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 |
|
|