| Fair Value Measurement |
6. FAIR
VALUE MEASUREMENT
See Note 4 – Accrued Expenses –
Warrants Payable for additional details associated with issuance costs which included an obligation to issue investment banker
warrants. See Note 5 – Notes Payable – Convertible and Other Notes 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 Three Months Ended |
|
| |
|
March 31, |
|
| |
|
2017 |
|
|
2016 |
|
| |
|
|
|
|
|
|
| Risk-free interest rate |
|
|
1.47 - 1.50 |
% |
|
|
0.87% - 1.16 |
% |
| Expected term (years) |
|
|
1.53 - 5.00 |
|
|
|
2.53 - 4.28 |
|
| Expected volatility |
|
|
149% - 155 |
% |
|
|
114% - 119 |
% |
| 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:
| Derivative Liabilities |
|
|
|
| Beginning balance as of January 1, 2017 |
|
$ |
1,583,103 |
|
| Issuance of warrants |
|
|
334,487 |
|
| Change in fair value of derivative liability |
|
|
421,200 |
|
| Ending balance as of March 31, 2017 |
|
$ |
2,338,790 |
|
| |
|
|
|
|
| Warrants Payable |
|
|
|
|
| Beginning balance as of January 1, 2017 |
|
$ |
155,412 |
|
| Provision for new warrant issuances |
|
|
- |
|
| Accrual of other warrant obligations |
|
|
4,479 |
|
| Change in fair value of warrants payable |
|
|
42,486 |
|
| Ending balance as of March 31, 2017 |
|
$ |
202,377 |
|
Assets and liabilities measured at fair value
on a recurring or nonrecurring basis are as follows:
| |
|
March 31, 2017 |
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2,338,790 |
|
|
$ |
2,338,790 |
|
| Warrants Payable |
|
|
- |
|
|
|
- |
|
|
|
202,377 |
|
|
|
202,377 |
|
| Total liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2,541,167 |
|
|
$ |
2,541,167 |
|
| |
|
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 |
|
|