Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.7.0.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2016
Fair Value Disclosures [Abstract]  
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   $ -     $ -     $ 528     $ 528  

 

    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 )
Change in fair value     70       -       -       70  
Balance at December 31, 2016   $ (528 )   $ -     $ -     $ (528 )

Schedule of Assumptions Used in Estimating Common Stock Warrant Liability

The assumptions used in estimating the common stock warrant liability 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 %