Quarterly report pursuant to Section 13 or 15(d)

Derivative Liability and Fair Value Measurements (Tables)

v3.5.0.2
Derivative Liability and Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule Of Assets And Liabilities Measured At Fair Value On A Recurring Basis
Assets and liabilities measured at fair value on a recurring basis are as follows at June 30, 2016:
 
 
 
Total
 
Level 1
 
Level 2
 
Level 3
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Warrant Liability
 
$
238,799
 
$
 
$
 
$
238,799
 
Total liabilities measured at fair value (Long-Term)
 
$
238,799
 
$
 
$
 
$
238,799
 
 
We measure certain financial instruments at fair value on a recurring basis. Assets and liabilities measured at fair value on a recurring basis are as follows at December 31, 2015:
 
 
 
Total
 
Level 1
 
Level 2
 
Level 3
 
Warrant Liability
 
$
240,786
 
$
 
$
 
$
240,786
 
Total liabilities measured at fair value (Long-Term)
 
$
240,786
 
$
 
$
 
$
240,786
 
Schedule of Fair Value Level 3 warrant liabilities
Fair value – December 31, 2015
 
$
240,786
 
 
 
 
 
 
Change in fair value for the period of warrant derivative liability
 
 
(1,987)
 
 
 
 
 
 
Fair value – June 30, 2016
 
$
238,799
 
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques
The Monte Carlo Options Lattice pricing model was used to estimate the fair value of the warrants outstanding:
 
 
 
June 30,
2016
 
 
December 31,
2015
 
Assumptions for Pricing Model:
 
 
 
 
 
 
 
 
Expected term in years
 
 
2.10
 
 
 
2.60
 
Volatility
 
 
108
%
 
 
103
%
Risk-free interest rate
 
 
0.71
%
 
 
1.06
%
Expected annual dividends
 
 
None
 
 
 
None
 
 
 
 
 
 
 
 
 
 
Value of warrants outstanding:
 
 
 
 
 
 
 
 
Fair value of warrants
 
$
238,799
 
 
$
240,786