Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.5.0.2
Fair Value Measurement (Tables)
9 Months Ended
Sep. 30, 2016
Fair Value Disclosures [Abstract]  
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]
The following table sets forth the changes in the estimated fair value for our Level 3 classified derivative contingently issuable warrant liability ($ in thousands):
 
 
 
Contingently
 
 
 
Issuable Warrants
 
Fair value, January 1, 2016
 
$
-
 
Warrant liability associated with NCS debt
 
 
634
 
Change in fair value
 
 
(2)
 
Fair value, September 30, 2016
 
$
632
 
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block]
The fair value of the Contingently Issuable Warrants was determined by applying management’s estimate of the probability of issuance of the Contingently Issuable Warrants together with the Black-Scholes option pricing model with the following key assumptions:
 
 
 
July 5, 2016
 
September 30, 2016
 
Risk-free interest rate
 
 
1.37
%
 
1.60
%
Expected dividend yield
 
 
-
 
 
-
 
Expected term in years
 
 
10.0
 
 
9.8
 
Expected volatility
 
 
76.70
%
 
76.70
%