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Derivative Financial Instruments (Tables)

9 Months Ended

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

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.

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