Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

v3.5.0.2
Derivative Liabilities (Tables)
 3 Months Ended
Sep. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of financial assets and liabilities measured on recurring basis

Financial assets and liabilities measured at fair value on a recurring basis are summarized below and disclosed on the condensed consolidated balance sheet as of September 30, 2016:

 

    Carrying     Fair Value Measurement Using  
    Value     Level 1     Level 2     Level 3     Total  
                               
Derivative warrant liabilities   $ 1,479,945     $ —     $ —     $ 1,479,945     $ 1,479,945  

 

Financial assets and liabilities measured at fair value on a recurring basis are summarized below and disclosed on the consolidated balance sheet as of June 30, 2016:

 

    Carrying     Fair Value Measurement Using  
    Value     Level 1     Level 2     Level 3     Total  
                               
Derivative warrant liabilities   $ 1,322,729     $ —     $ —     $ 1,322,729     $ 1,322,729  
Schedule of fair value measurement of financial assets and liabilities using significant unobservable inputs

The table below provides a summary of the changes in fair value, including net transfers in and/or out, of all financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended September 30, 2016:

 

    Fair Value
Measurement
Using Level 3
Inputs		  
    Total  
Balance, July 1, 2016   $ 1,322,729  
Change in fair value of derivative warrant liabilities     157,216  
Balance, September 30, 2016   $ 1,479,945  
Schedule of fair value of the derivative feature of the warrant

The fair value of the derivative feature of the warrants on the issuance dates and at the balance sheet date were calculated using a binomial option model valued with the following weighted average assumptions: 

 

    September 30, 2016     June 30, 2016  
Risk free interest rate     1.01 to 1.14 %       1.01 %
Dividend yield     0.00 %     0.00 %
Expected volatility     65 %     39 %
Remaining term (years)     3.64 – 4.54       3.89-4.79