Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

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Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2017
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 as of September 30, 2017 and December 31, 2016:

 

    Fair Value Measurements as of September 30, 2017  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 1,537     $ 1,537  

 

    Fair Value Measurements as of December 31, 2016  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 3,665     $ 3,665  

Schedule of Reconciliation of Derivative Liability

The Company did not have any transfers of assets and liabilities between Level 1 and Level 2 of the fair value measurement hierarchy during the nine months ended September 30, 2017 and 2016.

 

    Common Stock
Warrants
    Convertible
Notes
    Total
Derivative
Liability
 
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 )
                         
Balance at December 31, 2016   $ (3,665 )   $ -     $ (3,665 )
Issuances of derivatives     (810 )     -       (810 )
Decrease in liability due to warrants being exercised     -       -       -  
Change in fair value     2,938       -       2,938  
Balance at September 30, 2017   $ (1,537 )   $ -     $ (1,537 )

Schedule of Assumptions Used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability using the Black-Scholes-Merton valuation model at September 30, 2017 and December 31, 2016 were as follows:

 

    September 30, 2017     December 31, 2016  
Weighted-average risk free interest rate     1.6 %     0.9 %
Weighted-average expected life (in years)     2.7       2.5  
Expected dividend yield     - %     - %
Weighted-average expected volatility     120.0 %     136.0 %

Monte Carlo Simulation Valuation Model [Member]  
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 using the Monte Carlo Simulation valuation model at issuance (January 24, 2017) and September 30, 2017 were as follows:

 

    January 24, 2017     September 30, 2017  
Weighted-average risk free interest rate     1.94 %     1,77 – 1.89 %
Weighted-average expected life (in years)     5.0       3.75 – 4.53  
Expected dividend yield     - %     - %
Weighted-average expected volatility     65.60 %     62.60 – 62.63 %