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Fair Value Measurement
 6 Months Ended
Jun. 30, 2015
Fair Value Measurement [Abstract]  
FAIR VALUE MEASUREMENT

NOTE 3: FAIR VALUE MEASUREMENT

 

 We measure certain financial assets, including cash equivalents, at fair value on a recurring basis. In accordance with ASC 820-10-30, fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability. As a basis for considering such assumptions, ASC 820-10-35 establishes a three-level hierarchy that prioritizes the inputs used in measuring fair value. The three hierarchy levels are defined as follows:

 

Level 1 — Valuations based on unadjusted quoted prices in active markets for identical assets.

 

Level 2 — Valuations based on observable inputs (other than Level 1 prices), such as quoted prices for similar assets at the measurement date; quoted prices in markets that are not active; or other inputs that are observable, either directly or indirectly.

 

Level 3 — Valuations based on inputs that are unobservable and involve management judgment and the reporting entity’s own assumptions about market participants and pricing.

 

The following table presents information about the Company's warrant liabilities that are measured at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company used to determine such fair value. In general, fair values determined by Level 1 inputs use quoted prices (unadjusted) in active markets for identical assets or liabilities. Fair values determined by Level 2 inputs use data points that are observable such as quoted prices, interest rates and yield curves. Fair values determined by Level 3 inputs are unobservable data points for the asset or liability, and includes situations where there is little, if any, market activity for the asset or liability:

 

Description Fair Value Quoted Prices In Active Markets (Level 1) Significant Other Unobservable inputs (Level 2) Significant Other Observable Inputs (Level 3) 
Warrant Liabilities 1,340   $1,340 

The change in level 3 fair value is as follows:		          
          
Recorded warrant liability as of December 31, 2014     $1,910 
Warrants issued with convertible preferred stock (Note 10)       75 
Warrants issued with convertible promissory note (Note 5)       167 
Decrease in fair value of warrant liability      (812)
Ending warrant liability as of June 30, 2015     $1,340 

 

The range of inputs used for the Black-Scholes valuation of the warrant liabilities as of June 30, 2015 and December 31, 2014 were as follows: Expected term of 3.39 years to 4.64 years; Risk Free Rate of 1.17% to 1.55%; Stock Price of $0.40 and $0.25; and Volatility of 107.30% to 98.00%. See also Note 5: Loan Payable for the Black-Scholes inputs used to value the warrant liabilities associated with the debt issued in June 2015.