Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.8.0.1
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2016 and 2015.

 

    Fair Value Measurements at December 31, 2016
(in thousands) 		 
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 3,665     $ 3,665  

 

    Fair Value Measurements at December 31, 2015
(in thousands) 		 
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 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 years ended December 31, 2016 and 2015 (in thousands):

 

          Preferred     Conversion     Total  
    Common Stock     Stock     Feature of     Derivative  
    Warrants     Warrants     Notes     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     20,335       -       -       20,335  
Reclassification from liability to equity     2,403       -       -       2,403  
Extinguishment of derivative liabilities     -       -       3,468       3,468  
Change in fair value     2,960       -       (1,035 )     1,925  
Balance at December 31, 2015   $ (598 )   $ -     $ -     $ (598 )
                                 
Balance at December 31, 2015     (598 )     -       -       (598 )
 Issuance of derivatives     (5,817 )     -       -       (5,817 )
Decrease in liability due to warrants
being exercised 		    274       -       -       274  
Change in fair value     2,476       -       -       2,476  
Balance at December 31, 2016   $ (3,665 )   $ -     $ -     $ (3,665 )

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 December 31, 2016 and 2015 were as follows:

 

    December 31, 2016     December 31, 2015  
Weighted-average risk free interest rate     0.92 %     1.71 %
Weighted-average expected life (in years)     2.5       3.7  
Expected dividend yield     0 %     0 %
Weighted average expected volatility     136 %     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 December 31, 2016 were as follows:

 

    July 8, 2016     December 31, 2016  
Weighted-average risk free interest rate     0.95 %     1.47 %
Weighted-average expected life (in years)     5.00       4.50  
Expected dividend yield     0 %     0 %
Weighted average expected volatility     67.91 %     65.48 %