Annual report pursuant to Section 13 and 15(d)

Convertible Notes (Tables)

Convertible Notes (Tables)

12 Months Ended

Dec. 31, 2016

The December 31, 2016 convertible note payable is comprised of the following (in thousands):

	December 31, 2016

Convertible note payable	$	5,000
Accrued interest		343
Deferred financing costs, net		(115	)
Note discount		(4,921	)

Convertible note payable, non-current portion	$	307

Schedule of private placement convertible notes

The balance of Private Placement Convertible Notes as of December 31, 2014 was as follows (in thousands):

Face value of the Private Placement Convertible Notes	$	6,000
Debt discount and value of embedded option, net of amortization		(909	)
Private Placement Convertible Notes, net	$	5,091

Schedule of fair value of the convertible notes using the Monte Carlo simulation

Significant increases in either the probability or severity of default of the host instrument would result in a significantly lower fair value measurement (Aggregate fair value in thousands).

	As of			As of
	October 31,			December 31,
	2014			2014
Fair value of stock price on valuation date	$	1.77		$	2.18
High collar	$	2.50		$	2.50
Low collar	$	1.67		$	1.67
Term (years)		0.75			0.58
Expected volatility		80	%		80	%
Weighted average risk-free interest rate		0.11	%		0.14	%
Trials		50,000			50,000
Aggregate fair value	$	212		$	1,109

Schedule of subsequent measurement of the fair values of the financing warrants

Provided below are the principal assumptions used in the initial and subsequent measurement of the fair values of the Financing Warrants (Warrants fair value in thousands):

	10/31/14			12/31/14			8/5/15
Fair market value of shares	$	1.77		$	2.18		$	5.00
Assumed exercise price	$	3.00		$	3.00		$	3.00
Term in years		5			4.84			4.25

Volatility		80	%		80	%		80	%
Annual rate of dividends		0	%		0	%		0	%
Discount rate		1.62	%		1.65	%		1.55	%
Call option value	$	0.88		$	1.14		$	3.51
Warrant shares issuable		220,268			220,268			251,187
Warrants fair value	$	212		$	276		$	881