| Valuation Assumptions |
| |
Measurement
Date
|
Warrants |
Remaining
Contract
Term in
Years
|
Exercise
Price
|
Volatility |
Risk-free
Interest
Rate
|
Fair
Value
|
| Warrant |
|
|
|
|
|
|
|
|
|
| Placement Agent Warrants |
March 31, 2014 |
16,500 |
2.09 |
$ |
5.00 |
128% |
0.44% |
$ |
37,000 |
| Investor - Series A Warrants |
March 31, 2014 |
1,000 |
1.41 |
$ |
3.00 |
128% |
0.44% |
|
1,000 |
| Investor - Series B Warrants |
March 31, 2014 |
1,400,000 |
1.41 |
$ |
3.63 |
128% |
0.44% |
|
2,958,000 |
| Placement Agent Warrants |
March 31, 2014 |
69,037 |
2.09 |
$ |
3.00 |
128% |
0.44% |
|
179,000 |
| |
|
|
|
|
|
|
|
$ |
3,175,000 |
| Warrant |
|
|
|
|
|
|
|
|
|
| Placement Agent Warrants |
September 30, 2014 |
16,500 |
1.59 |
$ |
5.00 |
100% |
0.58% |
$ |
11,000 |
| Investor - Series A Warrants |
September 30, 2014 |
1,000 |
0.90 |
$ |
3.00 |
100% |
0.13% |
|
1,000 |
| Investor - Series B Warrants |
September 30, 2014 |
1,400,000 |
0.90 |
$ |
3.63 |
100% |
0.13% |
|
777,000 |
| Placement Agent Warrants |
September 30, 2014 |
69,037 |
1.59 |
$ |
3.00 |
100% |
0.58% |
|
67,000 |
| |
|
|
|
|
|
|
|
$ |
856,000 |
| Warrant |
|
|
|
|
|
|
|
|
|
| Placement Agent Warrants |
December 31, 2014 |
16,500 |
1.34 |
$ |
5.00 |
100% |
0.13% |
$ |
3,000 |
| Investor - Series A Warrants |
December 31, 2014 |
1,000 |
0.65 |
$ |
3.00 |
100% |
0.13% |
|
– |
| Investor - Series B Warrants |
December 31, 2014 |
1,400,000 |
0.65 |
$ |
3.63 |
100% |
0.13% |
|
150,000 |
| Placement Agent Warrants |
December 31, 2014 |
69,037 |
1.34 |
$ |
3.00 |
100% |
0.13% |
|
24,000 |
| |
|
|
|
|
|
|
|
$ |
177,000 |
|
| Changes in fair value of Level 3 financial liabilities recurring basis |
| Derivative liabilities |
|
Three
Months Ended
December 31, 2014 |
|
|
Nine
Months Ended
December 31, 2014 |
|
| Beginning fair value |
|
$ |
856,000 |
|
|
$ |
3,175,000 |
|
| Gain due to change in fair value of derivative
liabilities |
|
|
(679,000 |
) |
|
|
(2,998,000 |
) |
| Ending fair value |
|
$ |
177,000 |
|
|
$ |
177,000 |
|
|