Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement

v3.5.0.2
Fair Value Measurement
 6 Months Ended
Jun. 30, 2016
Fair Value Disclosures [Abstract]  
Fair Value Measurement

7. FAIR VALUE MEASUREMENT

 

See Note 4 – Accrued Expenses – Warrants Payable and Note 8 – Stockholders’ Deficiency – Preferred Stock - Series C Convertible Preferred Stock for additional details associated with issuance costs which included an obligation to issue investment banker warrants.

 

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,  
    2016     2015     2016     2015  
                         
Risk-free interest rate     0.58% - 1.08%       0.22% - 1.01%       0.58% - 1.16%       0.02% - 1.30%  
Expected term (years)     2.28 - 5.00       1.00 - 4.66       2.28 - 5.00       1.00 - 5.05  
Expected volatility     123% - 139%       89% - 95%       114% - 139%       84% - 95%  
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 derivative liabilities and warrants payable that are measured at fair value on a recurring basis:

 

Derivative Liabilities        
Beginning balance as of January 1, 2016   $ 1,350,881  
Issuance of warrants     251,011  
Change in fair value of derivative liability     2,038,366  
Ending balance as of June 30, 2016   $ 3,640,258  
         
Warrants Payable        
Beginning balance as of January 1, 2016   $ 77,761  
Provision for new warrant issuances     969  
Accrual of other warrant obligations     61,454  
Change in fair value of warrants payable     154,922  
Issuance of warrants     -  
Ending balance as of June 30, 2016   $ 295,106  

 

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

 

    June 30, 2016  
    Level 1     Level 2     Level 3     Total  
Liabilities:                                
Derivative liabilities   $ -     $ -     $ 3,640,258     $ 3,640,258  
Warrants Payable     -       -       295,106       295,106  
Total liabilities   $ -     $ -     $ 3,935,364     $ 3,935,364  

 

    December 31, 2015  
    Level 1     Level 2     Level 3     Total  
Liabilities:                                
Derivative liabilities   $ -     $ -     $ 1,350,881     $ 1,350,881  
Warrants payable     -       -       77,761       77,761  
Total liabilities   $ -     $ -     $ 1,428,642     $ 1,428,642