FAIR VALUE MEASUREMENTS

12 Months Ended

Dec. 31, 2016

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS

NOTE 7 - FAIR VALUE MEASUREMENTS

The Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2016 by level within the fair value hierarchy, are as follows:

	Quoted prices in active markets		Significant other observable inputs		Significant unobservable inputs
	(Level 1)		(Level 2)		(Level 3)
Embedded conversion options	$	-	$	-	$	832,663
Warrant derivatives	$	-	$	-	$	443,816

There were no transfers between Level 1, 2 or 3 during the years ended December 31, 2016 and 2015.

As of December 31, 2016, the embedded conversion options (as discussed in Note 6) and warrant derivatives have aggregate fair values of $832,663 and $443,816, respectively. The table below presents changes in fair value for the embedded conversion options and warrant derivatives, which is a Level 3 fair value measurement:

Rollforward of Level 3 Fair Value Measurement for the Year Ended December 31, 2016

	Balance as of December 31,				Change in Fair Market			Balance as of December 31,
	2015		Issuance		Value			2016
Embedded conversion options	$	-	$	1,695,460	$	(862,797	)	$	832,663
Warrant derivatives	$	-	$	579,451	$	(135,635	)	$	443,816

The Company’s derivative liabilities are measured at fair value using the Monte Carlo simulation valuation methodology. A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring the Company’s embedded conversion options that are categorized within Level 3 of the fair value hierarchy as of December 31, 2016 is as follows:

	As of December 31, 2016
Stock price	$	0.36
Term (years)		2.72
Volatility		116	%
Risk-free rate of interest		1.18	%
Dividend yield		0.0	%

A summary of the weighted average significant unobservable inputs (Level 3 inputs) used in measuring the Company’s warrant derivatives that are categorized within Level 3 of the fair value hierarchy as of December 31, 2016 is as follows:

	As of December 31, 2016
Stock price	$	0.36
Term (years)		6.84
Volatility		112	%
Risk-free rate of interest		2.23	%
Dividend yield		0.0	%