| 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 Nine Months Ended |
|
| |
|
September 30, |
|
|
September 30, |
|
| |
|
2016 |
|
|
2015 |
|
|
2016 |
|
|
2015 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Risk-free interest rate |
|
|
0.58% - 1.08 |
% |
|
|
0.32% - 0.92 |
% |
|
|
0.58% - 1.38 |
% |
|
|
0.02% - 1.30 |
% |
| Expected term (years) |
|
|
2.28 - 5.00 |
|
|
|
1.00 - 4.82 |
|
|
|
2.28 - 5.00 |
|
|
|
1.00 - 5.05 |
|
| Expected volatility |
|
|
123% - 139 |
% |
|
|
91% - 92 |
% |
|
|
114% - 154 |
% |
|
|
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 |
|
|
382,879 |
|
| Change in fair value of derivative liability |
|
|
2,238,744 |
|
| Ending balance as of September 30, 2016 |
|
$ |
3,972,504 |
|
| |
|
|
|
|
| Warrants Payable |
|
|
|
|
| Beginning balance as of January 1, 2016 |
|
$ |
77,761 |
|
| Accrual of other warrant obligations |
|
|
67,353 |
|
| Change in fair value of warrants payable |
|
|
205,402 |
|
| Issuance of warrants |
|
|
- |
|
| Ending balance as of September 30, 2016 |
|
$ |
350,516 |
|
Assets and liabilities measured at fair
value on a recurring or nonrecurring basis are as follows:
| |
|
September 30, 2016 |
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
3,972,504 |
|
|
$ |
3,972,504 |
|
| Warrants Payable |
|
|
- |
|
|
|
- |
|
|
|
350,516 |
|
|
|
350,516 |
|
| Total liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
4,323,020 |
|
|
$ |
4,323,020 |
|
| |
|
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 |
|
|