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Derivative Liability

6 Months Ended

Jun. 30, 2016

Under the terms of the convertible note agreements, the Company identified derivative instruments arising from embedded conversion features, as well as warrants issued with the December 2015 Convertible Note.

The following summarizes the Black-Scholes assumptions used to estimate the fair value of the derivative liability at the dates of issuance and the revaluation dates:

	January 27, 2016 ⁽¹⁾	February 10, 2016 ⁽²⁾	February 24, 2016 ⁽³⁾	March 31, 2016

Volatility	121 %	121 %	118 %	121 – 127 %
Risk-free interest rate	0.5 %	0.4 %	0.7 %	0.3 – 0.8 %
Expected life (years)	1.0	0.5	1.6	0.4 – 2.7
Dividend yield	--	--	--	--

	April 11, 2016 ⁽³⁾	April 19, 2016 ⁽³⁾	April 27, 2016 ⁽³⁾	May 3, 2016 ⁽³⁾

Volatility	111.5 %	113.4 %	119 %	120.3 %
Risk-free interest rate	0.62 %	0.65 %	0.71 %	0.64 %
Expected life (years)	1.43	1.41	1.39	1.37
Dividend yield	--	--	--	--

	May 6, 2016 ⁽³⁾	May 16, 2016 ^{(3) (6)}	May 23, 2016 ⁽⁵⁾	May 24, 2016 ⁽⁵⁾
Volatility	120.4 %	124 – 137.9 %	138.1 %	139 %
Risk-free interest rate	0.63 %	0.48 - 0.57 %	0.28 %	0.69 %
Expected life (years)	1.36	0.76 - 1.33	0.36	1.0
Dividend yield	--	--	--	--

	May 27, 2016 ⁽³⁾⁽⁸⁾	May 30, 2016	June 10, 2016 ⁽⁴⁾⁽⁷⁾	June 13, 2016 ⁽⁸⁾
Volatility	125 - 139 %	111 – 157.5 %	145%	146 %
Risk-free interest rate	0.58 - 0.69 %	0.49 - 0.95 %	0.26 - 0.42 %	0.55 %
Expected life (years)	0.99 - 1.30	0.51 – 2.51	0.31- 0.48	0.95
Dividend yield	--	--	--	--

	June 21, 2016 ⁽⁷⁾	June 29, 2016 ⁽⁴⁾⁽⁷⁾	June 30, 2016
Volatility	146.2 %	144.2 %	118 – 144.2 %
Risk-free interest rate	0.27 %	0.26 -35 %	0.2 – 0.65 %
Expected life (years)	0.28	0.25 – 0.42	0.11 – 2.42
Dividend yield	--	--	--	--

________________

(1)	Additional borrowing under the December 2015 Convertible Note.
(2)	Borrowing under the February 2016 Convertible Note.
(3)	Partial conversion of the September 2015 Convertible Note.
(4)	Partial conversion of the December 2015 Convertible Note.
(5)	Notes Payable Original Issue Discount converted into Exchange Notes.
(6)	Borrowing under the May 2016 Convertible Note.
(7)	Partial Conversion of Notes Payable Original Issue Discount
(8)	Partial Conversion of Exchange Notes

Changes in the derivative liability were as follows:

	Amount
December 31, 2015	$	356,554
December 2015 Convertible Note – additional borrowing		53,951
February 2016 Convertible Note		252,271
Exchange – Notes Payable Original Issue Discount		347,672
May 2016 Convertible Note		200,529
Exchange – December Convertible Note		34,673
Conversion – September 2015 Convertible Note		(171,276	)
Conversion - December 2015 Convertible Note		(75,305	)
Conversion – Notes Payable Original Issue Discount		(110,093	)
Change in fair value at June 30, 2016		(398,138	)
June 30, 2016	$	490,838

An estimated 14,310,748 number of shares were issuable if the conversion features and warrants had been exercised on June 30, 2016.