XML 35 R28.htm IDEA: XBRL DOCUMENT

Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2012

Derivative [Line Items]

Components of derivative liabilities


		June 30, 2012				December 31, 2011
Derivative liabilities:
Embedded derivatives derived from:
Senior Convertible Notes		$	4,912,547			$	2,521,422
Series G Convertible Preferred Stock			286,335				158,711

			5,198,882				2,680,133

Warrant derivatives
Senior Convertible Notes			3,191,407				1,898,785
Series G Convertible Preferred Stock			3,687,675				2,754,375

Warrant derivatives			6,879,082				4,653,160

Total derivative liabilities		$	12,077,964			$	7,333,293

Common shares linked to derivative liabilities:
Embedded derivatives:
Senior Convertible Notes			5,305,800				2,673,797
Series G Convertible Preferred Stock			140,000				140,000

			5,445,800				2,813,797

Warrant derivatives
Senior Convertible Notes			1,562,500				1,302,083
Series G Convertible Preferred Stock			2,325,000				2,325,000

			3,887,500				3,627,083

Total common shares linked to derivative liabilities			9,333,300				6,440,880

Changes in fair values of derivative liabilities


		Three months ended June 30,								Six months ended June 30,
		2012				2011				2012				2011
Derivative income (expense):
Unrealized gains (losses) from fair value changes:
Senior Convertible Notes		$	(1,611,725	)		$	—			$	(1,099,828	)		$	—
Series G Convertible Preferred Stock			(88,697	)			476,637				(127,624	)			(445,347	)
Warrant derivatives			(1,512,479	)			227,925				(1,862,380	)			(139,275	)

Total derivative income (expense)		$	(3,212,901	)		$	704,562			$	(3,089,832	)		$	(584,622	)

Significant assumptions utilized in valuation technique


		June 30, 2012		December 31, 2011
Quoted market price on valuation date		$3.725		$2.74
Contractual conversion rate		$3.17 - $3.74		$3.74
Range of effective contractual conversion rates		$3.17 - $4.07		$2.74 - $2.89
Contractual term to maturity		1.84 - 1.98 Years		2.33 Years
Implied expected term to maturity		1.47 - 1.49 Years		2.06 Years
Market volatility:
Range of volatilities		28.8% - 73.7%		55.6% - 101.8%
Range of equivalent volatilities		44.4% - 64.3%		78.9% - 84.3%
Contractual interest rate		8.0% - 9.0%		8.0%
Range of equivalent market risk adjusted interest rates		8.0% - 9.1%		8.0%-8.1%
Range of equivalent credit risk adjusted yields		1.35% - 1.55%		3.1% - 3.5%
Risk-free rates		0.04% - 0.21%		0.01% - 0.25%


		June 30,				December 31,
		2012		2011		2011
Quoted market price on valuation date		$3.725		$3.13		$2.74
Contractual conversion rate		$1.78		$1.78		$1.78
Implied expected term		0.33 Years		0.74 Years		0.46 Years
Market volatility:
Range of volatilities		46.5% - 72.9%		61.8%-71.9%		49.5% - 101.8%
Equivalent volatility		51.7%		67.4%		74.1%
Market risk adjusted interest rate:
Range of rates (including premiums)		18.0% - 35.0%		8.0%-32.0%		13.0% - 32.0%
Equivalent market risk adjusted interest rate		20.3%		12.4%		15.3%
Credit risk adjusted yield rate:
Range of rates		1.4% - 3.3%		2.2%-3.3%		3.1% - 3.7%
Equivalent credit-risk adjusted yield rate		1.4%		2.3%		3.1%
Risk free rates using zero coupon US Treasury
Security rates:
Range of rates		0.04% - 0.10%		0.19%-0.81%		0.12% - 0.25%


		June 30,				December 31,
		2012		2011		2011
Linked common shares		1,800,000		1,800,000		1,800,000
Quoted market price on valuation date		$3.725		$3.13		$2.74
Contractual exercise rate		$2.50		$2.50		$2.50
Term (years)		1.28		2.28		1.78
Range of market volatilities		48.7% - 73.1%		61.0% - 72.8%		56.8% - 101.6%
Risk free rates using zero coupon US Treasury Security rates		0.04% - 0.27%		0.03% - 0.81%		0.02% - 0.25%

		June 30,				December 31,
		2012		2011		2011
Linked common shares		525,000		525,000		525,000
Quoted market price on valuation date		$3.725		$3.13		$2.74
Contractual exercise rate		$2.75		$2.50		$2.75
Term (years)		1.79		2.28		2.28
Range of market volatilities		48.9% - 72.2%		61.0% - 72.8%		56.9% - 94.0%
Risk free rates using zero coupon US Treasury Security rates		0.04% - 0.27%		0.03% - 0.81%		0.02% - 0.25%


		June 30, 2012		December 31, 2011
Linked common shares		1,562,500		1,302,083
Quoted market price on valuation date		$3.725		$2.74
Contractual exercise rate		$3.60		$4.32
Term (years)		4.86		5.35
Range of volatilities		48.8% - 72.5%		67.2%-87.5%
Risk free rates using zero coupon US Treasury Security rates		0.09% - 0.72%		0.02% - 0.83%
Custom lattice variable: Probability of exercisability (434,027 linked common shares)		—		60.0%

Changes in fair value inputs and assumptions


		Six Months ended June 30,
		2012				2011
Balances at January 1		$	2,680,133			$	4,075,344
Issuances:			1,291,298
Expirations from redemptions of host contracts reflected in income			—				(676,718	)
Changes in fair value inputs and assumptions reflected in income			1,227,451				1,122,065

Balances at June 30		$	5,198,882			$	4,520,691


		Six months ended June 30,
		2012				2011
Balances at January 1		$	4,653,160			$	2,287,800
Issuances			363,542				906,150
Changes in fair value inputs and assumptions reflected in income			1,862,380				139,275

Balances at June 30		$	6,879,082			$	3,333,225

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References+ Details