Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

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Derivative Liabilities (Tables)
 3 Months Ended
Jun. 30, 2015
Derivative Liability [Abstract]  
Schedule of Fair value on a 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 June 30, 2015:

  

    Carrying     Fair Value Measurement Using  
    Value     Level 1     Level 2     Level 3     Total  
                               
Derivative warrant liabilities   $ 205,144     $ —     $ —     $ 205,144     $ 205,144  
                                         
Schedule of 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 June 30, 2015:

 

   

Fair Value Measurement 

Using Level 3 Inputs

  
    Total  
Balance, April 1, 2015   $ —  
Issuance of derivative warrants liabilities     206,715  
Change in fair value of derivative warrant liabilities     (1,571 )
Balance, June 30, 2015   $ 205,144  
Schedule of fair value of the derivative feature of the warrants

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:

  

    May 22, 2015   June 9, 2015   June 30, 2015  
 Risk free interest rate   1.57%   1.74%   1.63%  
 Dividend yield   0.00%   0.00%   0.00%  
 Expected volatility   47%   47%   47%  
 Remaining term   5.0   5.0   4.89 – 4.94 years