Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.7.0.1
Fair Value Measurements
12 Months Ended
Dec. 31, 2016
Fair Value Disclosures [Abstract]  
Fair Value Measurements

10. Fair Value Measurements

Our financial instruments consist of cash, accounts payable, accrued liabilities, and warrant liability. We do not believe that we are exposed to significant interest, currency, or credit risks arising from these financial instruments. The fair values of the warrants approximates their carrying values using Level 3 inputs. Gains and losses recognized on changes in fair value of the warrants are reported in other income (expense). Our initial warrant valuation was measured at fair value by applying the Black-Scholes option valuation model, which utilizes Level 3 inputs. The assumptions used in the Black-Scholes option valuation for the warrants are as follows: dividend yield – 0%; risk-free interest rate - 1.23%; expected life – 5 years; volatility 174.401%.

On December 31, 2016, the warrants were re-valued using the Black-Scholes pricing model with the following assumptions: dividend yield – 0%; risk-free interest rate - 1.93%; expected life – 5 years; volatility 176.089%.

 

The following summarizes the Company's financial liabilities that are measured at fair value on a recurring basis at December 31, 2016.

 

    Level 1   Level 2   Level 3 Total
Liabilities                                
                                 
Derivative liabilities   $ —       $ —       $ 4,392,075     $ 4,392,075