Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement

v3.4.0.3
Fair Value Measurement
 9 Months Ended
Sep. 30, 2015
Fair Value Disclosures [Abstract]  
Fair Value Measurement

8. FAIR VALUE MEASUREMENT

 

In connection with sales of Series C Convertible Preferred Stock during the nine months ended September 30, 2015, the Company incurred issuance costs which included an obligation to issue investment banker warrants to purchase 10% of the securities sold. The warrant obligation had an aggregate fair value of $169,034 on the date of the sale of the Series C Convertible Preferred Stock. The warrant obligation had a fair value of $108,616 as of September 30, 2015, which represented a reduction in fair value of $60,418, which was included within the change in fair value of warrant liabilities during the nine months ended September 30, 2015. See Note 9 – Stockholders’ Deficiency – Preferred Stock - Series C Convertible Preferred Stock for additional details.

 

Assumptions utilized in the valuation of Level 3 liabilities are described as follows:

 

    For the Three Months Ended     For the Nine Months Ended  
    September 30,     September 30,  
    2015     2014     2015     2014  
                         
Risk-free interest rate     0.32% - 0.92 %     1.07 %     0.02% - 1.30 %      0.90% - 1.62 %
Expected term (years)     1.00 - 4.82       4.19 - 5.41       1.00 - 5.05       4.53 - 5.00  
Expected volatility     91% - 92 %      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     413,240  
Change in classification     281,403  
Change in fair value of derivative liability     (2,049,675 )
Ending balance as of September 30, 2015   $ 2,280,262  
         
Warrants Payable        
Beginning balance as of January 1, 2015   $ 63,533  
Provision for new warrant issuances     5,410  
Accrual of other warrant obligations     169,034  
Change in fair value of warrants payable     (117,580 )
Issuance of warrants     (11,270 )
Ending balance as of September 30, 2015   $ 109,127  

  

Assets and liabilities measured at fair value on a recurring or nonrecurring basis are as follows:

 

    September 30, 2015  
    Level 1     Level 2     Level 3     Total  
Liabilities:                                
Derivative liabilities   $ -     $ -     $ 2,280,262     $ 2,280,262  
Warrants payable     -       -       109,127       109,127  
Total liabilities   $ -     $ -     $ 2,389,389     $ 2,389,389  

 

    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