Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.8.0.1
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2016
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 September 30, 2016 and December 31, 2015:

 

    Fair Value Measurements at September 30, 2016  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 6,370     $ 6,370  
Total derivative liability   $ -     $ -     $ 6,370     $ 6,370  

 

    Fair Value Measurements at December 31, 2015  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 598     $ 598  
Total derivative liability   $ -     $ -     $ 598     $ 598  

Schedule of Reconciliation of Derivative Liability Measured on Recurring Basis Using 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 nine months ended September 30, 2016 and 2015:

 

    Common Stock
Warrants
    Convertible Notes     Total
Derivative
Liability
 
Balance at December 31, 2014   $ (11,358 )   $ (2,612 )   $ (13,970 )
Issuances of derivatives     (14,556 )     -       (14,556 )
Modification of terms     (382 )     -       (382 )
Decrease in liability due to debt conversions     -       179       179  
Decrease in liability due to warrants being exercised     10,326       -       10,326  
Extinguishment of derivatives     -       3,468       3,468  
Change in fair value     1,687       (1,035 )     652  
Balance at September 30, 2015   $ (14,283 )   $ -     $ (14,283 )
                         
Balance at December 31, 2015   $ (598 )   $ -     $ (598 )
Issuances of derivatives     (5,817     -       (5,817 )
Decrease in liability due to warrants being exercised     273       -       273  
Change in fair value     (228     -       (228
Balance at September 30, 2016   $ (6,370 )   $ -     $ (6,370 )

Schedule of Assumptions used in Estimating Common Stock Warrant Liability

The assumptions used in estimating the common stock warrant liability using the Black-Scholes-Merton valuation model at September 30, 2016 and December 31, 2015 were as follows:

 

    September 30, 2016     December 31, 2015  
Weighted-average risk free interest rate     0.99 %     1.71 %
Weighted-average expected life (in years)     3.4       3.7  
Expected dividend yield     0 %     0 %
Weighted average expected volatility     122 %     119 %

Monte Carlo Simulation Valuation Model [Member]  
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]  
Schedule of Assumptions used in Estimating Common Stock Warrant Liability

The assumptions used in estimating the common stock warrant liability using the Monte Carlo Simulation valuation model at issuance (July 8, 2016) and September 30, 2016 were as follows:

 

    July 8, 2016     September 30, 2016  
Weighted-average risk free interest rate     0.95 %     0.88 %
Weighted-average expected life (in years)     5.00       4.75  
Expected dividend yield     0 %     0 %
Weighted average expected volatility     67.91 %     66.39 %