4. Fair Value Measurement

12 Months Ended

Dec. 31, 2017

Fair Value Measurement

Fair Value Measurement

To measure the fair value of derivative instruments, the Company utilizes Monte Carlo models that value the Kingsway Warrant, Conversion Feature, Warrants and Placement Agent Warrants. The Monte Carlo models are based on future projections of the various potential outcomes of each instrument, giving consideration to the terms of each instrument. A discounted average cash flow over the various scenarios is completed to determine the value of the instrument.

The table below provides a summary of the changes in fair value, of all financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the year ended December 31, 2017:

	Kingsway Warrant		Conversion Feature		Warrants		Placement Agent Warrants		Total
Balance December 31, 2016	$	68,335	$	435,672	$	93,387	$	48,684	$	646,078
Issuance		-		447,586		106,363		54,650		608,599
Change in Fair Value of Derivative Liabilities		126,153		42,303		4,077		2,202		174,735
Balance – December 31, 2017	$	194,488	$	925,561	$	203,827	$	105,536	$	1,429,412

The fair value of the derivative instruments as of December 31, 2017 were calculated using Monte Carlo models with the following weighted average assumptions:

	Kingsway Warrant			Conversion Feature			Warrants			Placement Agent Warrants
Dividend Yield		0	%		0	%		0	%		0	%
Expected Volatility		73	%		75	%		75	%		75	%
Risk Free Interest Rate		1.9	%		1.9	%		1.9	%		1.9	%
Remaining Contractual Term (Years)		2.5			1.9			1.9			1.9