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Assets and Liabilities Measured at Fair Value (Tables)
 6 Months Ended
Jun. 30, 2012
Assets and Liabilities Measured at Fair Value [Abstract]  
Schedule of fair value of the Warrants
The $3.4 million in proceeds allocated to the 2012 Warrants, the $2.2 million in proceeds allocated to the 2009 Warrants and the $4.3 million in proceeds allocated to the 2007 Warrants are classified as derivative instrument liabilities. The terms of the warrants provide for potential adjustment in the exercise price and are therefore considered to be derivative instrument liabilities that are subject to mark-to-market adjustment each period. As a result, for the six month period ended June 30, 2012, the Company recorded pre-tax derivative instrument income of $0.6 million. The resulting derivative instrument liabilities totaled $5.9 million at June 30, 2012. Management expects that the warrants will either be exercised or expire worthless, at which point the then existing derivative instrument liabilities will be credited to stockholders' equity. The fair value of the Warrants at June 30, 2012 was determined by using an option pricing model assuming the following:
 
 
 
 
2012 Warrants
 
 
2009 Warrants
 
 
2007 Warrants
 
Expected volatility
 
 
81.01
%
 
 
86.40
%
 
 
85.37
%
Risk-free interest rates
 
 
0.41
%
 
 
0.33
%
 
 
0.09
%
Expected life (in years)
 
 
2.92
 
 
 
1.96
 
 
 
0.24
 
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The table below presents the Company's assets and liabilities measured at fair value on a recurring basis as of June 30, 2012, aggregated by the level in the fair value hierarchy within which those measurements fall:

Assets and Liabilities Measured at Fair Value on a Recurring Basis at June 30, 2012
(in thousands)

 
Level 1
 
 
Level 2
 
 
Level 3
 
 
Balance at
June 30, 2012
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
Money market funds
 
$
5,785
 
 
 
-
 
 
 
-
 
 
$
5,785
 
Total Assets
 
$
5,785
 
 
 
-
 
 
 
-
 
 
$
5,785
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Warrant liability
 
$
-
 
 
 
-
 
 
$
5,915
 
 
$
5,915
 
Total Liabilities
 
$
-
 
 
 
-
 
 
$
5,915
 
 
$
5,915
 
Fair Value Measurements Using Significant Unobservable Inputs
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
(in thousands)

 
Warrant Liability
 
Beginning balance
 
$
2,439
 
Total change in the fair value of the liability included in earnings
 
 
(579
)
Fair value of warrants issued
 
 
4,055
 
Ending balance
 
$
5,915