Annual report pursuant to Section 13 and 15(d)

Derivative Instruments (Tables)

v3.6.0.2
Derivative Instruments (Tables)
12 Months Ended
Dec. 31, 2016
Derivative [Line Items]  
Summary of assumptions and methodologies for calculation using a binomial lattice pricing model
    Year Ended December 31,  
    2016     2015  
             
Fair value of Company’s common stock   $ 0.03     $ 1.00  
Volatility (closing prices of 3-4 comparable public companies, including the Company’s historical volatility)     120 %     80 %
Exercise price per share     $4.00 - $5.00       $4.00 - $5.00  
Estimated life     1.7 years       1.7 years  
Risk free interest rate (based on 1-year treasury rate)     0.12 %     0.86 %
 
    December 31, 2016  
Fair value of Company's common stock   $ 0.03  
Volatility     120 %
Exercise price     0.001  
Estimated life     0.25  
Risk free interest rate (based on 1-year treasury rate)     0.57 %
Promissory Note [Member]  
Derivative [Line Items]  
Summary of fair value of embedded feature of convertible debentures using Monte Carlo simulation
    December 31, 2016     December 31, 2015  
Principal amount   $ 1,198     $ 2,105  
                 
Conversion price per share   $ 1.25     $ 1.25  
Conversion trigger price per share      None        None  
Risk free rate     0.44 %     0.69 %
Life of conversion feature (in years)     0.10       1.10  
Volatility     135 %     105 %
Demand Promissory Note [Member]  
Derivative [Line Items]  
Summary of fair value of embedded feature of convertible debentures using Monte Carlo simulation
    December 31, 2015  
Principal amount   $ 525  
         
Conversion price per share   $ 1.75  
Conversion trigger price per share      None  
Risk free rate     0.61 %
Life of conversion feature (in years)     0.87  
Volatility     105 %
Forward Investments Convertible Notes [Member]  
Derivative [Line Items]  
Summary of fair value of embedded feature of convertible debentures using Monte Carlo simulation
    December 31, 2016     December 31, 2015  
Principal amount   $ 3,210     $ 390     $ 1,025     $ 4,373     $ 3,650     $ 390     $ 2,825     $ 4,373  
                                                                 
Conversion price per share   $ 0.78     $ 0.78     $ 0.78     $ 0.78     $ 0.78     $ 0.78     $ 0.78     $ 0.78  
Risk free rate     1.93 %     1.93 %     0.51 %     0.85 %     1.93 %     1.93 %     0.49 %     1.06 %
Life of conversion feature (in years)     5.0       5.0       0.3       1.0       6.0       6.0       0.5       2.0  
Volatility     100 %     100 %     135 %     120 %     105 %     105 %     105 %     105 %
Smithline Senior Convertible Note Embedded Features [Member]  
Derivative [Line Items]  
Summary of fair value of embedded feature of convertible debentures using Monte Carlo simulation
    December 31, 2015  
       
Principal amount   $ 526  
         
Conversion price per share   $ 1.25  
Conversion trigger price per share      None  
Risk free rate     0.69 %
Life of conversion feature (in years)     1.10  
Volatility     105 %
Jgb (Cayman) Waltham Ltd [Member]  
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies
    December 31, 2016     December 31, 2015  
Principal amount   $ 5,034     $ 7,500  
                 
Conversion price per share   $ 0.20     $ 1.33  
Conversion trigger price per share   $ 2.00     $ 4.00  
Risk free rate     1.31 %     0.86 %
Life of conversion feature (in years)     2.41       1.50  
Volatility     100 %     105 %
Jgb Cayman Waltham Ltd One [Member]  
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies
    December 31, 2016  
Principal amount   $ 593  
         
Conversion price per share   $ 0.20  
Conversion trigger price per share   $ 2.00  
Risk free rate     0.62 %
Life of conversion feature (in years)     0.58  
Volatility     130 %
Senior convertible note [Member]  
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies
    December 31, 2015  
Principal amount   $ 250     $ 333     $ 500  
                         
Conversion price per share   $ 1.25     $ 1.25     $ 1.25  
Conversion trigger price per share      None        None        None  
Risk free rate     0.14 %     0.14 %     0.15 %
Life of conversion feature (in years)     0.08       0.12       0.16  
Volatility     105 %     105 %     105 %
Senior Convertible Note One [Member]  
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies
    December 31, 2016  
Principal amount   $ 604,800  
         
Conversion price per share   $ 0.10  
Conversion trigger price per share      None  
Risk free rate     0.76 %
Life of conversion feature (in years)     0.80  
Volatility     120 %
JGB Concord [Member]  
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies
    December 31, 2016  
Principal amount   $ 3,749  
         
Conversion price per share   $ 0.20  
Conversion trigger price per share   $ 2.00  
Risk free rate     1.31 %
Life of conversion feature (in years)     2.41  
Volatility     100 %
Jgb Concord One [Member]  
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies
    December 31, 2016  
Fair value of Company's common stock   $ 0.03  
Volatility     120 %
Exercise price     0.94  
Estimated life     0.15  
Risk free interest rate (based on 1-year treasury rate)     0.48 %
Exchange Agreement Tranches [Member]  
Derivative [Line Items]  
Summary of warrants derivative calculated using the Black-Scholes option pricing model
    Year Ended December 31,  
    2015  
    April 15, 2014     July 1, 2014  
    Warrant     Warrant  
             
Fair value of Company’s common stock   $ 1.00     $ 1.00  
Volatility (closing prices of 3-4 comparable public companies, including the Company’s historical volatility)     80 %     80 %
Exercise price per share   $ 5.00     $ 5.00  
Estimated life     3.5 months       1.5 years  
Risk free interest rate (based on 1-year treasury rate)     0.33 %     0.86 %