Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.5.0.2
Fair Value Measurement (Tables)
 3 Months Ended
Mar. 31, 2016
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  
    March 31,  
    2016     2015  
             
Risk-free interest rate     0.87% - 1.16%       0.02% - 1.30%  
Expected term (years)     2.53 - 4.28       1.00 - 5.05  
Expected volatility     114% -119%       84% - 89%  
Expected dividend yield     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, 2016   $ 1,350,881  
Issuance of warrants     99,431  
Change in fair value of derivative liability     1,832,755  
Ending balance as of March 31, 2016   $ 3,283,067  
         
Warrants Payable        
Beginning balance as of January 1, 2016   $ 77,761  
Provision for new warrant issuances     2,560  
Accrual of other warrant obligations     34,885  
Change in fair value of warrants payable     179,093  
Ending balance as of March 31, 2016   $ 294,299  

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:

 

    March 31, 2016  
    Level 1     Level 2     Level 3     Total  
Liabilities:                                
Derivative liabilities   $ -     $ -     $ 3,283,067     $ 3,283,067  
Warrants payable     -       -       294,299       294,299  
Total liabilities   $ -     $ -     $ 3,577,366     $ 3,577,366  

 

    December 31, 2015  
    Level 1     Level 2     Level 3     Total  
Liabilities:                                
Derivative liabilities   $ -     $ -     $ 1,350,881     $ 1,350,881  
Warrants payable     -       -       77,761       77,761  
Total liabilities   $ -     $ -     $ 1,428,642     $ 1,428,642