Fair Value (Tables)

9 Months Ended

Sep. 30, 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:

	September 30, 2017			December 31, 2016
Underlying price per share	$	0.32			$0.69-$1.26
Exercise price per share		1.88			1.88 - 2.00
Risk-free interest rate		1.76	%		1.86	%
Expected holding period		3.9			4.70
Expected volatility		75	%		85	%
Expected dividend yield		-			-

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

	September 30, 2017			February 1, 2017
Underlying price per share	$	0.32		$	0.64
Exercise price per share		0.69-0.75			0.69-0.75
Risk-free interest rate		1.82	%		1.86%-1.93	%
Expected holding period		4.3			5.00
Expected volatility		70%-75	%		80%-85	%
Expected dividend yield		-			-

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

	September 30, 2017			June 1, 2017
Underlying price per share	$	0.32		$	0.53
Exercise price per share		0.63			0.60-0.63
Risk-free interest rate		1.87	%		1.11%-1.76	%
Expected holding period		4.7			.7-5
Expected volatility		70	%		80	%
Expected dividend yield		-			-

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

	September 30, 2017			August 23, 2017
Underlying price per share	$	0.32		$	0.37
Exercise price per share		0.45			0.45
Risk-free interest rate		1.15%-1.83	%		1.11%-1.69	%
Expected holding period		0.4-4.4			0.5-4.5
Expected volatility		70	%		70	%
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 September 30, 2017
	Total		Level 1		Level 2		Level 3
Assets:
Marketable securities	$	1,800	$	1,800	$	-	$	-
Liabilities:
Redeemable warrants	$	1,018		-		-	$	1,018

	(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		2,074
Modification of warrants		389
Fair value adjustments		(2,385	)
Balance at September 30, 2017	$	1,018