Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL MEASUREMENTS (Tables)

v3.8.0.1
FAIR VALUE OF FINANCIAL MEASUREMENTS (Tables)
9 Months Ended
Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of fair value on a recurring basis

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

 

    September 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   $ 798,503     $     $     $ 798,503  
Warrant liability     1,474,139                   1,474,139  
Total   $ 2,272,642     $     $     $ 2,272,642  

 

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 nine months ended September 30, 2017:

 

Conversion option:

 

    September 30,  
    2017  
Common Stock Closing Price   $ 0.05 to 0.07  
Conversion Price per Share   $ 0.075 to 0.10  
Conversion Shares       21,666,666  
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 1.47 %
Term       0.87 to 2 years  

 

Exercise option:

 

    September 30,  
    2017  
Common Stock Closing Price   $ 0.05 to 0.07  
Conversion Price per Share   $ 0.10 to 0.15  
Conversion Shares       27,000,000  
Call Option Value       0.048 to 0.072  
Dividend Yield       0.00 %
Volatility       208.8 to 214.3 %
Risk-free Interest Rate       1.62 to 1.93 %
Term       3.87 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 nine months ended September 30, 2017:

 

    Debt     Warrant  
    Derivative     Liability  
Balance, December 31, 2016   $ 1,234,106     $ 1,093,765  
Aggregate amount of derivative instruments issued     85,381       551,558  
Transferred in due to conversions     14,551        
Change in fair value of derivative liabilities     (535,535 )     (171,184 )
Balance, September 30, 2017   $ 798,503     $ 1,474,139