Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Warrants (Tables)

v3.7.0.1
Fair Value of Warrants (Tables)
 6 Months Ended
Jun. 30, 2017
Fair Value Disclosures [Abstract]  
Schedule of derivative warrant liability
The following table summarizes the derivative warrant activity subject to fair value accounting for the six months ended June 30, 2017 (in thousands):
Issued with/for
Fair value of
warrants
outstanding as of
December 31, 2016
 
Fair value
of warrants
issued
 
Fair value
of warrants exercised
 
Change in
fair value
of warrants
 
Fair value of
warrants
outstanding as of
June 30, 2017
2016 Offerings
$
2,018

 
$
—

 
$
(2,696
)
 
$
6,389

 
$
5,711

2017 Debt
—

 
1,004

 
—

 
328

 
1,332

 
$
2,018

 
$
1,004

 
$
(2,696
)
 
$
6,717

 
$
7,043

Assumptions used in computing fair value of derivative warrants
The following tables summarize the assumptions used in computing the fair value of derivative warrants subject to fair value accounting at the date of issue or exercise during the three and six months ended June 30, 2017 and 2016, and at June 30, 2017 and December 31, 2016.

 
Issued During the
 
Exercised During the
 
 
 
 
2016 Offerings
Three and Six Months Ended June 30, 2016
 
Three Months Ended June 30, 2017
Six Months Ended June 30, 2017
 
As of June 30, 2017
 
As of December 31, 2016
Exercise price
$
2.25

 
$
2.25

$
2.25

 
$
2.25

 
$
2.25

Expected life (years)
5.50

 
4.51

4.79

 
4.58

 
5.06

Expected volatility
75.57
%
 
77.11
%
76.29
%
 
76.39
%
 
72.82
%
Risk-free interest rate
1.40
%
 
1.80
%
1.94
%
 
1.89
%
 
1.93
%
Expected dividend yield
—
%
 
—
%
—
%
 
—
%
 
—
%

2017 Debt
Issued During the Six Months Ended June 30, 2017
 
As of June 30, 2017
Exercise price
$
2.82

 
$
2.82

Expected life (years)
7.00

 
6.73

Expected volatility
74.61
%
 
76.39
%
Risk-free interest rate
2.22
%
 
2.14
%
Expected dividend yield
—
%
 
—
%