Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL MEASUREMENTS (Tables)

v3.7.0.1
FAIR VALUE OF FINANCIAL MEASUREMENTS (Tables)
6 Months Ended
Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of fair value on a recurring basis

Financial liabilities as of June 30, 2017 measured at fair value on a recurring basis are summarized below:

 

    June 30,
2017
    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    Significant
Other
Observable
Inputs
(Level 2)
    Significant
Unobservable
Inputs
(Level 3)
                       
Derivative liability   $ 769,145     $     $     $ 769,145
Warrant liability     860,248                   860,248
Total   $ 1, 629,393     $     $     $ 1,629,393

  

Financial liabilities as of December 31, 2016 measured at fair value on a recurring basis are summarized below:

 

    December 31,
2016
    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    Significant
Other
Observable
Inputs
(Level 2)
    Significant
Unobservable
Inputs
(Level 3)
                       
Derivative liability   $ 1,234,106     $     $     $ 1,234,106
Warrant liability     1,093,765                   1,093,765
Total   $ 2,327,871     $     $     $ 2,327,871
Schedule of fair value of the conversion/exercise options

The fair value of the conversion/exercise options were calculated using a binomial lattice formula with the following assumptions during the six months ended June 30, 2017:

 

Conversion option:

 

    June 30,  
    2017  
Common Stock Closing Price   $ 0.05 to 0.07  
Conversion Price per Share   $ 0.075 to 0.10  
Conversion Shares     22,333,334  
Call Option Value     0.034 to 0.057  
Dividend Yield     0.00 %
Volatility     208.8 to 214.3 %
Risk-free Interest Rate     1.03 to 1.28 %
Term   1.13 to 2 years  

 

Exercise option:

 

    June 30,  
    2017  
Common Stock Closing Price   $ 0.05 to 0.07  
Conversion Price per Share   $ 0.100  
Conversion Shares     18,000,000  
Call Option Value     0.048 to 0.069  
Dividend Yield     0.00 %
Volatility     208.8 to 214.3 %
Risk-free Interest Rate     1.84 to 1.93 %
Term   4.13 to 5 years
Schedule of change in Company's Level 3 conversion note and warrant liability

The following table sets forth a summary of the changes in the fair value of the Company’s Level 3 financial liabilities that are measured at fair value on a recurring basis using significant unobservable input for the three months ended June 30, 2017:

 

    Debt     Warrant  
    Derivative     Liability  
Balance, December 31, 2016   $ 1,234,106     $ 1,093,765  
Aggregate amount of derivative instruments issued     85,381       101,558  
Transferred in due to conversions     4,154        
Change in fair value of derivative liabilities     (554,496 )     (335,075 )
Balance, June 30, 2017   $ 769,145     $ 860,248