Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.7.0.1
Fair Value Measurement (Tables)
 3 Months Ended
Mar. 31, 2017
NSC Contingently Issuable Warrants [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block]
The fair value of the NSC Contingently Issuable Warrants was determined by applying management’s estimate of the probability of issuance of the NSC Contingently Issuable Warrants together with the Black-Scholes option pricing model with the following key assumptions:
 
 
 
March 31, 2017
 
December 31, 2016
 
Risk-free interest rate
 
 
2.4
%
 
2.45
%
Expected dividend yield
 
 
-
 
 
-
 
Expected term in years
 
 
10
 
 
10
 
Expected volatility
 
 
83
%
 
83
%
Probability of issuance of the warrant
 
 
50
%
 
50
%
Westpark Contingently Issuable Warrants [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block]
The fair value of Westpark warrant liability was measured at fair value using a Monte Carlo simulation valuation methodology. A summary of the weighted average (in aggregate) significant unobservable inputs (level 3 inputs) used in measuring the Company’s warrant liabilities that are categorized within Level 3 of the fair value hierarchy is as follows:
 
 
 
March 31,
 
December 31,
 
 
 
2017
 
2016
 
Risk-free interest rate
 
 
2.4
%
 
2.45
%
Expected dividend yield
 
 
-
 
 
-
 
Expected term in years
 
 
10
 
 
10
 
Expected volatility
 
 
86
%
 
87
%
Warrant [Member]  
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]
The following table sets forth the changes in the estimated fair value for our Level 3 classified derivative contingently issuable warrant liability:
 
 
 
 
 
Westpark
 
 
 
 
 
NSC Contingently
 
Contingently
 
 
 
($ in thousands)
 
Issuable Warrants
 
Issuable Warrants
 
Total
 
Fair value, December 31, 2016
 
$
302
 
$
12
 
$
314
 
Change in fair value
 
 
(3)
 
 
-
 
 
(3)
 
Fair value, March 31, 2017
 
$
299
 
$
12
 
$
311
 
Debt [Member]  
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]
The following table sets forth the changes in the estimated fair value for our Level 3 classified convertible notes payable:
 
 
 
Westpark
 
($ in thousands)
 
Convertible Notes
 
Fair value, December 31, 2016
 
$
200
 
Change in fair value
 
 
4
 
Fair value, March 31, 2017
 
$
204