| Fair Value Measurement |
11. FAIR VALUE MEASUREMENT
See Note 9 – 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, |
|
| |
|
2018 |
|
|
2017 |
|
| |
|
|
|
|
|
|
| Risk-free interest rate |
|
|
1.62-2.63 |
% |
|
|
1.47% - 1.98 |
% |
| Contractual term (years) |
|
|
0.25-3.25 |
|
|
|
0.78 - 4.00 |
|
| Expected volatility |
|
|
113%-217 |
% |
|
|
112% - 149 |
% |
| 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, |
|
| |
|
2018 |
|
|
2017 |
|
| Derivative Liabilities |
|
|
|
|
|
|
|
|
| Beginning balance as of January 1 |
|
$ |
3,448,390 |
|
|
$ |
1,583,103 |
|
| Conversion of derivative liability to equity |
|
|
(419,415 |
) |
|
|
(42,556,454 |
) |
| Reclassify derivative liability to equity |
|
|
(36,445 |
) |
|
|
- |
|
| Issuance of warrants |
|
|
- |
|
|
|
1,395,618 |
|
| Change in fair value of derivative liability |
|
|
(2,992,530 |
) |
|
|
43,026,123 |
|
| Ending balance as of December 31 |
|
$ |
- |
|
|
$ |
3,448,390 |
|
| |
|
|
|
|
|
|
|
|
| Warrants Payable |
|
|
|
|
|
|
|
|
| Beginning balance as of January 1 |
|
$ |
1,154,120 |
|
|
$ |
155,412 |
|
| Exchange of warrants payable for equity |
|
|
(1,183,091 |
) |
|
|
- |
|
| Accrual of other warrant obligations |
|
|
2,135,430 |
|
|
|
14,992 |
|
| Change in fair value of warrants payable |
|
|
(2,100,494 |
) |
|
|
983,716 |
|
| Ending balance as of December 31 |
|
$ |
5,965 |
|
|
$ |
1,154,120 |
|
Assets and liabilities measured at fair
value on a recurring or nonrecurring basis are as follows:
| |
|
December 31, 2018 |
| |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| Liabilities: |
|
|
|
|
|
|
|
|
| Warrants payable |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
5,965 |
|
|
$ |
5,965 |
|
| Total liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
5,965 |
|
|
$ |
5,965 |
|
| |
|
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 |
|
|