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Derivative Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2012
Derivative [Line Items] |
Components of derivative liabilities | The following tables summarize the components of our derivative liabilities and linked common shares as of September 30, 2012 and December 31, 2011 and the amounts that were reflected in our income related to our derivatives for the three-month and nine-month periods ended September 30, 2012 and 2011:
|  | September 30, 2012 |  |  | December 31, 2011 |
Derivative liabilities: |  |  |  |  |  |  |  |
Embedded derivatives derived from: |  |  |  |  |  |  |  |
Senior Convertible Notes |  | $ | 2,638,514 |  |  | $ | 2,521,422 |
Series G Convertible Preferred Stock |  |  | — |  |  |  | 158,711 |
|  |  | 2,638,514 |  |  |  | 2,680,133 |
Warrant derivatives |  |  |  |  |  |  |  |
Senior Convertible Notes |  |  | 2,369,063 |  |  |  | 1,898,785 |
Series G Convertible Preferred Stock |  |  | 2,268,525 |  |  |  | 2,754,375 |
|  |  | 4,637,588 |  |  |  | 4,653,160 |
Total derivative liabilities |  | $ | 7,276,102 |  |  | $ | 7,333,293 |
|  | September 30, 2012 |  |  | December 31, 2011 |
Common shares linked to derivative liabilities: |  |  |  |  |  |  |  |
Embedded derivatives: |  |  |  |  |  |  |  |
Senior Convertible Notes |  |  | 4,665,850 |  |  |  | 2,673,797 |
Series G Convertible Preferred Stock |  |  | — |  |  |  | 140,000 |
|  |  | 4,665,850 |  |  |  | 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 |  |  | 8,553,350 |  |  |  | 6,440,880 |
Changes in fair values of derivative liabilities |
|  | Three months ended September 30, |  |  | Nine months ended September 30, |
|  | 2012 |  |  | 2011 |  |  | 2012 |  |  | 2011 |
Derivative income (expense): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized gains (losses) from fair value changes: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Senior Convertible Notes |  | $ | 2,274,033 |  |  | $ | — |  |  | $ | 1,174,205 |  |  | $ | — |
Series G Convertible Preferred Stock |  |  | 286,355 |  |  |  | 1,185,555 |  |  |  | 158,711 |  |  |  | 740,208 |
Warrant derivatives |  |  | 2,241,494 |  |  |  | 564,454 |  |  |  | 379,114 |  |  |  | 425,179 |
Total derivative income (expense) |  | $ | 4,801,862 |  |  | $ | 1,750,009 |  |  | $ | 1,712,030 |  |  | $ | 1,165,387 |
Compound Embedded Derivatives [Member] |
Derivative [Line Items] |
Changes in fair value inputs and assumptions | The following table reflects the issuances of compound embedded derivatives, redemptions and changes in fair value inputs and assumptions related to the compound embedded derivatives during the periods ended September 30, 2012 and 2011.
|  | Nine Months ended September 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 |  |  | (650,627 | ) |  |  | (676,718 | )
Changes in fair value inputs and assumptions reflected in income |  |  | (682,289 | ) |  |  | (63,490 | )
Balances at September 30 |  | $ | 2,638,515 |  |  | $ | 3,335,136 |
Senior Convertible Notes [Member] |
Derivative [Line Items] |
Significant assumptions utilized in valuation technique | Significant inputs and results arising from the Monte Carlo Simulations process are as follows for the compound embedded derivative that has been bifurcated from our Senior Convertible Notes and classified in liabilities:
|  | September 30, 2012 |  | December 31, 2011
Quoted market price on valuation date |  | $3.15 |  | $2.74
Contractual conversion rate |  | $3.17 - $3.74 |  | $3.74
Range of effective contractual conversion rates |  | NA |  | $2.74 - $2.89
Contractual term to maturity |  | 1.58 Years |  | 2.33 Years
Implied expected term to maturity |  | 1.32 – 1.43 Years |  | 2.06 Years
Market volatility: |  |  |  |
Range of volatilities |  | 21.4% - 70.1% |  | 55.6% - 101.8%
Range of equivalent volatilities |  | 44.6% - 57.0% |  | 78.9% - 84.3%
Contractual interest rate |  | 8.0% - 9.0% |  | 8.0%
Range of equivalent market risk adjusted interest rates |  | 8.02% - 9.08% |  | 8.0% - 8.1%
Range of equivalent credit risk adjusted yields |  | 0.39% - 2.03% |  | 3.1% - 3.5%
Risk-free rates |  | 0.17% - 0.31% |  | 0.01% - 0.25%
Series G Convertible Preferred Stock [Member] |
Derivative [Line Items] |
Significant assumptions utilized in valuation technique | Significant inputs and results arising from the Monte Carlo Simulations process are as follows for the compound embedded derivative that has been bifurcated from our Series G Convertible Preferred Stock and classified in liabilities:
|  | September 30, |  | December 31,
|  | 2012 (1) |  | 2011 |  | 2011
Quoted market price on valuation date |  | $3.17 |  | $2.46 |  | $2.74
Contractual conversion rate |  | $1.78 |  | $1.78 |  | $1.78
Implied expected term |  | 0.29 Years |  | 0.70 Years |  | 0.46 Years
Market volatility: |  |  |  |  |  |
Range of volatilities |  | 34.0% - 72.3% |  | 69.73% - 125.36% |  | 49.5% - 101.8%
Equivalent volatility |  | 47.1% |  | 104.27% |  | 74.1%
Market risk adjusted interest rate: |  |  |  |  |  |
Range of rates (including premiums) |  | 19.0% - 35.0% |  | 12.0% - 32.00% |  | 13.0% - 32.0%
Equivalent market risk adjusted interest rate |  | 20.8% |  | 14.46% |  | 15.3%
Credit risk adjusted yield rate: |  |  |  |  |  |
Range of rates |  | 1.3% - 1.8% |  | 3.21% - 4.85% |  | 3.1% - 3.7%
Equivalent credit-risk adjusted yield rate |  | 1.4% |  | 3.20% |  | 3.1%
Risk free rates using zero coupon US Treasury Security rates: |  |  |  |  |  |
Range of rates |  | 0.06% - 0.17% |  | 0.13% - 0.42% |  | 0.12% - 0.25%
(1) | The calculation of the fair value of the embedded derivative was carried out as of July 13, 2012, which was the redemption date.
Derivatives Warrant [Member] |
Derivative [Line Items] |
Significant assumptions utilized in valuation technique | The Binomial Lattice technique is a level three valuation technique because it requires the development of significant internal assumptions in addition to observable market indicators. Significant assumptions and utilized in the Binomial Lattice process are as follows for both the issuance dates of the warrants and September 30, 2012 and 2011 and December 31, 2011:
|  | September 30, |  | December 31,
|  | 2012 |  | 2011 |  | 2011
Linked common shares |  | 1,800,000 |  | 1,800,000 |  | 1,800,000
Quoted market price on valuation date |  | $3.15 |  | $3.13 |  | $2.74
Contractual exercise rate |  | $2.50 |  | $2.50 |  | $2.50
Term (years) |  | 1.03 |  | 2.03 |  | 1.78
Range of market volatilities |  | 38.9% - 68.1% |  | 69.7% - 129.5% |  | 56.8% - 101.6%
Risk free rates using zero coupon US Treasury Security rates |  | 0.06% - 0.17% |  | 0.02% – 0.43% |  | 0.02% – 0.25%
|  | September 30, |  | December 31,
|  | 2012 |  | 2011 |  | 2011
Linked common shares |  | 525,000 |  | 525,000 |  | 525,000
Quoted market price on valuation date |  | $3.15 |  | $3.13 |  | $2.74
Contractual exercise rate |  | $2.75 |  | $2.75 |  | $2.75
Term (years) |  | 1.54 |  | 2.50 |  | 2.28
Range of market volatilities |  | 38.7% - 69.2% |  | 76.6% - 117.6% |  | 56.9% - 94.0%
Risk free rates using zero coupon US Treasury Security rates |  | 0.06% - 0.20% |  | 0.02% – 0.43% |  | 0.02% – 0.25%
|  | September 30, 2012 |  | December 31, 2011
Linked common shares |  | 1,562,500 |  | 1,302,083
Quoted market price on valuation date |  | $3.15 |  | $2.74
Contractual exercise rate |  | $3.60 |  | $4.32
Term (years) |  | 4.60 |  | 5.35
Range of volatilities |  | 54.2% - 71.0% |  | 67.2% - 87.5%
Risk free rates using zero coupon US Treasury Security rates |  | 0.10% - 0.47% |  | 0.02% - 0.83%
Custom lattice variable: Probability of exercisability (434,027 linked common shares) |  | — |  | 60.0%
Changes in fair value inputs and assumptions | The following table reflects the issuances of derivative warrants and changes in fair value inputs and assumptions related to the derivative warrants during the nine months ended September 30, 2012 and 2011.
|  | Nine months ended September 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 |  |  | (379,114 | ) |  |  | 139,275 |
Balances at September 30 |  | $ | 4,637,588 |  |  | $ | 3,333,225 |

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