Annual report pursuant to Section 13 and 15(d)

Derivative Liability and Fair Value Measurements (Tables)

v3.3.1.900
Derivative Liability and Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2015
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 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
 
 
Assets and liabilities measured at fair value on a recurring basis are as follows at December 31, 2014:
 
 
 
Total
 
Level 1
 
Level 2
 
Level 3
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Note Conversion Feature Liability
 
$
2,806,942
 
$
 
$
 
$
2,806,942
 
Warrant Liability
 
 
10,734,196
 
 
 
 
 
 
10,734,196
 
Total liabilities measured at fair value (Long-Term)
 
$
13,541,138
 
$
 
$
 
$
13,541,138
 
Schedule of Fair Value Level 3 warrant liabilities
Fair value – December 31, 2013
 
$
12,035,815
 
 
 
 
 
 
Reclassification of warrant exercises to Additional Paid-in Capital
 
 
(2,127,405)
 
Change in fair value for the period of warrant derivative liability
 
 
825,786
 
Convertible debt issued with an embedded conversion price adjustment provision
 
 
1,938,988
 
Extinguishment of liability upon conversion of debt
 
 
(500,261)
 
Change in fair value of debt conversion price adjustment for the period
 
 
1,368,215
 
Fair value – December 31, 2014
 
 
13,541,138
 
 
 
 
 
 
Reclassification of warrant exercises to Additional Paid-in Capital
 
 
(2,855,463)
 
Change in fair value for the period of warrant derivative liability
 
 
1,098,465
 
Reclassification of embedded debt conversion price adjustment provision liability to Additional Paid-in Capital upon waiver of certain anti-dilutive provisions
 
 
(2,806,942)
 
Reclassification of warrant exercise price adjustment provision liability to Additional Paid-in Capital upon waiver of certain anti-dilutive provisions
 
 
(8,736,412)
 
 
 
 
 
 
Fair value – December 31, 2015
 
$
240,786
 
Schedule Of Fair Value Of Warrants
The following summary table shows the assumptions used to compute the fair value of the embedded conversion option when granted at issuance and as of December 31, 2014:
 
 
 
December 31,
 
 
At Issuance –
 
 
 
2014
 
 
June 3, 2014
 
Assumptions for Pricing Model:
 
 
 
 
 
 
 
 
Expected term in years
 
 
2.67
 
 
 
3.00
 
Volatility range for years 1 to 5
 
 
81
%
 
 
57
%
Expected annual dividends
 
 
None
 
 
 
None
 
 
 
 
 
 
 
 
 
 
Value of convertible debt price adjustment:
 
 
 
 
 
 
 
 
Fair value of debt embedded conversion price adjustment option
 
$
2,806,942
 
 
$
1,938,988
 
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques
The Monte Carlo Options Lattice pricing model was used to estimate the fair value of warrants outstanding:
 
 
 
December 31,
 
 
December 31,
 
 
 
2015
 
 
2014
 
Assumptions for Pricing Model:
 
 
 
 
 
 
 
 
Expected term in years
 
 
2.60
 
 
 
3.21 to 3.78
 
Volatility range for years
 
 
103
%
 
 
81 to 89%
 
Risk-free interest rate
 
 
1.06
%
 
 
0.83 to 1.11%
 
Expected annual dividends
 
 
None
 
 
 
None
 
 
 
 
 
 
 
 
 
 
Value of warrants outstanding:
 
 
 
 
 
 
 
 
Fair value of warrants
 
$
240,786
 
 
$
10,734,196