| Fair Value Measurement |
13. FAIR VALUE MEASUREMENT
See Note 9 – Accrued Expenses
– Warrants Payable and Note 13 – Stockholders’ Deficiency – Preferred Stock – Series C Convertible
Preferred Stock for additional details associated with issuance costs which included an obligation to issue investment banker warrants.
See Note 14 – Stockholders’ Deficiency for details associated with warrants classified as derivative liabilities that
were issued in connection with the sale of common stock and Series C Convertible Preferred Stock. See Note 11 – Notes Payable
– Convertible and Other Notes for warrants classified as derivative liabilities that were issued in connection with a convertible
note.
Assumptions utilized in the valuation
of Level 3 liabilities are described as follows:
| |
|
For the Year Ended |
|
| |
|
December 31, |
|
| |
|
2016 |
|
|
2015 |
|
| |
|
|
|
|
|
|
| Risk-free interest rate |
|
|
0.58% - 1.38% |
|
|
|
0.02% - 1.30% |
|
| Expected term (years) |
|
|
2.28 - 5.00 |
|
|
|
1.00 - 5.05 |
|
| Expected volatility |
|
|
114% - 156% |
|
|
|
84% - 105% |
|
| Expected dividend yield |
|
|
0.00% |
|
|
|
0.00% |
|
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, |
|
| |
|
2016 |
|
|
2015 |
|
| Derivative Liabilities |
|
|
|
|
|
|
|
|
| Beginning balance as of January 1, |
|
$ |
1,350,881 |
|
|
$ |
3,635,294 |
|
| Issuance of warrants |
|
|
957,115 |
|
|
|
501,259 |
|
| Change in classification |
|
|
- |
|
|
|
281,403 |
|
| Change in fair value of derivative liability |
|
|
(724,893 |
) |
|
|
(3,067,075 |
) |
| Ending balance as of December 31, |
|
$ |
1,583,103 |
|
|
$ |
1,350,881 |
|
| |
|
|
|
|
|
|
|
|
| Warrants Payable |
|
|
|
|
|
|
|
|
| Beginning balance as of January 1, |
|
$ |
77,761 |
|
|
$ |
63,533 |
|
| Provision for new warrant issuances |
|
|
- |
|
|
|
6,059 |
|
| Accrual of other warrant obligations |
|
|
81,603 |
|
|
|
221,709 |
|
| Change in fair value of warrants payable |
|
|
(3,952 |
) |
|
|
(201,621 |
) |
| Issuance of warrants |
|
|
- |
|
|
|
(11,919 |
) |
| Ending balance as of December 31, |
|
$ |
155,412 |
|
|
$ |
77,761 |
|
Assets and liabilities measured at fair
value on a recurring or nonrecurring basis are as follows:
| |
|
December 31, 2016 |
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
1,583,103 |
|
|
$ |
1,583,103 |
|
| Warrants Payable |
|
|
- |
|
|
|
- |
|
|
|
155,412 |
|
|
|
155,412 |
|
| Total liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
1,738,515 |
|
|
$ |
1,738,515 |
|
| |
|
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 |
|
|