Fair Value (Tables)

3 Months Ended

Mar. 31, 2017

Fair Value Disclosures [Abstract]

Schedule of Assumptions to Estimate the Fair Value of Warrants

The Company utilized the following assumptions to estimate the fair value of the August 2016 Warrants:

	March 31, 2017		December 31, 2016
Underlying price per share		$0.55		$0.69
Exercise price per share		$1.88 - $2.00		$1.88 - $2.00
Risk-free interest rate		1.81%-1.86%		1.86%
Expected holding period		4.40		4.70
Expected volatility		85%		85%
Expected dividend yield		-		-

The Company utilized the following assumptions to estimate the fair value of the January 2017 Warrants:

	March 31, 2017		February 1, 2017
Underlying price per share		$0.55		$0.64
Exercise price per share		$0.69-$0.75		$0.69-$0.75
Risk-free interest rate		1.90%		1.86%-1.93%
Expected holding period		4.80-4.90		5.00
Expected volatility		85%		80%-85%
Expected dividend yield		-		-

Schedule of Range of Probabilities

the Company estimated the range of probabilities related to a Put right being triggered as:

Range of Probability	Probability
Low		0.5	%
Medium		1.0	%
High		5.0	%

Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

The table below presents the balances of assets and liabilities measured at fair value on a recurring basis by level within the hierarchy as:

	(in thousands) As of March 31, 2017
	Total		Level 1		Level 2		Level 3
Assets:
Marketable securities	$	2,973	$	2,973	$	-	$	-
Liabilities:
Redeemable warrants	$	1,279		-		-	$	1,279

	(in thousands) As of December 31, 2016
	Total		Level 1		Level 2		Level 3
Assets:
Marketable Securities	$	3,460	$	3,460	$	-	$	-
Liabilities:
Redeemable warrants		940		-		-		940

Schedule of Changes in Level 3 Liabilities Measured at Fair Value on a Recurring Basis

The changes in Level 3 Liabilities measured at fair value on a recurring basis are summarized as follows (in thousands):

Balance at December 31, 2016	$	940
Issuance of warrants		732
Fair value adjustments		(393	)
Balance at March 31, 2017	$	1,279