| Fair Value Measurement |
7. FAIR VALUE MEASUREMENT
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, |
|
| |
|
2018 |
|
|
2017 |
|
|
2018 |
|
|
2017 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Risk-free interest rate |
|
|
2.12% - 2.63 |
% |
|
|
1.55-1.62 |
% |
|
|
1.62% - 2.63 |
% |
|
|
1.47%-1.62 |
% |
| Contractual term (years) |
|
|
0.03 - 2.75 |
|
|
|
1.28-3.75 |
|
|
|
0.25-3.25 |
|
|
|
1.28-4.00 |
|
| Expected volatility |
|
|
171% - 217 |
% |
|
|
114%-130 |
% |
|
|
113%-217 |
% |
|
|
114%-149 |
% |
| 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, 2018 |
|
$ |
3,448,390 |
|
| Exchange of derivative liability for equity |
|
|
(395,175 |
) |
| Reclassify derivative liability to equity |
|
|
(36,445 |
) |
| Issuance of warrants |
|
|
- |
|
| Change in fair value of derivative liability |
|
|
(2,992,530 |
) |
| Ending balance as of September 30, 2018 |
|
$ |
24,240 |
|
| |
|
|
|
|
| Warrants Payable |
|
|
|
|
| Beginning balance as of January 1, 2018 |
|
$ |
1,154,120 |
|
| Exchange of warrants payable for equity |
|
|
(1,281,456 |
) |
| Accrual of other warrant obligations |
|
|
2,135,430 |
|
| Change in fair value of warrants payable |
|
|
(2,005,191 |
) |
| Ending balance as of September 30, 2018 |
|
$ |
2,903 |
|
See Note 5 - Accrued Issuable Equity
for additional information.
Assets and liabilities measured at fair
value on a recurring or nonrecurring basis are as follows:
| |
|
September 30, 2018 |
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
24,240 |
|
|
$ |
24,240 |
|
| Warrants payable |
|
|
- |
|
|
|
- |
|
|
|
2,903 |
|
|
|
2,903 |
|
| Total liabilities |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
27,143 |
|
|
$ |
27,143 |
|
| |
|
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 |
|
See Note 5 - Accrued Issuable Equity for additional information.
|