Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS AND DERIVATIVE INSTRUMENTS (Tables)

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FAIR VALUE MEASUREMENTS AND DERIVATIVE INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2015
Fair Value Disclosures [Abstract]  
Schedule of assumptions used to determine the fair value
The following assumptions were used in the Monte Carlo option-valuation model to determine the fair value of the Financing Warrant and Senior Convertible Note derivative liability from January 1, 2014 to March 31, 2014, which was the last period the Monte Carlo option-valuation model was used for determining fair value.
 
 
Expected Life
(Years)
 
Risk Free
Rate
 
Volatility
 
Probability of
a Capital Raise
Financing Warrant
6.25
 
2.09%
 
69.9%
 
0.00%
Senior Convertible Note Derivative Liability
0.5
 
0.13%
 
96.3%
 
80% – 95%
The following assumptions were used in the Black-Scholes option valuation model to determine the fair value of the remaining warrant liabilities as of March 31, 2014 and all warrant liabilities as of the IPO Date:
 
 
March 31, 2014
 
IPO Date
Assumptions:
 
 
 
Risk-free interest rate
1.32% - 2.02%
 
1.25% - 2.31%
Expected dividend yield
0.00%
 
0.00%
Expected volatility
64.3% - 69.8%
 
64.0% - 69.6%
Expected term (in years)
3.83 – 6.25
 
3.58 – 5.95
Schedule of reconciliation of all liabilities measured at fair value using Level 3 significant unobservable inputs
The following table provides a reconciliation of all liabilities measured at fair value using Level 3 significant unobservable inputs as of September 30, 2014:
 
 
Warrant
Liabilities(1)
 
Senior
Convertible
Note Derivative
Liability(2)
Balance at January 1, 2014
$
3,276,000

 
$
5,057,000

Change in fair value
382,000

 
1,633,000

Write-off due to conversion and IPO
(3,658,000
)
 
(6,690,000
)
Balance at September 30, 2014
$
—

 
$
—

 
(1)
The change in the fair value of the warrants was recorded as $0 and a reduction of $(382,000) to other income in the condensed consolidated statement of operations for the three and nine months ended September 30, 2014, respectively. Due to the expiration of the redemption and put option features included in the Bridge Warrants, Consulting Warrant and Financing Warrant as of the IPO Date, these warrant liabilities were recorded as an increase of $3.7 million to additional paid-in capital in the consolidated balance sheet as of December 31, 2014. There were no warrant liabilities as of September 30, 2015.
 (2)
The change in the fair value of the senior convertible note derivative liability was recorded as a reduction to other income (expense) in the condensed consolidated statement of operations of $0 and ($1.6 million) for the three and nine months ended September 30, 2014, respectively. The extinguishment of the senior convertible note derivative liability was recorded as an increase of $5.5 million to additional paid-in capital and a gain of $1.2 million to other income in the consolidated statement of operations for the year ended December 31, 2014. There were no derivative liabilities as of September 30, 2015.