Annual report pursuant to Section 13 and 15(d) 12-31-2014

Fair Value Measurements and Marketable Securities (Tables)

v2.4.1.9
Fair Value Measurements and Marketable Securities (Tables)
12 Months Ended
Dec. 31, 2014
Fair Value Inputs Liabilities Quantitative Information [Line Items]  
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 at December 31, 2014 and 2013:

 

 

Fair Value Measurements at December 31, 2014

 

Description

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Derivative liability

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common stock warrants

 

$

-

 

 

$

-

 

 

$

11,358

 

 

$

11,358

 

Conversion feature of notes

 

 

-

 

 

 

-

 

 

 

2,612

 

 

 

2,612

 

Total derivative liability

 

$

-

 

 

$

-

 

 

$

13,970

 

 

$

13,970

 

 

 

 

Fair Value Measurements at December 31, 2013

 

Description

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Derivative liability

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred stock warrants

 

$

-

 

 

$

-

 

 

$

11

 

 

$

11

 

Common stock warrants

 

 

-

 

 

 

-

 

 

 

199

 

 

 

199

 

Total derivative liability

 

$

-

 

 

$

-

 

 

$

210

 

 

$

210

 

 

Schedule of Reconciliation of Derivative Liability Measured At Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)

The following table presents a reconciliation of the derivative liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the years ended December 31, 2014 and 2013:

 

 

Common Stock

Warrants

 

 

Preferred

Stock

Warrants

 

 

Conversion

Feature of

Notes

 

 

Total

Derivative

Liability

 

Balance at December 31, 2012

 

$

(2,783

)

 

$

(526

)

 

$

-

 

 

$

(3,309

)

Issuances of derivatives

 

 

(871

)

 

 

-

 

 

 

-

 

 

 

(871

)

Modification of terms

 

 

(424

)

 

 

-

 

 

 

-

 

 

 

(424

)

Change in fair value

 

 

3,879

 

 

 

515

 

 

 

-

 

 

 

4,394

 

Balance at December 31, 2013

 

$

(199

)

 

$

(11

)

 

$

-

 

 

$

(210

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2013

 

$

(199

)

 

$

(11

)

 

$

-

 

 

$

(210

)

Issuances of derivatives

 

 

(12,617

)

 

 

-

 

 

 

(1,930

)

 

 

(14,547

)

Reclassification from liability to equity

 

 

-

 

 

 

5

 

 

 

-

 

 

 

5

 

Extinguishment of derivative liabilities

 

 

24

 

 

 

-

 

 

 

1,008

 

 

 

1,032

 

Change in fair value

 

 

1,434

 

 

 

6

 

 

 

(1,690

)

 

 

(250

)

Balance at December 31, 2014

 

$

(11,358

)

 

$

-

 

 

$

(2,612

)

 

$

(13,970

)

 

Convertible Notes Payable  
Fair Value Inputs Liabilities Quantitative Information [Line Items]  
Schedule of Assumptions used in Estimating Fair Value

The assumptions used in estimating the conversion feature of the notes at December 31, 2014 were as follows:

 

 

 

December 31,

2014

 

Estimated fair value of common share

 

$

0.80

 

Weighted-average risk free interest rate

 

 

0.67

%

Weighted-average expected life (in years)

 

 

1.6

 

Expected dividend yield

 

 

0

%

Weighted average expected volatility

 

 

32

%

 

Common Stock  
Fair Value Inputs Liabilities Quantitative Information [Line Items]  
Schedule of Assumptions used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability at December 31, 2014 and December 31, 2013 were as follows:

 

 

 

December 31,

2014

 

 

December 31,

2013

 

Estimated fair value of common share

 

$

0.80

 

 

$

5.75

 

Weighted-average risk free interest rate

 

 

1.53

%

 

 

1.26

%

Weighted-average expected life (in years)

 

 

4.7

 

 

 

4.1

 

Expected dividend yield

 

 

0

%

 

 

0

%

Weighted average expected volatility

 

 

116

%

 

 

47

%

 

Preferred Stock  
Fair Value Inputs Liabilities Quantitative Information [Line Items]  
Schedule of Assumptions used in Estimating Fair Value

The assumptions used in estimating the preferred stock warrant liability at December 31, 2013 were as follows:

 

 

 

December 31,

2013

 

 

 

 

 

 

Estimated fair value of common share

 

$

5.75

 

Weighted-average risk free interest rate

 

 

1.11

%

Weighted-average expected life (in years)

 

 

3.6

 

Expected dividend yield

 

 

0

%

Weighted average expected volatility

 

 

44

%