Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement

v3.3.1.900
Fair Value Measurement
 3 Months Ended
Mar. 31, 2015
Fair Value Disclosures [Abstract]  
Fair Value Measurement

7. FAIR VALUE MEASUREMENT

 

Assumptions utilized in the valuation of Level 3 liabilities are described as follows:

 

    For the Three Months Ended  
    March 31,  
    2015     2014  
             
Risk-free interest rate     0.02% - 1.30 %     0.90 %
Expected term (years)     1.00 - 5.05       4.53 - 4.69  
Expected volatility     84% - 89 %     89 %
Expected dividend yield     0.00 %     0.00 %

 

The following table sets forth a summary of the changes in the fair value of Level 3 warrant liabilities that are measured at fair value on a recurring basis:

 

Derivative Liabilities        
Beginning balance as of January 1, 2015   $ 3,635,294  
Issuance of warrants     310,198  
Change in classification     281,403  
Change in fair value of derivative liability     (545,125 )
Ending balance as of March 31, 2015   $ 3,681,770  
         
Warrants Payable        
Beginning balance as of January 1, 2015   $ 63,533  
Provision for new warrant issuances     3,982  
Change in fair value of warrants payable     (57,162 )
Issuance of warrants     (10,353 )
Ending balance as of March 31, 2015   $ -  

  

Assets and liabilities measured at fair value on a recurring or nonrecurring basis are as follows:

 

    March 31, 2015  
    Level 1     Level 2     Level 3     Total  
Liabilities:                                
Derivative liabilities   $ -     $ -     $ 3,681,770     $ 3,681,770  
Warrants payable     -       -       -       -  
Total liabilities   $ -     $ -     $ 3,681,770     $ 3,681,770  

 

    December 31, 2014  
    Level 1     Level 2     Level 3     Total  
Liabilities:                                
Derivative liabilities   $ -     $ -     $ 3,635,294     $ 3,635,294  
Warrants payable     -       -       63,533       63,533  
Total liabilities   $ -     $ -     $ 3,698,827     $ 3,698,827