General form of registration statement for all companies including face-amount certificate companies

Fair Value Measurement (Tables)

v3.5.0.2
Fair Value Measurement (Tables)
6 Months Ended 12 Months Ended
Jun. 30, 2016
Dec. 31, 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
June 30,
    For the Six Months Ended
June 30,
 
    2016     2015     2016     2015  
Risk-free interest rate     0.58% - 1.08 %     0.22% - 1.01 %     0.58% - 1.16 %     0.02% - 1.30 %
Expected term (years)     2.28 - 5.00       1.00 - 4.66       2.28 - 5.00       1.00 - 5.05  
Expected volatility     123% - 139 %     89% - 95 %     114% - 139 %     84% - 95 %
Expected dividend yield     0.00 %     0.00 %     0.00 %     0.00 %

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

 

    For the Years Ended
December 31,
 
    2015     2014  
Risk-free interest rate     0.02% - 1.30 %     1.10 %
Expected term (years)     1.00 - 5.05       2.78 - 4.98  
Expected volatility     84% - 105 %     84 %
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 derivative liabilities and warrants payable 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     251,011  
Change in fair value of derivative liability     2,038,366  
Ending balance as of June 30, 2016   $ 3,640,258  

 

Warrants Payable        
Beginning balance as of January 1, 2016   $ 77,761  
Provision for new warrant issuances     969  
Accrual of other warrant obligations     61,454  
Change in fair value of warrants payable     154,922  
Issuance of warrants      
Ending balance as of June 30, 2016   $ 295,106

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:

 

    December 31,  
    2015     2014  
Derivative Liabilities                
Beginning balance as of January 1,   $ 3,635,294     $ 9,511,364  
Issuance of Series C derivative liability           529,905  
Issuance of warrants     501,259        
Change in classification     281,403       914,977  
Change in fair value of derivative liability     (3,067,075 )     (2,975,597 )
Extinguishment           (4,345,355 )
Ending balance as of December 31,   $ 1,350,881     $ 3,635,294  
Warrants Payable                
Beginning balance as of January 1,   $ 63,533     $ 1,216,000  
Provision for new warrant issuances     6,059       66,963  
Accrual of other warrant obligations     221,709        
Change in fair value of warrants payable     (201,621 )     (34,240 )
Change in estimate           (925,500 )
Issuance of warrants     (11,919 )     (259,690 )
Ending balance as of December 31,   $ 77,761     $ 63,533

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, 2016  
    Level 1     Level 2     Level 3     Total  
Liabilities:                                
Derivative liabilities   $     $     $ 3,640,258     $ 3,640,258  
Warrants Payable                 295,106       295,106  
Total liabilities   $     $     $ 3,935,364     $ 3,935,364  

 

    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

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

 

    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  

 

    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