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Derivative Financial Instruments - Warrants
6 Months Ended
Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments - Warrants
Derivative Financial Instruments — Warrants
 
Based upon the Company’s analysis of the criteria contained in ASC Topic 815-40, Contracts in Entity’s Own Equity (“ASC 815-40”), Trovagene determined that certain warrants issued in connection with the execution of certain equity financings must be recorded as derivative liabilities. In accordance with ASC Topic 815-40, the warrants are also being re-measured at each balance sheet date based on estimated fair value, and any resultant change in fair value is being recorded in the Company’s condensed consolidated statements of operations. The Company estimates the fair value of these warrants using the Black-Scholes option pricing model.
 
The range of assumptions used to determine the fair value of the warrants valued using the Black-Scholes option pricing model during the periods indicated was:
 
 
Six Months Ended June 30,
 
2017
 
2016
Estimated fair value of Trovagene common stock
1.15-1.26

 
4.53-4.65

Expected warrant term
1.5-1.8 years

 
2.5-2.8 years

Risk-free interest rate
1.27-1.38%

 
0.71-0.87%

Expected volatility
98-109%

 
82-89%

Dividend yield
0
%
 
0
%


Expected volatility is based on historical volatility of Trovagene’s common stock. The warrants have a transferability provision and based on guidance provided in Staff Accounting Bulletin (“SAB”) No. 107, Share-Based Payment (“SAB No. 107”), for instruments issued with such a provision, Trovagene used the remaining contractual term as the expected term of the warrants. The risk free rate is based on the U.S. Treasury security rates consistent with the expected remaining term of the warrants at each balance sheet date.
 
The following table sets forth the components of changes in the Company’s derivative financial instrumentswarrants liability balance, valued using the Black-Scholes option pricing method, for the periods indicated.
 
Date
 
Description
 
Number of Warrants
 
Derivative
Instrument
Liability
December 31, 2016
 
Balance of derivative financial instrumentswarrants liability
 
967,295

 
$
834,940

 
 
Change in fair value of derivative financial instrumentswarrants during the period recognized as a gain in the condensed consolidated statements of operations
 

 
(484,078
)
June 30, 2017
 
Balance of derivative financial instrumentswarrants liability
 
967,295

 
$
350,862