Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.4.0.3
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2016
Fair Value Measurements [Abstract]  
Schedule of financial assets and liabilities that are measured at fair value on a recurring basis

    Fair value measured at March 31, 2016  
    Fair value
at 
March 31,
    Quoted 
prices 
in active
markets
    Significant
other
observable 
inputs
    Significant 
unobservable inputs
 
    2016     (Level 1)     (Level 2)     (Level 3)  
Assets:                                
Related party convertible notes receivable   $ 500     $ -     $ -     $ 500  
Total fair value   $ 500     $ -     $ -     $ 500  
                                 
Liabilities:                                
Embedded conversion feature   $ 2,092     $ -     $ -     $ 2,092  
Warrant liability     2,073       -       -       2,073  
Share-settled debt     476       -       -       476  
Total fair value   $ 4,641     $ -     $ -     $ 4,641  
Summary of changes in the fair value of the company's Level 3 financial liabilities

 

          Embedded              
    Warrant
Liability
    Conversion
Feature
    Share-settled Debt     Total  
January 1, 2016     3,025       2,073       521       5,619  
Issuance of warrants     1,456       -       -       1,456  
Issuance of convertible notes     -       105       -       105  
Conversion of 12% senior convertible debentures to common stock     -       -       -       -  
Conversion of share-settled debt to common stock     -       (35 )     (25 )     (60 )
Change in fair value     (2,408 )     (51 )     (20 )     (2,479 )
March 31, 2016   $ 2,073     $ 2,092     $ 476     $ 4,641  
Schedule of fair value of the warrants determined using the Black-Scholes model with the following assumptions

    As of March 31, 2016  
          Embedded        
    Warrant
Liability
    Conversion Feature     Share-settled Debt  
Contractual life (years)     4.63       0.50       0.10  
Annualized volatility     72 %     72 %     72 %
Conversion price   $ 0.29     $ 0.06     $ 0.30  
Expected dividends     0 %     0 %     0 %
Risk-free investment rate     1.1 %     0.4 %     0.4 %

 

* The Company uses comparable companies within the same industry to derive at the 72% annualized volatility.