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Fair Value Measurements | 6 Months Ended
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Jun. 30, 2015
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements Financial Instruments Measured and Recorded at Fair Value on a Recurring Basis The Company measures and records certain financial instruments at fair value on a recurring basis. Fair value is based on the price that would be received from selling an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under a three-tier fair value hierarchy which prioritizes the inputs used in measuring fair value as follows:
Level 1 | - | quoted market prices for identical assets or liabilities in active markets.
Level 2 | - | observable prices that are based on inputs not quoted on active markets, but corroborated by market data.
Level 3 | - | unobservable inputs reflecting management’s assumptions, consistent with reasonably available assumptions made by other market participants. These valuations require significant judgment.
The Company classifies assets and liabilities measured at fair value in their entirety based on the lowest level of input that is significant to their fair value measurement. No financial assets were measured on a recurring basis at June 30, 2015 and December 31, 2014. The following tables set forth the financial liabilities measured at fair value on a recurring basis by level within the fair value hierarchy at June 30, 2015 and December 31, 2014:
| Fair Value Measurements at June 30, 2015
Description | Level 1 |  | Level 2 |  | Level 3 |  | Total
Derivative liabilities |  |  |  |  |  |  |
Common stock warrants | $ | — |  |  | $ | — |  |  | 848 |  |  | $ | 848 |
Conversion feature of notes | — |  |  | — |  |  | 3,741 |  |  | 3,741 |
Total derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 4,589 |  |  | $ | 4,589 |
| Fair Value Measurements at December 31, 2014
Description | Level 1 |  | Level 2 |  | Level 3 |  | Total
Derivative liabilities |  |  |  |  |  |  |
Common stock warrants | $ | — |  |  | $ | — |  |  | $ | 11,358 |  |  | $ | 11,358 |
Conversion feature of notes | — |  |  | — |  |  | 2,612 |  |  | 2,612 |
Total derivative liabilities | $ | — |  |  | $ | — |  |  | $ | 13,970 |  |  | $ | 13,970 |
The Company did not have any transfers of assets and liabilities between Level 1 and Level 2 of the fair value measurement hierarchy during the six months ended June 30, 2015 and 2014. The following table presents a reconciliation of the derivative liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the six months ended June 30, 2015 and 2014:
| Common Stock Warrants |  | Preferred Stock Warrants |  | Conversion Feature of Notes |  | Total Derivative Liability
Balance at December 31, 2013 | $ | (199 | ) |  | $ | (11 | ) |  | $ | — |  |  | $ | (210 | )
Issuances of derivatives | (1,106 | ) |  | — |  |  | (848 | ) |  | $ | (1,954 | )
Reclassification from liability to equity | — |  |  | 5 |  |  | — |  |  | $ | 5 |
Change in fair value | (568 | ) |  | 6 |  |  | — |  |  | $ | (562 | )
Balance at June 30, 2014 | $ | (1,873 | ) |  | $ | — |  |  | $ | (848 | ) |  | $ | (2,721 | )
Balance at December 31, 2014 | $ | (11,358 | ) |  | $ | — |  |  | $ | (2,612 | ) |  | $ | (13,970 | )
Issuances of derivatives | — |  |  | — |  |  | — |  |  | $ | — |
Decrease in liability due to debt conversions | — |  |  | — |  |  | 179 |  |  | $ | 179 |
Decrease in liability due to warrants being exercised | 10,302 |  |  | — |  |  | — |  |  | $ | 10,302 |
Change in fair value | 208 |  |  | — |  |  | (1,308 | ) |  | $ | (1,100 | )
Balance at June 30, 2015 | $ | (848 | ) |  | $ | — |  |  | $ | (3,741 | ) |  | $ | (4,589 | )
Common Stock Warrants The Company has issued certain warrants to purchase shares of common stock, which are considered mark-to-market liabilities and are re-measured to fair value at each reporting period in accordance with accounting guidance. The assumptions used in estimating the common stock warrant liability at June 30, 2015 and December 31, 2014 were as follows:
| June 30, 2015 |  | December 31, 2014
Fair value of common share | $ | 0.57 |  |  | $ | 0.80 |
Weighted-average risk free interest rate | 1.01 | % |  | 1.53 | %
Weighted-average expected life | 4 years, 2 months |  |  | 4 years, 7 months |
Expected dividend yield | — | % |  | — | %
Weighted average expected volatility | 44 | % |  | 116 | %
Conversion Feature of Notes The Company entered into convertible notes in 2014. The conversion features of the notes were evaluated and determined to be derivatives and are re-measured to fair value at each reporting period. The assumptions used in estimating the conversion feature of the notes at June 30, 2015 and December 31, 2014 were as follows:
| June 30, 2015 |  | December 31, 2014
Estimated fair value of common share | $ | 0.57 |  |  | $ | 0.80 |
Weighted-average risk free interest rate | 0.28 | % |  | 0.67 | %
Weighted-average expected life | 1 year, 1 month |  |  | 1 year, 7 months |
Expected dividend yield | — | % |  | — | %
Weighted average expected volatility | 152 | % |  | 32 | %
Other Financial Instruments The Company’s recorded values of cash and cash equivalents, accounts receivable, accounts payable and accrued liabilities approximate their fair values based on their short-term nature. The recorded value of notes payable approximates the fair value as the interest rate approximates market interest rates.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=35750535&loc=d3e13537-108611 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=35750535&loc=d3e13504-108611 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=35750535&loc=d3e13433-108611 + Details
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