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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2015

Schedule of Liabilities Measured at Fair Value on a Recurring Basis

Information about the liabilities measured at fair value on a recurring basis as of September 30, 2015 and December 31, 2014, and the input categories associated with those liabilities, is as follows:


	September 30, 2015
	Fair Value Measurements Using
	Level 1		Level 2		Level 3		Total
Liabilities:
Embedded compound derivative	$	—	$	—	$	11	$	11


	December 31, 2014
	Fair Value Measurements Using
	Level 1		Level 2		Level 3		Total
Liabilities:
Preferred stock warrants	$	—	$	—	$	1,309	$	1,309

Summary of Quantitative Information about Fair Value Measurements, Including the Range of Assumptions for the Significant Unobservable Inputs

The following table provides quantitative information about the fair value measurements, including the range of assumptions for the significant unobservable inputs used in the hybrid method valuations of the warrant liability and “with and without” method used for the embedded compound derivative:


		At December 31, 2014
Time to liquidity event		0.50 years
Risk-free interest rate		0.12%
Volatility		60%
Minority discount		10%
Discount for lack of marketability		23%

Schedule of Significant Assumption Used In Model Is Probability

The significant assumption used in the model is the probability of the following scenarios occurring:


	At Issuance Date	At September 30, 2015
Probability of an event of default	10%	*
Prepayment penalties	1.0% -3.0%	*
End of term payment	$245,000	*
Risk-free interest rate	1.01%	*

*	Management determined that there were no changes in the assumptions underlying the value of the derivative instrument between the date of issuance, June 16, 2015, and September 30, 2015.

Schedule of Preferred Stock Warrant Liability and Derivative Liability Categorized with Level 3

A rollforward of the preferred stock warrant liability and derivative liability categorized with Level 3 inputs is as follows:


	Preferred Stock Warrants			Derivative Instruments
Balance — December 31, 2014	$	1,309		$	—
Fair value at issuance date		—			1,558
Change in fair value		(1,309	)		2,291
Extinguishment on conversion of convertible notes		—			(3,838	)

Balance — September 30, 2015	$	—		$	11

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

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