Annual report pursuant to Section 13 and 15(d)

Fair Value of Warrants (Tables)

v3.3.1.900
Fair Value of Warrants (Tables)
12 Months Ended
Dec. 31, 2015
Fair Value Disclosures [Abstract]  
Assumptions Used in Computing Fair Value of Derivative Warrants
The following tables summarize the assumptions used in computing the fair value of derivative warrants subject to fair value accounting at the date of issue during the years ended December 31, 2015, 2014 and 2013 and at December 31, 2015, December 31, 2014, December 31, 2013, and April 5, 2013 (IPO valuation date). In computing the fair value of the warrants, if the stated exercise price of the warrants exceeded the assumed value of the Company stock at the date the fair value was being computed, the exercise price and number of shares (if applicable) underlying the warrants were adjusted to reflect an assumed trigger of the price and/or share adjustment features related to the applicable warrants. Such adjustments were only applicable to 2013 due to the relative price of the warrants and the assumed Company stock price:
 
Debt Guarantee
 
Exercised During the Year Ended December 31, 2014
 
IPO Date
April 5, 2013
Exercise Price
 
$
10.00

 
$
13.56

Expected life (years)
 
0.60

 
2.42

Expected volatility
 
49.01
%
 
66.37
%
Risk-free interest rate
 
0.08
%
 
0.32
%
Expected dividend yield
 
0.00
%
 
0.00
%
 
 
 
Exercised During the Year Ended December 31,
 
As of December 31, 2014
 Series B
 
2015
 
2014
 
Exercise Price
 
$
4.00

 
$
10.00

 
$
10.00

Expected life (years)
 
0.01

 
1.72

 
0.88

Expected volatility
 
12.33
%
 
46.60
%
 
49.95
%
Risk-free interest rate
 
0.07
%
 
0.33
%
 
0.25
%
Expected dividend yield
 
0.00
%
 
0.00
%
 
0.00
%
 
 
 
 
As of December 31,
 
IPO Date
April 5, 2013
Consulting
 
2015
 
2014
 
Exercise Price
 
$
4.00

 
$
10.00

 
$
10.00

Expected life (years)
 
0.14

 
1.14

 
2.33

Expected volatility
 
57.39
%
 
49.25
%
 
63.20
%
Risk-free interest rate
 
0.16
%
 
0.25
%
 
0.27
%
Expected dividend yield
 
0.00
%
 
0.00
%
 
0.00
%

 
 
Issued During the Year Ended December 31, 2013
 
As of December 31,
IPO Date
April 5, 2013
Financing
 
 
2015
 
2014
 
Exercise Price
 
$
13.34

 
$
4.00

 
$
10.00

 
$
13.21

Expected life (years)
 
9.78

 
0.23

 
1.23

 
8.30

Expected volatility
 
74.70
%
 
70.82
%
 
50.23
%
 
73.22
%
Risk-free interest rate
 
1.95
%
 
0.16
%
 
0.25
%
 
1.44
%
Expected dividend yield
 
0.00
%
 
0.00
%
 
0.00
%
 
0.00
%
Summary of Derivative Warrant Activity
The following table summarizes the derivative warrant activity subject to fair value accounting for the years ended December 31, 2015, 2014 and 2013 (in thousands):
 
 
Issued with
Series B
Preferred
Stock
 
Issued For
Debt
Guarantee
 
Issued For
Consulting
 
Issued For
Financing
 
Total
Fair value of warrants outstanding as of January 1, 2013
 
$
230

 
$
5,679

 
$
147

 
$
6,493

 
$
12,549

Fair value of warrants issued
 

 

 

 
268

 
268

Fair value of warrants exercised
 
(420
)
 

 

 

 
(420
)
Reclassification to equity in IPO
 

 
(2,514
)
 
(108
)
 
(4,548
)
 
(7,170
)
Change in fair value of warrants
 
307

 
(3,101
)
 
(38
)
 
(1,801
)
 
(4,633
)
Fair value of warrants outstanding as of December 31, 2013
 
117

 
64

 
1

 
412

 
594

Fair value of warrants exercised
 
(38
)
 
(87
)
 

 

 
(125
)
Change in fair value of warrants
 
(71
)
 
23

 
(1
)
 
(368
)
 
(417
)
Fair value of warrants outstanding as of December 31, 2014
 
8

 

 

 
44

 
52

Change in fair value of warrants
 
(8
)
 

 

 
(27
)
 
(35
)
Fair value of warrants outstanding as of December 31, 2015
 
$

 
$

 
$

 
$
17

 
$
17