| Fair Value Measurement |
8. FAIR VALUE MEASUREMENT
Assumptions utilized in the valuation
of Level 3 liabilities are described as follows:
| |
|
For the Three Months Ended |
|
|
For the Six Months Ended |
|
| |
|
June 30, |
|
|
June 30, |
|
| |
|
2015 |
|
|
2014 |
|
|
2015 |
|
|
2014 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Risk-free interest rate |
|
|
0.22% - 1.01% |
|
|
|
1.62 |
% |
|
|
0.02% - 1.30% |
|
|
|
0.90% - 1.62% |
|
| Expected term (years) |
|
|
1.00 - 4.66 |
|
|
|
4.84 - 5.00 |
|
|
|
1.00 - 5.05 |
|
|
|
4.53 - 5.00 |
|
| Expected volatility |
|
|
89% - 95% |
|
|
|
88 |
% |
|
|
84% - 95% |
|
|
|
88% - 89% |
|
| Expected dividend yield |
|
|
0.00 |
% |
|
|
0.00 |
% |
|
|
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:
| Derivative Liabilities |
|
|
|
|
| Beginning balance as of January 1, 2015 |
|
$ |
3,635,294 |
|
| Issuance of warrants |
|
|
310,245 |
|
| Change in classification |
|
|
281,403 |
|
| Change in fair value of derivative liability |
|
|
(836,070 |
) |
| Ending balance as of June 30, 2015 |
|
$ |
3,390,872 |
|
| Warrants Payable |
|
|
|
|
| Beginning balance as of January 1, 2015 |
|
$ |
63,533 |
|
| Provision for new warrant issuances |
|
|
4,325 |
|
| Change in fair value of warrants payable |
|
|
(57,162 |
) |
| Issuance of warrants |
|
|
(10,696 |
) |
| Ending balance as of June 30, 2015 |
|
$ |
- |
|
Assets and liabilities measured at fair
value on a recurring or nonrecurring basis are as follows:
| |
|
June 30, 2015 |
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
3,390,872 |
|
|
$ |
3,390,872 |
|
| Total liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
3,390,872 |
|
|
$ |
3,390,872 |
|
| |
|
December 31, 2014 |
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
3,635,294 |
|
|
$ |
3,635,294 |
|
| Warrants payable |
|
|
- |
|
|
|
- |
|
|
|
63,533 |
|
|
|
63,533 |
|
| Total liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
3,698,827 |
|
|
$ |
3,698,827 |
|
|