $ | 0.21 |
The warrant liability is recorded on the Company's Balance Sheet and is marked-to-market at each reporting period, with the change in fair value recorded as a component of gain (loss) on warrant and derivative liabilities in the Statement of Operations. The fair value of the Series B redeemable convertible preferred stock derivative liability on each measurement date is estimated using the Monte Carlo valuation model. For this liability, the Company develops its own assumptions that do not have observable inputs or available market date to support the fair value. This method of valuation involves using inputs such as the fair value of the Company’s common stock, stock price volatility, the contractual term of the warrants, risk–free interest rates and dividend yields. Due to the nature of these inputs, the valuation of the Series B preferred conversion liability is considered a Level 3 measurement. The following assumptions were used at March 31, 2015 and December 31, 2014:
|  | March 31, 2015 |  |  | December 31, 2014 |
Volatility |  |  | 96 | % |  |  | 91 | %
Expected term (years) |  |  | 1.00 |  |  |  | 1.25 |
Risk-free interest rate |  |  | 0.26 | % |  |  | 0.36 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
Exercise price |  | $ | 0.14 |  |  | $ | 0.14 |
Common stock closing price |  | $ | 0.30 |  |  | $ | 0.21 |
The Series B preferred conversion liability is recorded on its own line on the Company's Balance Sheet and is marked-to-market each reporting period, with the change in fair value recorded as a component of gain (loss) on warrant and derivative liabilities in the Statement of Operations.

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- Definition The entire disclosure for derivatives and fair value of assets and liabilities. + References No definition available. + Details
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