Annual report pursuant to Section 13 and 15(d)

FAIR VALUE (Tables)

v3.3.1.900
FAIR VALUE (Tables)
12 Months Ended
Dec. 31, 2015
Fair Value, Liabilities Measured on Recurring Basis [Table Text Block]
The following tables set forth the Company’s financial instruments carried at fair value using the lowest level of input applicable to each financial instrument as of December 31, 2015 and 2014:
 
 
 
December 31, 2015
 
 
 
Level 1
 
Level 2
 
Level 3
 
Fair Value
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
February 2013 Public Offering Warrants
 
$
 
$
 
$
209,000
 
$
209,000
 
August 2014 Warrants
 
 
 
 
2,714,000
 
 
 
 
2,714,000
 
October 2015 Warrants
 
 
 
 
 
 
1,858,000
 
 
1,858,000
 
Total
 
$
 
$
2,714,000
 
$
2,067,000
 
$
4,781,000
 
 
 
 
December 31, 2014
 
 
 
Level 1
 
Level 2
 
Level 3
 
Fair Value
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Legacy Warrants
 
$
 
$
999
 
$
 
$
999
 
February 2013 Public Offering Warrants
 
 
 
 
 
 
1,127,500
 
 
1,127,500
 
August 2014 Warrants
 
 
 
 
4,048,416
 
 
 
 
4,048,416
 
Total
 
$
 
$
4,049,415
 
$
1,127,500
 
$
5,176,915
 
 
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block]
The following table summarizes the modified option-pricing assumptions used at the issuance date:
 
 
 
October 1, 2015
 
 
 
Series A
 
 
Series B
 
Volatility
 
 
94.33
%
 
 
97.57
%
Risk-free interest rate
 
 
1.76
%
 
 
1.76
%
Expected life (years)
 
 
5.00
 
 
 
5.00
 
Dividend
 
 
0
%
 
 
0
%
Schedule Of Changes In Fair Value Warrants Classified Level Three [Table Text Block]
The following table summarizes the changes in the fair market value of the Company’s warrants which are classified within the Level 3 fair value hierarchy.
 
 
 
Year Ended December 31,
 
 
 
2015
 
2014
 
 
 
 
 
 
 
 
 
Beginning fair value of warrants
 
$
1,127,500
 
$
3,355,000
 
Fair value of warrants issued in connection with the October 2015 offering
 
 
3,272,000
 
 
 
Gain on derivatives resulting from change in fair value
 
 
(2,332,500)
 
 
(2,227,500)
 
Ending fair value of warrants
 
$
2,067,000
 
$
1,127,500
 
 
2013 Warrants [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block]
The following table summarizes the modified option-pricing assumptions used:
 
 
 
Year Ended December 31,
 
 
 
2015
 
2014
 
Volatility
 
 
87.3-90.0
%
 
100.0-115.0
%
Risk-free interest rate
 
 
0.82-1.10
%
 
1.07-2.63
%
Expected life (years)
 
 
2.14-2.89
 
 
3.14-3.89
 
Dividend
 
 
0
%
 
0
%
2015 Warrants [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block]
The following table summarizes the modified option-pricing assumptions used:
 
 
 
Year Ended
December 31,
 
 
 
2015
 
Volatility
 
 
97.57
%
Risk-free interest rate
 
 
1.70
%
Expected life (years)
 
 
4.75
 
Dividend
 
 
0
%