XML 28 R18.htm IDEA: XBRL DOCUMENT v3.8.0.1
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2017
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table summarizes the Company’s 2016 Warrants measured at fair value within the hierarchy on a recurring basis as of December 31, 2016:
 
 
 
Fair Value Measurements at
December 31, 2016
(in thousands)
 
 
 
Level 1
 
Level 2
 
Level 3
 
Total
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Warrant liability
 
$
-
 
$
-
 
$
2,906
 
$
2,906
 
 
The following table summarizes the Company’s 2016 Warrants measured at fair value within the hierarchy on a recurring basis as of September 30, 2016:
 
 
 
Fair Value Measurements at
September 30, 2016
(in thousands)
 
 
 
Level 1
 
Level 2
 
Level 3
 
Total
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Warrant liability
 
$
-
 
$
-
 
$
3,199
 
$
3,199
 
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 nine months ended September 30, 2017:
 
 
 
Fair Value of 
Warrant Liability
 
 
 
(in thousands)
 
Balance at December 31, 2016
 
$
2,906
 
Change in fair value
 
 
(2,374)
 
Extinguished
 
 
(357)
 
Reclassified to equity
 
 
(175)
 
Balance at September 30, 2017
 
$
-
 
 
The following table summarizes changes to the fair value of the Level 3 2016 Warrants for the nine months ended September 30, 2016:
  
 
 
Fair Value of 
Warrant Liability
 
 
 
(in thousands)
 
Balance at December 31, 2015
 
$
-
 
Issuance
 
 
4,619
 
Change in fair value
 
 
(1,420)
 
Balance at September 30, 2016
 
$
3,199
 
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 on the reclassification dates of June 13, 2017 and May 21, 2017 and as of December 31, 2016:
 
 
 
 
As of
June 13,
2017
 
 
As of
May 21,
2017
 
 
As of
December 31,
2016
 
Risk-free interest rate
 
 
1.51
%
 
 
1.78
%
 
 
1.93
%
Expected volatility
 
 
88
%
 
 
89
%
 
 
98
%
Expected term in years
 
 
4.6
 
 
 
4.6
 
 
 
5.0
 
Dividend yield
 
 
-
%
 
 
-
%
 
 
-
%
 
The Company utilized the Binomial Lattice Model for estimating the fair value of the 2016 Warrants using the following assumptions as of September 30, 2016:
 
 
 
As of
September 30,
2016
 
Risk-free interest rate
 
 
1.14
%
Expected volatility
 
 
104
%
Expected term in years
 
 
5.3
 
Dividend yield
 
 
          -
%