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Derivative Liability

9 Months Ended

12 Months Ended

Sep. 30, 2016

Dec. 31, 2015

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		July 8, 2016 ⁽⁸⁾
Volatility		146.2	%		144.2	%	118 – 144.2 %			142.7	%
Risk-free interest rate		0.27	%	0.26 -35 %			0.2 – 0.65 %			0.48	%
Expected life (years)		0.28		0.25 – 0.42			0.11 – 2.42			0.88
Dividend yield		--			--			--		--

	July 12, 2016 ⁽⁽⁸⁾			July 19, 2016⁽¹²⁾			July 20, 2016 ⁽⁸⁾			July 26, 2016 ⁽⁸⁾
Volatility		143.8	%		146.3	%		146.1	%		146.6	%
Risk-free interest rate		0.29	%		0.31	%	0.32- 0.56 %				0.55	%
Expected life (years)		0.22			0.37		0.20 - 0.84				0.83
Dividend yield		--			--			--			--

	Aug. 8, 2016 ^(8)(12)			Aug. 9, 2016 ⁽⁸⁾			Aug. 16, 2016 ^(8)(12)			Aug. 17, 2016⁽¹¹⁾
Volatility		147.8	%		151.3	%		163.7	%		164.8	%
Risk-free interest rate	0.29 - 0.31 %				0.50	%		0.27	%	0.27 - 0.52 %
Expected life (years)	0.15 - 0.32				0.79		0.12- 0.29			0.0 - 0.77

	Aug 30, 2016 ^(9)(10)			Sept 30, 2016
Volatility		178.4	%	151 – 200.6 %
Risk-free interest rate	0.47 - 0.52 %			0.20 - 0.77 %
Expected life (years)	0.00 - 0.41			0.0 – 2.17
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

(9) Partial Conversion February 2016 Convertible Note

(10) Conversion of January 2016 Convertible Note

(11) Exchange – February 2016 Convertible Note

(12) Partial Conversion of May 2016 Convertible Note

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	)
Exchange – February 2016 Convertible Note		20,146
Conversion – December 2015 Convertible Note		(120,817	)
Conversion – January 2016 Convertible Note		(86,141	)
Conversion – Notes Payable Original Issue Discount		(227,280	)
Conversion – February 2016 Convertible Note		(33,594	)
Change in fair value at September 30, 2016		(340,300	)
September 30, 2016	$	100,990

An estimated 750,291 number of shares were issuable if the conversion features and warrants had been exercised on September 30, 2016.

Under the terms of the September 2015 Convertible Note and the December 2015 Convertible Note, we 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 date:

	September 15, 2015			November 12, 2015			December 2, 2015			December 31, 2015
Volatility		112	%		111	%		103	%		102	%
Risk-free interest rate		0.8	%		0.8	%		1.2	%	0.5 – 1.2 %
Expected life (years)		2.0			1.8		1.0 – 3.0			0.9 – 2.9
Dividend yield		-			-			-			-

Changes in the derivative liability were as follows:

	Amount		Shares(1)
December 31, 2014	$	-		-
Fair value of derivative upon issuance:
September 2015 Convertible Note – September borrowing		75,750		633,690
September 2015 Convertible Note – November borrowing		45,479		422,460
December 2015 Convertible Note – conversion feature		43,713		500,000
December 2015 Convertible note - warrants		141.475		2,030,765
		306,317		3,586,915
Change in fair value at December 31, 2015		50,237
December 31, 2015	$	356,554

______________

(1) Estimated number of shares issuable if the conversion feature or warrants were exercised as of December 31, 2015.