COMMON STOCK, PREFERRED STOCK AND WARRANTS WITH-DOWN ROUND PROTECTION (Tables)
|
12 Months Ended |
Dec. 31, 2015 |
|---|
| LIABILITIES, TEMPORARY EQUITY AND STOCKHOLDERS' DEFICIT |
|
| Schedule of Changes in Fair Value of Level 3 Liability |
The changes in the fair value of the Level 3 liability are as follows (in US dollars):
| |
|
Series A Warrants
|
|
| |
|
December 31,
|
|
| |
|
2015
|
|
|
2014
|
|
| |
|
|
|
|
|
|
|
Balance, Beginning of the year
|
|
|
2,057,618 |
|
|
|
8,216,705 |
|
|
Classification from stockholders deficit
|
|
|
- |
|
|
|
400,671 |
|
|
Exchange of Series A Warrants pursuant to the “Most favored nation” provision
|
|
|
(1,586,831 |
) |
|
|
- |
|
|
Change in fair value of Series A Warrants
|
|
|
(149,092 |
) |
|
|
(6,559,758 |
) |
|
Balance, End of year
|
|
|
321,695 |
|
|
|
2,057,618 |
| |
| Schedule of Fair Value Assumptions Used |
The key inputs used in the fair value calculations were as follows:
| |
|
December 31,
2015
|
|
|
December 31,
2014
|
|
|
Dividend yield (%)
|
|
|
- |
|
|
|
- |
|
|
Expected volatility (%) (*)
|
|
|
105.14 |
|
|
|
105.14 |
|
|
Risk free interest rate (%)
|
|
|
0.99 |
|
|
|
1.14 |
|
|
Expected term of options (years) (**)
|
|
|
2.20 |
|
|
|
3.20 |
|
|
Exercise price (US dollars)
|
|
|
5.80 |
|
|
|
5.80 |
|
|
Share price (US dollars) (***)
|
|
|
2.31 |
|
|
|
2.31 |
|
|
Fair value (US dollars)
|
|
|
0.84 |
|
|
|
1.13 |
|
|
|
(*)
|
Due to the low trading volume of the Company’s Common Stock, the expected volatility was based on the historical volatility of the share price of other public companies that operate in the same industry sector as the Company.
|
|
|
(**)
|
Due to the fact that the Company does not have sufficient historical exercise data, the expected term was determined based on the "simplified method" in accordance with Staff Accounting Bulletin No. 110.
|
|
|
(***)
|
The Common Stock price, per share reflects the Company’s management’s estimation of the fair value per share of Common Stock as of December 31, 2015 and 2014. In reaching its estimation for December 31, 2015 and 2014, management considered, among other things, a valuation prepared by a third-party valuation firm following the 2014 Offering. | |
| Schedule of Stock Grants Activity |
The following tables present a summary of the status of the grants to employees, officers and directors as of December 31, 2015 and 2014:
| |
|
Number
|
|
|
Weighted average exercise price (US$)
|
|
|
Year ended December 31, 2015
|
|
|
|
|
|
|
|
Balance outstanding at beginning of year
|
|
|
450,847 |
|
|
|
5.85 |
|
|
Granted
|
|
|
- |
|
|
|
- |
|
|
Exercised
|
|
|
(19,769 |
) |
|
|
1.82 |
|
|
Forfeited
|
|
|
(17,605 |
) |
|
|
6.01 |
|
|
Balance outstanding at end of the year
|
|
|
413,473 |
|
|
|
6.04 |
|
|
Balance exercisable at the end of the year
|
|
|
293,736 |
|
|
|
5.95 |
|
| |
|
Number
|
|
|
Weighted average exercise price (US$)
|
|
|
Year ended December 31, 2014
|
|
|
|
|
|
|
|
Balance outstanding at beginning of year
|
|
|
414,847 |
|
|
|
5.74 |
|
|
Granted
|
|
|
44,000 |
|
|
|
7.00 |
|
|
Exercised
|
|
|
- |
|
|
|
- |
|
|
Forfeited
|
|
|
(8,000 |
) |
|
|
6.25 |
|
|
Balance outstanding at end of the year
|
|
|
450,847 |
|
|
|
5.85 |
|
|
Balance exercisable at the end of the year
|
|
|
302,360 |
|
|
|
5.58 | |
| Schedule of Stock Grants, by Exercise Price Range |
The following tables summarize information about options outstanding at December 31, 2015:
|
Exercise
price (US$)
|
|
|
Outstanding at December 31, 2015
|
|
|
Weighted average remaining contractual life (years)
|
|
|
Weighted average exercise price
|
|
|
Exercisable at December 31, 2015
|
|
|
Weighted average remaining contractual life (years)
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1.72 |
|
|
|
21,758 |
|
|
|
1.60 |
|
|
|
1.72 |
|
|
|
21,758 |
|
|
|
1.60 |
|
| |
3.63 |
|
|
|
3,730 |
|
|
|
1.60 |
|
|
|
3.63 |
|
|
|
3,730 |
|
|
|
1.60 |
|
| |
6.01 |
|
|
|
4,273 |
|
|
|
2.04 |
|
|
|
6.03 |
|
|
|
4,273 |
|
|
|
2.04 |
|
| |
6.25 |
|
|
|
351,712 |
|
|
|
6.20 |
|
|
|
6.25 |
|
|
|
236,975 |
|
|
|
6.20 |
|
| |
7.00 |
|
|
|
32,000 |
|
|
|
8.5 |
|
|
|
7.00 |
|
|
|
27,000 |
|
|
|
8.50 |
|
| |
|
|
|
|
413,473 |
|
|
|
|
|
|
|
|
|
|
|
293,736 |
|
|
|
|
| Schedule of Assumptions Used to Value Options |
The fair value of options granted was estimated at the dates of grant using the Black-Scholes option pricing model. The following are the data and assumptions used:
| |
|
2015
|
|
|
2014
|
|
|
2013
|
|
|
Dividend yield (%)
|
|
|
- |
|
|
|
0 |
|
|
|
- |
|
|
Expected volatility (%) (*)
|
|
|
- |
|
|
|
105.14 |
|
|
|
- |
|
|
Risk free interest rate (%)
|
|
|
- |
|
|
|
1.61 |
|
|
|
- |
|
|
Expected term of options (years) (**)
|
|
|
- |
|
|
|
5-6 |
|
|
|
- |
|
|
Exercise price (US dollars)
|
|
|
- |
|
|
|
7.00 |
|
|
|
- |
|
|
Stock price (US dollars) (***)
|
|
|
- |
|
|
|
2.31 |
|
|
|
- |
|
|
Fair value (US dollars)
|
|
|
- |
|
|
|
1.59 |
|
|
|
- |
|
|
|
(*)
|
Due to the low trading volume of the Company’s Common Stock, the expected volatility was based on the historical volatility of the share price of other public companies that operate in the same industry sector as the Company.
|
|
|
(**)
|
Due to the fact that the Company does not have sufficient historical exercise data, the expected term was determined based on the "simplified method" in accordance with Staff Accounting Bulletin No. 110.
|
|
|
(***)
|
The Common Stock price, per share for the year ended December 31, 2014 reflects the Company’s management’s estimation of the fair value per share of Common Stock. In reaching its estimation for December 31, 2014, management considered, among other things, a valuation prepared by a third-party valuation firm following the issuance of the 2014 Offering. | |