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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2017
Changes in Fair Values of Derivative Liabilities

The following table summarizes the amounts that were reflected in our income related to our derivatives for the three and nine months ended September 30, 2017 and September 30, 2016:

 

     Three months ended September 30,      Nine months ended September 30,  
     2017      2016      2017      2016  

Derivative income (expense):

            

Unrealized gains (losses) from fair value changes:

            

2014 Convertible Promissory Notes

      —        $ —          —        $ 1,939,366  

Warrant derivatives

      —          3,748        —          6,082  
  

 

 

     

 

 

     

 

 

     

 

 

  
     —          3,748        —          1,945,448  

Redemptions of Senior Convertible Notes

      —          —          —          1,456,825  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total derivative income (expense)

    $ —        $ 3,748      $ —        $ 3,402,273  
  

 

 

     

 

 

     

 

 

     

 

 

  
Senior Convertible Notes [Member]  
Significant Assumptions Utilized in Valuation Technique

Significant inputs and results arising from the Monte Carlo Simulations process are as follows for the share purchase options that have been bifurcated from our Monaco Notes and classified in liabilities as of March 8, 2016, (Modification Date):

 

Tranche 1 – August 14, 2014:

    March 8, 2016***

Underlying price on valuation date*

    $1.25

Contractual conversion rate

    $3.15

Contractual term to maturity**

    1.82 Years

Implied expected term to maturity

    1.24 Years

Market volatility:

   

Range of volatilities

    96.0% - 154.0%

Equivalent volatilities

    120.1%

Contractual interest rate

    11.00%

Equivalent market risk adjusted interest rates

    11.60%

Range of credit risk adjusted yields

    3.49% - 5.02%

Equivalent credit risk adjusted yield

    4.13%

 

Tranche 2 – October 1, 2014:

    March 8, 2016***

Underlying price on valuation date*

    $1.25

Contractual conversion rate

    $3.15

Contractual term to maturity**

    1.82 Years

Implied expected term to maturity

    1.24 Years

Market volatility:

   

Range of volatilities

    96.0% - 154.0%

Equivalent volatilities

    120.1%

Contractual interest rate

    11.00%

Equivalent market risk adjusted interest rates

    11.60%

Range of credit risk adjusted yields

    3.49% - 5.02%

Equivalent credit risk adjusted yield

    4.13%

 

Tranche 3 – December 1, 2014:

    March 8, 2016***

Underlying price on valuation date*

    $1.25

Contractual conversion rate

    $3.15

Contractual term to maturity**

    1.82 Years

Implied expected term to maturity

    1.24 Years

Market volatility:

   

Range of volatilities

    96.0% - 154.0%

Equivalent volatilities

    120.1%

Contractual interest rate

    11.00%

Equivalent market risk adjusted interest rates

    11.60%

Range of credit risk adjusted yields

    3.49% - 5.02%

Equivalent credit risk adjusted yield

    4.13%

 

*

The instrument is convertible into shares of the Company’s subsidiary, Oceanica, which is not a publicly-traded entity. Therefore, its shares do not trade on a public exchange. As a result, the underlying value was originally based on private sales of the subsidiary’s shares because that was the best indicator of the value of the shares in the past. The last sale of Oceanica’s shares in which a private investor accumulated 24% of the shares of which their last purchase price was for $2.50 per share in December 2013. Accordingly, the underlying price used in the past in the MCS calculations was the $2.50 for the inception dates and December 31, 2015.    Being far removed from December 2013 while considering the modification in March 2016 of the new option price of $1.00 and other market conditions currently prevailing, management determined $1.25 to be representative of the per share fair value.
** On December 10, 2015, the term was extended to December 31, 2017.
  In March 2016, the term was extended to April 1, 2018.
*** In March 2016, the purchase price of the share purchase options was modified to $1.00 per share. As a result of the re-pricing, the share purchase options became convertible into a fixed number of shares and no longer required measurement as derivative liabilities. The MCS were calculated for the instruments just prior to the modification on March 8, 2016.
2014 Share Purchase Option [Member]  
Changes in Fair Value Inputs and Assumptions

The following table reflects the issuances of the Share Purchase Option derivatives and changes in fair value inputs and assumptions for these derivatives during the nine months ended September 30, 2017 and 2016.

 

     For the nine months ended
September 30,		  
     2017      2016  

Balances at January 1

    $ —        $ 3,396,190  

Issuances

      —          —    

Modification

         (1,456,825 ) 

Changes in fair value inputs and assumptions reflected in income

      —          (1,939,365 ) 
  

 

 

     

 

 

  

Balances at September 30

    $ —        $ —    
  

 

 

     

 

 

  
Warrant Derivatives [Member]  
Changes in Fair Value Inputs and Assumptions

The following table reflects the issuances of derivative warrants and changes in fair value related to the derivative warrants during the nine months ended September 30, 2017 and 2016.

 

     Nine months ended September 30,  
     2017      2016  

Balances at January 1

    $ —        $ 6,225  

Changes in fair value inputs and assumptions reflected in income

      —          (6,083 ) 
  

 

 

     

 

 

  

Balances at September 30

    $ —        $ 142