Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Warrants (Tables)

v3.5.0.2
Fair Value of Warrants (Tables)
 9 Months Ended
Sep. 30, 2016
Fair Value Disclosures [Abstract]  
Schedule of Derivative Warrant Activity
The following table summarizes the derivative warrant activity subject to fair value accounting for the nine months ended September 30, 2016 (in thousands):
Issued with/for
Fair value of
warrants
outstanding as of
December 31, 2015
 
Fair value
of warrants
issued
 
Change in
fair value
of warrants
 
Fair value of
warrants
outstanding as of
September 30, 2016
Financing
$
17

 
$
—

 
$
(17
)
 
$
—

2016 Offerings
—

 
3,526

 
(712
)
 
2,814

 
$
17

 
$
3,526

 
$
(729
)
 
$
2,814

Assumptions Used in Computing Fair Value of Derivative Warrants
The following tables summarize the assumptions used in computing the fair value of derivative warrants subject to fair value accounting at the date of issue or exercise during the three and nine months ended September 30, 2016 and 2015, and at September 30, 2016 and December 31, 2015.
Issued with 2016 Offerings
Issued During the Three Months Ended September 30, 2016
 
Issued During the Nine Months Ended September 30, 2016
 
As of September 30, 2016
Exercise price
$
2.25

 
$
2.25

 
$
2.25

Expected life (years)
5.50

 
5.50

 
5.31

Expected volatility
73.28
%
 
74.36
%
 
72.97
%
Risk-free interest rate
1.21
%
 
1.30
%
 
1.14
%
Expected dividend yield
—
%
 
—
%
 
—
%
Financing
As of December 31, 2015
Exercise price
$
4.00

Expected life (years)
0.23

Expected volatility
70.82
%
Risk-free interest rate
0.16
%
Expected dividend yield
—
%