Fair Value Measurements (Tables)
|
9 Months Ended |
12 Months Ended |
Sep. 30, 2017 |
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 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 |
|
|
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 |
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 |
) |
|
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 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 |
% |
|
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 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 |
% |
|
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 |
% |
|