| Fair Value Measurement |
6. FAIR VALUE MEASUREMENT
Assumptions utilized in the valuation of Level
3 liabilities are described as follows:
| |
|
For the Three Months Ended |
|
| |
|
March 31, |
|
| |
|
2018 |
|
|
2017 |
|
| |
|
|
|
|
|
|
| Risk-free interest rate |
|
|
1.62%-2.63% |
|
|
|
1.47%-1.50% |
|
| Contractual term (years) |
|
|
0.53-3.25 |
|
|
|
1.53-5.00 |
|
| Expected volatility |
|
|
113%-131% |
|
|
|
149%-155% |
|
| 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, 2018 |
|
$ |
3,448,390 |
|
| Exchange of derivative liability for equity |
|
|
(365,913 |
) |
| Reclassify derivative liability to equity |
|
|
(36,445 |
) |
| Issuance of warrants |
|
|
- |
|
| Change in fair value of derivative liability |
|
|
(3,024,598 |
) |
| Ending balance as of March 31, 2018 |
|
$ |
21,434 |
|
| |
|
|
|
|
| Warrants Payable |
|
|
|
|
| Beginning balance as of January 1, 2018 |
|
$ |
1,154,120 |
|
| Exchange of warrants payable for equity |
|
|
(1,142,738 |
) |
| Accrual of other warrant obligations |
|
|
2,135,430 |
|
| Change in fair value of warrants payable |
|
|
(8,773 |
) |
| Ending balance as of March 31, 2018 |
|
$ |
2,138,039 |
|
See Note 4 - Accrued Issuable Equity for additional
information.
Assets and liabilities measured at fair value
on a recurring or nonrecurring basis are as follows:
| |
|
March 31, 2018 |
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
21,434 |
|
|
$ |
21,434 |
|
| Warrants payable |
|
|
- |
|
|
|
- |
|
|
|
2,138,039 |
|
|
|
2,138,039 |
|
| Total liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2,159,473 |
|
|
$ |
2,159,473 |
|
| |
|
December 31, 2017 |
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
3,448,390 |
|
|
$ |
3,448,390 |
|
| Warrants payable |
|
|
- |
|
|
|
- |
|
|
|
1,154,120 |
|
|
|
1,154,120 |
|
| Total liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
4,602,510 |
|
|
$ |
4,602,510 |
|
|