Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.7.0.1
Derivative Instruments (Tables)
6 Months Ended
Jun. 30, 2017
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies

    GPB Warrant-1     GPB Warrant-2     GPB Warrant-3     JGB Exchange Warrants  
    June 30,
2017
    June 30,
2017
    June 30,
2017
    June 30,
2017
    June 30,
2017
 
Fair value of Company’s common stock   $ 0.12     $ 0.12     $ 0.12     $ 0.12     $ 0.12  
Volatility     105 %     105 %     103 %     137 %     137 %
Exercise price     7.00       7.00       7.00       0.04       0.40  
Estimated life     1.43       1.48       1.87       0.50       0.50  
Risk free interest rate (based on 1-year treasury rate)     1.31 %     1.31 %     1.31 %     1.14 %     1.14 %
Demand Promissory Note [Member]  
Derivative [Line Items]  
Summary of fair value of embedded feature of convertible debentures using Monte Carlo simulation
    December 31,
2016
 
Principal amount   $ 1,198  
         
Conversion price per share   $ 5.00  
Conversion trigger price per share     None  
Risk free rate     0.44 %
Life of conversion feature (in years)     0.10  
Volatility     135 %
Mid Market Warrants [Member]  
Derivative [Line Items]  
Summary of assumptions and methodologies for calculation using a binomial lattice pricing model
    June 30,     December 31,  
    2017     2016  
             
Fair value of Company’s common stock   $ 0.12     $ 0.12  
Volatility (closing prices of 3-4 comparable public companies, including the Company’s historical volatility)     112 %     120 %
Exercise price per share   $ 4.00 - $5.00     $ 4.00 - $5.00  
Estimated life     1.2 years       1.7 years  
Risk free interest rate (based on 1-year treasury rate)     1.31 %     0.12 %
Forward Investments, LLC Convertible Feature [Member]  
Derivative [Line Items]  
Summary of fair value of embedded feature of convertible debentures using Monte Carlo simulation
    June 30, 2017     December 31, 2016  
Principal amount and accrued interest   $ 1,744     $ 543     $ 1,192     $ 5,021     $ 3,210     $ 390     $ 1,025     $ 4,373  
                                                                 
Conversion price per share   $ 3.12     $ 3.12     $ 3.12     $ 3.12     $ 3.12     $ 3.12     $ 3.12     $ 3.12  
Risk free rate     1.89 %     1.89 %     1.14 %     1.14 %     1.93 %     1.93 %     0.51 %     0.85 %
Life of conversion feature (in years)     4.5       4.5       0.0       0.5       5.0       5.0       0.3       1.0  
Volatility     148 %     148 %     141 %     220 %     100 %     100 %     135 %     120 %
Smithline Senior Convertible Note Embedded Features [Member]  
Derivative [Line Items]  
Summary of fair value of embedded feature of convertible debentures using Monte Carlo simulation
    June 30,
2017
 
       
Principal amount and accrued interest   $ 149  
         
Conversion price per share   $ 5.00  
Conversion trigger price per share      None  
Risk free rate     1.14 %
Life of conversion feature (in years)     0.25  
Volatility     213 %
JGB (Cayman) Waltham Ltd [Member]  
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies
    June 30,
2017
    December 31,
2016
 
Principal amount   $ 4,451     $ 5,034  
                 
Conversion price per share   $ 0.16     $ 0.80  
Conversion trigger price per share      None     $ 8.00  
Risk free rate     1.38 %     1.31 %
Life of conversion feature (in years)     1.92       2.41  
Volatility     141 %     100 %
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
    June 30,
2017
    December 31,
2016
 
Principal amount   $ 503     $ 593  
                 
Conversion price per share   $ 0.16     $ 0.80  
Conversion trigger price per share      None     $ 8.00  
Risk free rate     1.03 %     0.62 %
Life of conversion feature (in years)     0.17       0.58  
Volatility     213 %     130 %
Senior convertible note [Member]  
Derivative [Line Items]  
Summary of fair value of embedded feature of convertible debentures using Monte Carlo simulation
    June 30,
2017
    December 31,
2016
 
Principal amount and guaranteed interest   $ 670     $ 605  
                 
Conversion price per share   $ 0.40     $ 0.40  
Conversion trigger price per share      None        None  
Risk free rate     1.14 %     0.76 %
Life of conversion feature (in years)     0.35       0.80  
Volatility     213 %     120 %
Senior Convertible Note One [Member]  
Derivative [Line Items]  
Summary of fair value of embedded feature of convertible debentures using Monte Carlo simulation
    June 30,
2017
 
Principal amount and guaranteed interest   $ 78  
         
Conversion price per share   $ 0.40  
Conversion trigger price per share      None  
Risk free rate     1.14 %
Life of conversion feature (in years)     0.60  
Volatility     210 %
JGB (Cayman) Concord [Member]  
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies
    June 30, 2017     December 31,
2016
 
Principal amount   $ 241     $ 3,749  
                 
Conversion price per share   $ 0.16     $ 0.80  
Conversion trigger price per share      None     $ 8.00  
Risk free rate     1.38 %     1.31 %
Life of conversion feature (in years)     1.92       2.41  
Volatility     141 %     100 %
JGB (Cayman) Concord Ltd. [Member]  
Derivative [Line Items]  
Summary of assumptions and methodologies for calculation using a binomial lattice pricing model
    December 31,
2016
 
Fair value of Company’s common stock   $ 0.12  
Volatility     120 %
Exercise price     3.76  
Estimated life     0.15  
Risk free interest rate (based on 1-year treasury rate)     0.48 %
JGB Waltham Warrant [Member]  
Derivative [Line Items]  
Summary of assumptions and methodologies for calculation using a binomial lattice pricing model
    June 30,
2017
 
Fair value of Company’s common stock   $ 0.12  
Volatility     197 %
Exercise price     0.16  
Estimated life     1.50  
Risk free interest rate (based on 1-year treasury rate)     1.24 %
MEF I, L.P. Assignment and Assumption Agreement [Member]  
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies
    June 30,
2017
 
Principal amount and guaranteed interest   $ 558  
         
Conversion price per share   $ 0.12  
Conversion trigger price per share      None  
Risk free rate     1.38 %
Life of conversion feature (in years)     1.92  
Volatility     141 %
SRFF Warrant and Derivative [Member]  
Derivative [Line Items]  
Summary of assumptions and methodologies for calculation using a binomial lattice pricing model
    June 30,
2017
    December 31,
2016
 
Fair value of Company’s common stock   $ 0.12     $ 0.12  
Volatility     192 %     120 %
Exercise price     0.004       0.004  
Estimated life     0.25       0.25  
Risk free interest rate (based on 1-year treasury rate)     1.03 %     0.57 %
RDW 2.5% Convertible Promissory Note [Member]  
Derivative [Line Items]  
Summary of fair value of derivative measurement using the Monte Carlo simulation with assumptions and methodologies
    June 30,
2017
 
Principal amount and guaranteed interest   $ 103  
         
Conversion price per share   $ 0.12  
Conversion trigger price per share      None  
Risk free rate     1.02 %
Life of conversion feature (in years)     0.76  
Volatility     184 %