Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS AND DERIVATIVE INSTRUMENTS (Tables)

v3.3.1.900
FAIR VALUE MEASUREMENTS AND DERIVATIVE INSTRUMENTS (Tables)
12 Months Ended
Dec. 31, 2015
Fair Value Measurements  
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:
 
Warrant
Liabilities(1)
 
Senior
Convertible
Note Derivative
Liability(2)
Balance at January 1, 2014
$
3,276,084

 
$
5,056,502

Issuance of warrant and derivative liabilities

 

Change in fair value
382,327

 
1,633,272

Write-off due to conversion and IPO
(3,658,411
)
 
(6,689,774
)
Balance at December 31, 2014
$

 
$

(1)
The change in the fair value of the warrants was recorded as a reduction to other income in the consolidated statement of operations of $382,000 for the year ended December 31, 2014. 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.
(2)
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 $1.6 million to other income in the consolidated statement of operations for the year ended December 31, 2014.
Black-Scholes option-pricing model  
Fair Value Measurements  
Schedule of assumptions used to determine the fair value
The following assumptions were used in the Black-Scholes option-pricing model to determine the fair value of the warrant liabilities:
 
IPO Date
Assumptions:
 
Risk-free interest rate
1.25% - 2.31%
Expected dividend yield
0%
Expected volatility
64.0% - 69.6%
Expected term (in years)
3.58 – 5.95