Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2013

The following tables summarize the components of our derivative liabilities and linked common shares as of December 31, 2013 and 2012.


	December 31,
	2013		2012
Derivative liabilities:
Embedded derivatives derived from:
Senior Convertible Notes	$	47,243	$	1,529,583
Series G Convertible Preferred Stock		—		—

		47,243		1,529,583
Warrant derivatives
Senior Convertible Notes		840,000		1,921,094
Series G Convertible Preferred Stock		83,580		1,905,526

Warrant derivatives		923,580		3,826,620

Total derivative liabilities	$	970,823	$	5,356,203


	December 31,
	2013		2012
Common shares linked to derivative liabilities:
Embedded derivatives:
Senior Convertible Notes		1,729,647		4,247,343
Series G Convertible Preferred Stock		—		—

		1,729,647		4,247,343

Warrant derivatives
Senior Convertible Notes		1,562,500		1,562,500
Series G Convertible Preferred Stock		525,000		2,250,000

		2,087,500		3,812,500

Total common shares linked to derivative liabilities		3,817,147		8,059,843

Changes in Fair Values of Derivative Liabilities

The amounts that were reflected in our income related to our derivatives for the years then ended:	Years ended December 31,
	2013		2012
Derivative income (expense):
Unrealized gains (losses) from fair value changes:
Senior Convertible Notes	$	593,001	$	1,747,133
Series G Convertible Preferred Stock		—		(115,955	)
Warrant derivatives		1,980,164		1,071,583

		2,573,165		2,702,761
Redemptions of Series G Convertible Preferred Stock		—		393,166
Redemptions of Senior Convertible Notes		889,340		536,003
Exercise of Warrants		922,875		—

Total derivative income (expense)	$	4,385,380	$	3,631,930

Senior Convertible Note [Member]

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 Note and classified in liabilities:


	December 31, 2013	December 31, 2012
Quoted market price on valuation date	$2.02	$2.97
Contractual conversion rate	$3.17	$3.74
Range of effective contractual conversion rates	—	—
Contractual term to maturity	0.33 Years	1.33 Years
Implied expected term to maturity	0.33 Years	1.24 Years
Market volatility:
Range of volatilities	47.4% – 91.2%	31.3% – 64.03%
Range of equivalent volatilities	59.9% – 69.9%	38.6% – 45.0%
Contractual interest rate	8.0 – 9.0%	8.0 – 9.0%
Range of equivalent market risk adjusted interest rates	8.08%-9.08%	9.0%-9.1%
Range of equivalent credit risk adjusted yields	0.67%	0.94% – 1.03%
Risk-free rates	0.01% – 0.07%	0.02% – 0.16%

Compound Embedded Derivative [Member]

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 years ended December 31, 2013 and 2012.


	Years ended December 31,
	2013			2012
Balances at January 1	$	1,529,583		$	2,680,133
Issuances:
Senior Convertible Note Financing		—			1,291,298
Expirations from redemptions of Series G Convertible Preferred Stock		(889,340	)		(810,669	)
Changes in fair value inputs and assumptions reflected in income		(593,001	)		(1,631,179	)

Balances at December 31	$	47,242		$	1,529,583

Warrant Derivatives [Member]

Significant Assumptions Utilized in Valuation Technique

Significant assumptions utilized in the Binomial Lattice process are as follows as of December 31, 2013 and 2012:


	December 31,
	2013		2012
Linked common shares		—	1,725,000
Quoted market price on valuation date		—	$2.97
Contractual exercise rate		—	$2.4648
Term (years)		—	0.78
Range of market volatilities		—	33.1% – 49.17%
Risk free rates using zero coupon US Treasury Security rates		—	0.02% –0.11%


	December 31,
	2013	2012
Linked common shares	525,000	525,000
Quoted market price on valuation date	$2.02	$2.97
Contractual exercise rate	$2.3793	$2.4648
Term (years)	0.28	1.28
Range of market volatilities	50.1% – 88.3%	33.8% – 63.6%
Risk free rates using zero coupon US Treasury Security rates	0.01% – 0.07%	0.02% – 0.16%


	December 31,
	2013	2012
Linked common shares	1,562,500	1,562,500
Quoted market price on valuation date	$2.02	$2.97
Contractual exercise rate	$3.60	$3.60
Term (years)	3.35	4.35
Range of market volatilities	51.1% – 78.2%	39.2% – 70.2%
Risk free rates using zero coupon US Treasury Security rates	0.07% – 0.78%	0.05% – 0.54%

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 year ended December 31, 2013 and 2012.


	Years ended December 31,
	2013			2012
Balances at January 1	$	3,826,619		$	4,653,160
Issuances:
Series G Convertible Preferred Stock Financing		—			—
Senior Convertible Note Financing		—			363,542
Exercises:
Series G Convertible Preferred Stock Financing		(922,875	)		(118,500	)
Changes in fair value inputs and assumptions reflected in income		(1,980,164	)		(1,071,583	)

Balances at December 31	$	923,580		$	3,826,619

- Definition

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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