Fair Value (Tables)

6 Months Ended

Jun. 30, 2018

Fair Value Disclosures [Abstract]

Schedule of Assumptions to Estimate Fair Value of Warrants

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

	June 30,			December 31,
	2018			2017
Underlying price per share	$	0.32		$	0.35
Exercise price per share	$	1.88		$	1.88
Risk-free interest rate		2.64	%		2.05	%
Expected holding period		3.18			3.70
Expected volatility		70	%		65	%
Expected dividend yield		-			-

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

	June 30,			December 31,
	2018			2017
Underlying price per share	$	0.32		$	0.35
Exercise price per share	$	0.69-0.75		$	0.69-$0.75
Risk-free interest rate		2.69	%		2.10	%
Expected holding period		4.09-4.10			4.10
Expected volatility		70	%		65	%
Expected dividend yield		-			-

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

	June 30,			December 31,
	2018			2017
Underlying price per share	$	0.32		$	0.35
Exercise price per share	$	0.63		$	0.63
Risk-free interest rate		2.68	%		2.14	%
Expected holding period		3.92			4.4
Expected volatility		70	%		65	%
Expected dividend yield		-			-

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

	June 30,			December 31,
	2018			2017
Underlying price per share	$	0.32		$	0.35
Exercise price per share	$	0.45		$	0.45
Risk-free interest rate		2.66	%		1.33%-2.11	%
Expected holding period		3.68			0.2-4.2
Expected volatility		70	%		65	%
Expected dividend yield		-			-

The Company utilized the following assumptions to estimate the fair value of the April 2018 Warrants:

	June 30,			April 24,
	2018			2018
Underlying price per share	$	0.32		$	0.34
Exercise price per share	$	0.39		$	0.39
Risk-free interest rate		2.56%-2.74	%		2.56%-2.86	%
Expected holding period		2.32-5.32			2.5-5.5
Expected volatility		70	%		70	%
Expected dividend yield		-			-

Schedule of Range of Probabilities

With the above factors utilized in analysis of the likelihood of the Put’s potential Liability, 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 June 30, 2018
	Total		Level 1		Level 2		Level 3
Assets:
Marketable securities	$	674	$	674	$	-	$	-
Liabilities:
Redeemable warrants	$	2,095		-		-	$	2,095

	(in thousands) As of December 31, 2017
	Total		Level 1		Level 2		Level 3
Assets:
Marketable securities	$	695	$	695	$	-	$	-
Liabilities:
Redeemable warrants	$	962		-		-	$	962

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, 2017	$	962
Warrants exercised and cancelled		(222	)
Warrants issued		1,486
Fair value adjustments		(131	)
Balance at June 30, 2018	$	2,095