Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.5.0.2
Fair Value Measurement (Tables)
 9 Months Ended
Sep. 30, 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     For the Nine Months Ended  
    September 30,     September 30,  
    2016     2015     2016     2015  
                         
Risk-free interest rate     0.58% - 1.08 %     0.32% - 0.92 %     0.58% - 1.38 %     0.02% - 1.30 %
Expected term (years)     2.28 - 5.00       1.00 - 4.82       2.28 - 5.00       1.00 - 5.05  
Expected volatility     123% - 139 %     91% - 92 %     114% - 154 %     84% - 95 %
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 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     382,879  
Change in fair value of derivative liability     2,238,744  
Ending balance as of September 30, 2016   $ 3,972,504  
         
Warrants Payable        
Beginning balance as of January 1, 2016   $ 77,761  
Accrual of other warrant obligations     67,353  
Change in fair value of warrants payable     205,402  
Issuance of warrants     -  
Ending balance as of September 30, 2016   $ 350,516  
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:

 

    September 30, 2016  
    Level 1     Level 2     Level 3     Total  
Liabilities:                                
Derivative liabilities   $ -     $ -     $ 3,972,504     $ 3,972,504  
Warrants Payable     -       -       350,516       350,516  
Total liabilities   $ -     $ -     $ 4,323,020     $ 4,323,020  

 

    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