Convertible Notes (Tables)

9 Months Ended

Sep. 30, 2017

Debt Disclosure [Abstract]

Convertible Promissory Notes

Convertible promissory notes outstanding were as follows:

($ in thousands)	September 30, 2017			December 31, 2016
Convertible promissory notes	$	18,003		$	18,088
Debt discount - warrants	(9,599		)	(9,643		)
Debt discount - compound bifurcated derivatives	(1,267		)	(1,273		)
Debt discount - beneficial conversion feature	(7,137		)	(7,172		)
Convertible promissory notes, net	$	—		$	—

Fair Value of Compounded Bifurcated Derivatives

Significant inputs and assumptions used in the binomial lattice model for the derivative liability are as follows:

($ in thousands except per share data)	September 30, 2017			December 31, 2016
Calculated aggregate value	$	1,442		$	1,735
Closing price per share of common stock	$	3.06		$	1.89
Contractual remaining term	8 years, 11 months			9 years, 8 months
Contractual interest rate	4.0		%	4.0		%
Volume-weighted average conversion rate	$	3.40933		$	3.40985
Risk-free interest rate (term structure)	0.96% - 2.86%			0.44% - 2.45%
Dividend yield	—			—
Credit Rating	CC			CC
Credit Spread	32.82		%	33.27		%
Volatility	98.2		%	99.9		%