| Fair Value Measurement |
10. FAIR VALUE MEASUREMENT
See Note 8 – Notes Payable 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 Years Ended |
|
| |
|
December 31, |
|
| |
|
2017 |
|
|
2016 |
|
| |
|
|
|
|
|
|
| Risk-free interest rate |
|
|
1.47% - 1.98 |
% |
|
|
0.58% - 1.38 |
% |
| Contractual term (years) |
|
|
0.78 - 4.00 |
|
|
|
2.28 - 5.00 |
|
| Expected volatility |
|
|
112% - 149 |
% |
|
|
114% - 156 |
% |
| 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, |
|
| |
|
2017 |
|
|
2016 |
|
| Derivative Liabilities |
|
|
|
|
|
|
|
|
| Beginning balance as of January 1 |
|
$ |
1,583,103 |
|
|
$ |
1,350,881 |
|
| Conversion of derivative liability to equity |
|
|
(42,556,454 |
) |
|
|
- |
|
| Issuance of warrants |
|
|
1,395,618 |
|
|
|
957,115 |
|
| Change in fair value of derivative liability |
|
|
43,026,123 |
|
|
|
(724,893 |
) |
| Ending balance as of December 31 |
|
$ |
3,448,390 |
|
|
$ |
1,583,103 |
|
| |
|
|
|
|
|
|
|
|
| Warrants Payable |
|
|
|
|
|
|
|
|
| Beginning balance as of January 1 |
|
$ |
155,412 |
|
|
$ |
77,761 |
|
| Accrual of other warrant obligations |
|
|
14,992 |
|
|
|
81,603 |
|
| Change in fair value of warrants payable |
|
|
983,716 |
|
|
|
(3,952 |
) |
| Ending balance as of December 31 |
|
$ |
1,154,120 |
|
|
$ |
155,412 |
|
Assets and liabilities measured at fair value on a recurring or
nonrecurring basis are as follows:
| |
|
December 31, 2017 |
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
3,448,390 |
|
|
$ |
3,448,390 |
|
| Warrants payable |
|
|
- |
|
|
|
- |
|
|
|
1,154,120 |
|
|
|
1,154,120 |
|
| Total liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
4,602,510 |
|
|
$ |
4,602,510 |
|
| |
|
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 |
|
|