Annual report pursuant to Section 13 and 15(d)

Fair Value Measurement

v3.6.0.2
Fair Value Measurement
 12 Months Ended
Dec. 31, 2016
Fair Value Disclosures [Abstract]  
Fair Value Disclosures [Text Block]
Note 9 - Fair Value Measurement
 
Financial instruments measured at fair value are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.
 
The following table sets forth the changes in the estimated fair value for Level 3 classified derivative contingently issuable warrant liability at December 31, 2015 (in thousands):
 
 
 
Contingently
 
 
 
Issuable
 
 
 
Warrants
 
Fair value, January 1, 2015
 
$
-
 
Additions
 
 
175
 
Change in fair value
 
 
438
 
Issuance of Warrants (October 30, 2015)
 
 
(613)
 
Fair value, December 31, 2015
 
$
-
 
 
The fair value of the Contingently Issuable Warrants was determined at various issuance dates from March 19, 2015 to August 31, 2015 (“Issuance Dates”) for $0.2 million and on October 30, 2015 for $0.6 million by applying management’s estimate of the probability of issuance of the Contingently Issuable Warrants together with an option pricing model with the following key assumptions:
 
 
 
 
 
October 30,
 
 
 
Issuance Dates
 
2015
 
Risk-free Interest rate
 
 
2.26
%
 
2.16
%
Expected dividend yield
 
 
-
 
 
-
 
Expected term in years
 
 
10.00
 
 
10.00
 
Expected volatility
 
 
83
%
 
100.86
%
Probability of issuance of the warrant
 
 
25
%
 
100
%