Fair Value (Tables)

9 Months Ended

Sep. 30, 2016

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,	September 6,
	2016	2016
Underlying price per share	$1.26	$1.39
Exercise price per share	$1.88 - $2.00	$1.88 - $2.00
Risk-free interest rate	1.21%	1.21%
Expected holding period	4.90	5.00
Expected volatility	90%	90%
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 September 30, 2016
	Total		Level 1		Level 2		Level 3
Assets:
Marketable securities	$	3,536	$	3,536	$	-	$	-
Liabilities:
Redeemable warrants		2,514		-		-		2,514

	(in thousands) As of December 31, 2015
	Total		Level 1		Level 2		Level 3
Assets:
Marketable Securities	$	6,795	$	6,795	$	-	$	-
Liabilities:
Redeemable warrants		-		-		-		-

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)
	2016
Balance at December 31, 2015	$	-
Issuance of warrants		2,617
Fair value adjustments		(103	)
Balance at September 30	$	2,514