Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Assets and Liabilities (Tables)

v2.4.1.9
Fair Value of Assets and Liabilities (Tables)
3 Months Ended
Mar. 31, 2015
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Assumptions

The Company had valued certain warrants as a derivative liability at March 31, 2014 and used the Black-Scholes option pricing model to estimate fair value at March 31, 2014 and used the contractual life according to the remaining terms of the warrants and the following assumptions:

 

     As of March 31,
2014
 

Risk free interest rate

     1.40

Expected dividend yield

     0

Contractual term

     4.22   

Expected volatility

     87

Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis are summarized below:

 

     March 31, 2014  
     Level 1      Level 2      Level 3      Total  

Liabilities:

           

Derivative warrant liability at December 31, 2013

   $ —         $ —         $ 18,414       $ 18,414   

Change in fair value of the derivative warrant liability

     —           —           1,518         1,518   

Reclassification of derivative warrant liability

     —           —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Derivative warrant liability at March 31, 2014

$ —      $ —      $ 19,932    $ 19,932