Convertible Notes and Warrants (Tables)

9 Months Ended

Sep. 30, 2016

Summary of activity in Derivative Liability and Warrant Liability

The following table summarizes the activity in the derivative liability and the warrant liability for the nine months ended September 30, 2016:

	Nine Months Ended September 30, 2016
	(in thousands)
	Fair Value December 31, 2015		Fair Value of Instruments Issued		Change in Fair value			Reclassifications to Equity			Fair Value September 30, 2016
Derivative liability	$	—	$	8,748	$	(386	)	$	(8,362	)	$	—
Warrant liability		—		11		—			(11	)		—
Total	$	—	$	8,759	$	(386	)	$	(8,373	)	$	—

Summary of Convertible Notes

As of September 30, 2016, the Convertible Notes consisted of the following:

	September 30, 2016
	(in thousands, except conversion rate and conversion price)
Principal value	$	23,000
Unamortized debt discount		(8,859	)
Unamortized debt issuance costs		(1,335	)
Carrying value of the convertible notes	$	12,806
Conversion rate (shares of common stock per $1,000 principal amount of notes)		191.9386
Conversion price (per share of common stock)	$	5.21

Summary of Interest Expense Associated with Convertible Notes

For the three and nine months ended September 30, 2016, the Company recognized interest expense associated with its Convertible Notes as follows:

	Three months ended September 30, 2016		Nine months ended September 30, 2016
	(in thousands)		(in thousands)
Cash Interest Expense
Coupon interest expense	$	507	$	832
Noncash Interest Expense
Amortization of debt discount	$	340	$	562
Amortization of transaction costs	$	51	$	81
	$	898	$	1,475

Initial Closing [Member]

Schedule of Fair Value Assumption Used to Measure Derivative and Warrant Liability

The following assumptions were used in the Black-Scholes Model to measure the fair value of the derivative and warrant liability as of June 9, 2016 (the date of the shareholder vote) and April 21, 2016 (the date of the first closing):

	June 9, 2016			April 21, 2016
Fair value of underlying stock – per share	$	4.48		$	4.55
Risk-free interest rate		1.20	%		1.35	%
Expected life (years)		4.9			5
Expected volatility		73.16	%		73.95	%
Dividend yield		0.0	%		0.0	%

Second and Final Closing [Member]

Schedule of Fair Value Assumption Used to Measure Derivative and Warrant Liability

The following assumptions were used in the Black-Scholes Model to measure the fair value of the Warrants as of July 14, 2016:

	July 14, 2016
Fair value of underlying stock – per share	$	4.58
Risk-free interest rate		1.07	%
Expected life (years)		4.78
Expected volatility		72.87	%
Dividend yield		0.0	%