Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.3.0.814
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2015
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, 2015 and December 31, 2014:
 
Fair Value Measurements at September 30, 2015
Description
Level 1
 
Level 2
 
Level 3
 
Total
Derivative liabilities
 
 
 
 
 
 
 
Common stock warrants
$
—

 
$
—

 
14,283

 
$
14,283

 
 
Fair Value Measurements at December 31, 2014
Description
Level 1
 
Level 2
 
Level 3
 
Total
Derivative liabilities
 
 
 
 
 
 
 
Common stock warrants
$
—

 
$
—

 
$
11,358

 
$
11,358

Conversion feature of notes
—

 
—

 
2,612

 
2,612

Total derivative liabilities
$
—

 
$
—

 
$
13,970

 
$
13,970

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 nine months ended September 30, 2015 and 2014:
 
Common Stock
Warrants
 
Preferred Stock
Warrants
 
Conversion Feature of Notes
 
Total Derivative
Liability
Balance at December 31, 2013
$
(199
)
 
$
(11
)
 
$
—

 
$
(210
)
Issuances of derivatives
(1,235
)
 
—

 
(1,930
)
 
(3,165
)
Reclassification from liability to equity
—

 
5

 
—

 
5

Change in fair value
1,307

 
6

 
12

 
1,325

Balance at September 30, 2014
$
(127
)
 
$
—

 
$
(1,918
)
 
$
(2,045
)
Balance at


 


 


 


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
)
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 features 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 year, 7 months

Expected dividend yield
—
%
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 September 30, 2015 and December 31, 2014 were as follows:
 
September 30, 2015
 
December 31, 2014
Fair value of common share
$
0.31

 
$
0.80

Weighted-average risk free interest rate
1.58
%
 
1.53
%
Weighted-average expected life
2 years, 2 months

 
4 years, 8 months

Expected dividend yield
—
%
 
—
%
Weighted average expected volatility
80
%
 
116
%