Quarterly report pursuant to Section 13 or 15(d) 09-30-2018

Fair Value Measurements (Tables)

v3.10.0.1
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2018
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis by Level Within Fair Value Hierarchy

The following tables set forth the financial liabilities measured at fair value on a recurring basis by level within the fair value hierarchy as of September 30, 2018 and December 31, 2017:

 

    Fair Value Measurements as of September 30, 2018  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 2,071     $ 2,071  

 

    Fair Value Measurements as of December 31, 2017  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 1,357     $ 1,357  

Schedule of Fair Value Measurement Hierarchy of Derivative Liability

The Company did not have any transfers of assets and liabilities between Level 1 and Level 2 of the fair value measurement hierarchy during the nine months ended September 30, 2018 and 2017.

 

    Common Stock
Warrants
 
Balance as of December 31, 2016   $ (3,665 )
Issuances of warrants classified as derivatives     (810 )
Change in fair value     2,938  
Balance as of September 30, 2017   $ (1,537 )
         
Balance as of December 31, 2017   $ (1,357 )
Issuances of warrants classified as derivatives     (7,577 )
Change in fair value     6,500  
Exercise of warrants     575  
Other, net     (212 )
Balance as of September 30, 2018   $ (2,071 )

Black-Scholes-Merton Valuation Model [Member]  
Schedule of Assumptions Used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability using the Black-Scholes-Merton valuation model as of September 30, 2018 and December 31, 2017 were as follows:

 

    September 30,
2018
    December 31,
2017
 
Weighted-average risk-free interest rate     2.58 %     1.89 %
Weighted-average expected life (in years)     1.3       1.9  
Expected dividend yield     - %     - %
Weighted-average expected volatility     153 %     107 %

Monte Carlo Simulation Valuation Model [Member]  
Schedule of Assumptions Used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability using the Monte Carlo Simulation valuation model as of September 30, 2018 and December 31, 2017 were as follows:

 

    September 30,
2018
    December 31,
2017
 
Weighted-average risk-free interest rate     2.88 %     2.2 %
Weighted-average expected life (in years)     2.9       3.6  
Expected dividend yield     - %     - %
Weighted average expected volatility     68 %     64 %