Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.3.1.900
Fair Value Measurement (Tables)
6 Months Ended
Jun. 30, 2015
Fair Value Disclosures [Abstract]  
Summary of Assumptions Used for Valuation of Fair Value Liabilities

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

 

    For the Three Months Ended     For the Six Months Ended  
    June 30,     June 30,  
    2015     2014     2015     2014  
                         
Risk-free interest rate     0.22% - 1.01%       1.62 %     0.02% - 1.30%       0.90% - 1.62%  
Expected term (years)     1.00 - 4.66       4.84 - 5.00       1.00 - 5.05       4.53 - 5.00  
Expected volatility     89% - 95%       88 %     84% - 95%       88% - 89%  
Expected dividend yield     0.00 %     0.00 %     0.00 %     0.00 %

Summary of Changes in Fair Value of Warrant Liabilities Measured at Recurring Basis

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     310,245  
Change in classification     281,403  
Change in fair value of derivative liability     (836,070 )
Ending balance as of June 30, 2015   $ 3,390,872  

 

Warrants Payable        
Beginning balance as of January 1, 2015   $ 63,533  
Provision for new warrant issuances     4,325  
Change in fair value of warrants payable     (57,162 )
Issuance of warrants     (10,696 )
Ending balance as of June 30, 2015   $ -  

Summary of Assets and Liabilities Measured at Fair Value Recurring and Nonrecurring Basis

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

 

    June 30, 2015  
    Level 1     Level 2     Level 3     Total  
Liabilities:                        
Derivative liabilities   $ -     $ -     $ 3,390,872     $ 3,390,872  
Total liabilities   $ -     $ -     $ 3,390,872     $ 3,390,872  

 

    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