Annual report pursuant to Section 13 and 15(d)

Fair Value Measurement

v3.8.0.1
Fair Value Measurement
12 Months Ended
Dec. 31, 2017
Fair Value Disclosures [Abstract]  
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