Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v2.4.0.8
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2014
Fair Value Measurements [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value

Our fair value hierarchies for our financial assets and liabilities which require fair value measurement on a recurring basis are as follows:

 

    Total     Quoted Prices in
Active Markets for
Identical Items
(Level 1)
    Significant Other
Observable Inputs 
(Level 2)
    Significant
Unobservable
Inputs
(Level 3)
 
                         

September 30, 2014

                               
Liabilities:                                
Warrant liability   $ 11,819,450     $     $     $ 11,819,450  
                                 

December 31, 2013

                               
Liabilities:                                
Warrant liability   $ 377,747     $     $     $ 377,747  
Convertible debt   $ 5,062,417     $     $     $ 5,062,417  

 

Summary of Changes in Fair Value of Level 3 Liabilities

 The following table sets forth a summary of the changes in the fair value of our Level 3 financial liabilities, which were measured at fair value on a recurring basis.

 

  Warrant liability     Convertible debt  
Beginning balance December 31, 2013   $ 377,747     $ 5,062,417  
Transfer to equity upon settlement     (377,747 )     (5,062,417 )
Fair value of warrants on date of issuance     10,613,550        
Change in fair value of warrants during the period     1,205,900        
Ending balance September 30, 2014   $ 11,819,450     $  

 

Schedule of Fair Value Assumptions

The fair value of each warrant was determined using a lattice model with the following assumptions:

 

 


September 30,

   
  2014    
Dividend yield      
Risk-free interest rate     0.72-1.53 %
Current share price   $ 0.84  
Expected term (in years)     2.30-4.30  
Volatility     65-70 %
Periodic rate     0.17-66 %
Periods in the model     10