Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v2.4.0.8
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2014
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 June 30, 2014 and December 31, 2013:

 

 

 

Fair Value Measurements at June 30, 2014

 

Description

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Derivative liability

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred stock warrants

 

$

-

 

 

$

-

 

 

$

-

 

 

$

-

 

Common stock warrants

 

 

-

 

 

 

-

 

 

 

1,873

 

 

 

1,873

 

Conversion feature of note

 

 

-

 

 

 

-

 

 

 

848

 

 

 

848

 

Total derivative liability

 

$

-

 

 

$

-

 

 

$

2,721

 

 

$

2,721

 

 

 

 

 

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 six month periods ended June 30, 2014 and 2013:

 

 

Common Stock

Warrants

 

 

Preferred Stock

Warrants

 

 

Conversion Feature of Note

 

 

Total Derivative

Liability

 

Balance at December 31, 2012

$

(2,783

)

 

$

(526

)

 

$

-

 

 

$

(3,309

)

Issuances of derivatives

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Modification of terms

 

(424

)

 

 

-

 

 

 

-

 

 

 

(424

)

Change in fair value included in earnings, as other income

 

130

 

 

 

30

 

 

 

-

 

 

 

160

 

Balance at June 30, 2013

$

(3,077

)

 

$

(496

)

 

$

-

 

 

$

(3,573

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance at December 31, 2013

$

(199

)

 

$

(11

)

 

$

-

 

 

$

(210

)

Issuances of derivatives

 

(1,106

)

 

 

-

 

 

 

(848

)

 

 

(1,954

)

Reclassification from liability to equity

 

-

 

 

 

5

 

 

 

-

 

 

 

5

 

Change in fair value included in earnings, as other income (loss)

 

(568

)

 

 

6

 

 

 

-

 

 

 

(562

)

Balance at June 30, 2014

$

(1,873

)

 

$

-

 

 

$

(848

)

 

$

(2,721

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
Convertible Notes Payable
  
Schedule of Assumptions used in Estimating Fair Value

In addition to considering applicable probability factors, the assumptions used in estimating the conversion feature of the note at June 30, 2014 were as follows:

 

 

June 30,

2014

 

 

 

 

 

Estimated fair value of common share

$

4.51

 

Weighted-average risk free interest rate

 

0.47

%

Weighted-average expected life (in years)

 

2.0

 

Expected dividend yield

 

0

%

Weighted average expected volatility

 

33

%

 
Common Stock
  
Schedule of Assumptions used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability at June 30, 2014 and December 31, 2013 were as follows:

 

 

June 30,

2014

 

 

December 31,

2013

 

 

 

 

 

 

 

 

 

Estimated fair value of common share

$

4.51

 

 

$

5.75

 

Weighted-average risk free interest rate

 

1.26

%

 

 

1.26

%

Weighted-average expected life (in years)

 

4.0

 

 

 

4.1

 

Expected dividend yield

 

0

%

 

 

0

%

Weighted average expected volatility

 

38

%

 

 

47

%

 
Preferred Stock
  
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

%