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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2015

Schedule of Liabilities Measured at Fair Value on a Recurring Basis

Liabilities measured at fair value on a recurring basis are summarized as follows:


	Level 1		Level 2		Level 3		Total
Derivative liability related to fair value of warrants	$	—	$	—	$	6,201,233	$	6,201,233

Total	$	—	$	—	$	6,201,233	$	6,201,233

Fair Value Measurements within Fair Value Hierarchy of Derivative Liabilities Using Level 3 Inputs

The following table details the approximate fair value measurements within the fair value hierarchy of the Company’s derivative liabilities using Level 3 inputs:


Balance at January 1, 2015	$	6,370,709
Change in fair value of derivative liabilities		(169,476	)

Balance at March 31, 2015	$	6,201,233

Embedded Derivative Liability Valuation Assumptions

The Preferred Stock shares are convertible into shares of the Company’s common stock, which did traded in an active securities market, therefore the embedded derivative liability was valued using the following market based inputs:


Series A Preferred Stock Conversion price	$	0.03
Intrinsic value of conversion option per share	$	—

Schedule of Common Stock Purchase Warrants Valuation Assumptions

As of March 31, 2015, the Company’s outstanding warrants were treated as derivative liabilities and changes in the fair value were recognized in earnings. These common stock purchase warrants did not trade in an active securities market, and as such, the Company estimated the fair value of these warrants using Black-Scholes and the following assumptions:


Annual Dividend Yield		0.0%
Expected Life (Years)		2.75 - 4.76
Risk-Free Interest Rate		.89% - 1.37%
Expected Volatility		177.1% - 193.7%

- Definition

Tabular disclosure of the fair value measurement of financial instruments classified in shareholders' equity using significant unobservable inputs (level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of level 3 (for example, transfers due to changes in the observability of significant inputs) by class of equity.

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- Definition

Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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