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, 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 December 31, 2017 and 2016.

 

    Fair Value Measurements as of December 31, 2017
(in thousands)
Description   Level 1   Level 2   Level 3   Total
Derivative liability                                
Common stock warrants   $ -     $ -     $ 1,357     $ 1,357  

 

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

Schedule of Reconciliation of Derivative Liability

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, 2017 and 2016 (in thousands):

 

    Common Stock Warrants  
Balance at December 31, 2015   $ (598 )
Issuance of derivatives     (5,817 )
Decrease in liability due to warrants being Exercised     274  
Change in fair value     2,476  
Balance at December 31, 2016     (3,665 )
Issuance of derivatives     (810 )
Change in fair value     3,118  
Balance at December 31, 2017   $ (1,357 )

Black-Scholes-Merton 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 Black-Scholes-Merton valuation model at December 31, 2017 and 2016 were as follows:

 

    December 31, 2017     December 31, 2016  
Weighted-average risk-free interest rate     1.89 %     0.92 %
Weighted-average expected life (in years)     1.9       2.5  
Expected dividend yield     - %     - %
Weighted average expected volatility     107 %     136 %

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 December 31, 2017 and 2016 were as follows:

 

    December 31, 2017     January 24, 2017     December 31, 2016     July 08, 2016  
Weighted-average risk-free interest rate     2.2 %     1.94 %     1.47 %     0.95 %
Weighted-average expected life (in years)     3.6       5.0       4.5       5.0  
Expected dividend yield     - %     - %     - %     - %
Weighted average expected volatility     64 %     66 %     65 %     68 %