4. Fair Value Measurements

The following tables summarize the Company's assets and liabilities measured at fair value on a recurring basis at March 31, 2016 and December 31, 2015:

March 31, 2016	Fair Value		(Level 1)		(Level 2)		(Level 3)
Common stock warrants	$	6,940	$	—	$	—	$	6,940
Total	$	6,940	$	—	$	—	$	6,940


December 31, 2015	Fair Value		(Level 1)		(Level 2)		(Level 3)
Common stock warrants	$	4,145	$	—	$	—	$	4,145
Total	$	4,145	$	—	$	—	$	4,145

As discussed in Note 6, in January 2014, the Company issued warrants to purchase 23,858 shares of common stock at an exercise price per share of $30.40 to a placement agent. The exercise price is subject to adjustment and has been subsequently adjusted to $22.70 per share. The warrants may be exercised without cash consideration in lieu of forfeiting a portion of shares. Accordingly, the Company recognized a derivative liability at fair value upon issuance of the warrants. The Company estimated the fair value of the derivative liability using the Black-Scholes option pricing model. The fair value of the derivative liability as of March 31, 2016 was estimated using the following assumptions:

Expected volatility	65	%
Risk free rate	0.86	%
Dividend yield	0	%
Expected term (in years)	2.8226

The assumptions utilized were derived in a similar manner as discussed in Note 7 related to the fair value of stock options.

The Company revalues the derivative liabilities at the end of each reporting period using the same models as at issuance, updated for new facts and circumstances, and recognizes the change in the fair value in the statements of operations as other income (expense). The following sets forth a summary of changes in fair value of the Company’s Level 3 liabilities measured on a recurring basis for the three months ended March 31, 2016 and March 31, 2015:

	Common Stock Warrants
Balance at December 31, 2014	$	30,278
Change in fair value		(6,886	)
Balance at March 31, 2015	$	23,392
Balance at December 31, 2015	$	4,145
Change in fair value		2,795
Balance at March 31, 2016	$	6,940

5. Fair Value Measurements

The following tables summarize the Company’s assets and liabilities measured at fair value on a recurring basis at December 31, 2015 and December 31, 2014:

December 31, 2015	Fair Value		(Level 1)		(Level 2)		(Level 3)
Common stock warrants	$	4,145	$	—	$	—	$	4,145
Total	$	4,145	$	—	$	—	$	4,145


December 31, 2014	Fair Value		(Level 1)		(Level 2)		(Level 3)
Common stock warrants	$	30,278	$	—	$	—	$	30,278
Total	$	30,278	$	—	$	—	$	30,278

As discussed in Note 7, in January 2014, the Company issued warrants to purchase 23,858 shares of common stock at an exercise price of $30.40 to a placement agent. The exercise price is subject to adjustment and has been subsequently adjusted to $22.70 per share. The warrants may be exercised without cash consideration in lieu of forfeiting a portion of shares. Accordingly, the Company recognized a derivative liability at fair value upon issuance of the warrants. The Company estimated the fair value of the derivative liability using the Black-Scholes option pricing model. The fair value of the derivative liability as of December 31, 2015 was estimated using the following assumptions:

Expected volatility	60	%
Risk free rate	1.31	%
Dividend yield	0	%
Expected term (in years)	3.0726

The assumptions utilized were derived in a similar manner as discussed in Note 7 related to the fair value of stock options.

The Company revalues the derivative liabilities at the end of each reporting period using the same models as at issuance, updated for new facts and circumstances, and recognizes the change in the fair value in the statements of operations as other income (expense). The following sets forth a summary of changes in fair value of the Company’s level 3 liabilities measured on a recurring basis for the twelve months ended December 31, 2015 and December 31, 2014:

	Convertible Notes Payable Derivative Liability			Series A-1 Preferred Stock Derivative Liability			Common Stock Warrants
Balance at December 31, 2013	$	534,975		$	56,926		$	—
Extinguishment		(434,500	)		—			—
Fair value at issuance		189,300			—			466,706
Change in fair value		(289,775	)		(56,926	)		(436,428	)
Balance at December 31, 2014	$	—		$	—		$	30,278
Fair value at issuance		—			—			41,306
Change in fair value		—			—			(67,439	)
Balance at December 31, 2015	$	—		$	—		$	4,145

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details