Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2017

Fair Value Disclosures [Abstract]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following tables summarize the Company’s liabilities measured at fair value within the hierarchy on a recurring basis as of March 31, 2017 and December 31, 2016: 

	Fair Value Measurements at
	March 31, 2017
	(in thousands)
	Level 1		Level 2		Level 3		Total
Liabilities:
Warrant liability	$	-	$	-	$	1,310	$	1,310

	Fair Value Measurements at
	December 31, 2016
	(in thousands)
	Level 1		Level 2		Level 3		Total
Liabilities:
Warrant liability	$	-	$	-	$	2,906	$	2,906

Fair Value, Instruments Classified in Shareholders' Equity Measured on Recurring Basis, Unobservable Input Reconciliation

The following table summarizes changes to the fair value of the Level 3 2016 Warrants for the three months ended March 31, 2017:

	Fair Value of
	Warrant Liability
	(in thousands)
Balance at December 31, 2016	$	2,906
Change in fair value		(1,596)
Balance at March 31, 2017	$	1,310

Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques

The Company utilized the Binomial Lattice Model for estimating the fair value of the 2016 Warrants using the following assumptions as of March 31, 2017 and December 31, 2016:

	As of			As of
	March 31, 2017			December 31, 2016
Risk-free interest rate		1.93	%		1.93	%
Expected volatility		89	%		98	%
Expected term in years		4.8			5.0
Dividend yield		-	%		-	%