Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following table summarizes the Company's activity and fair value calculations of its derivative warrants and convertible promissory notes for the nine months ended September 30, 2012.



	Linked Common Shares to Derivative Warrants		Warrant Liability			Linked Common Shares to Promissory Notes	Compound Embedded Derivatives
Beginning balance, December 31, 2011	154,132		$	752,486		—	$	—
Issuance of promissory note with compound embedded derivative - February 3, 2012	—		—			23,416	12,151
Issuance of $75,000 promissory note with compound embedded derivative - June 6, 2012	—		—			26,042	15,625
Issuance of warrants to underwriters - September 11, 2012	110,000		49,170			—	—
Exchange of warrants for common stock	(135,782	)	(19,823		)	—	—
Change in fair value of derivatives	—		(738,628		)	623,279	56,989
Ending balance, September 30, 2012	128,350		$	43,205		672,737	$	84,765

Schedule of Compound Embedded Derivative [Table Text Block]

The following table shows the summary calculations arriving at the compound embedded derivative values as of February 3, 2012 , June 6, 2012 and September 30, 2012. See the assumption details for the composition of these calculations.



Compound Embedded Derivative	February 3, 2012		June 6, 2012		September 30, 2012
Notional amount	$	505,785	$	75,000	$	532,808
Conversion price	21.60		2.88		0.79
Linked common shares⁽¹⁾	23,416		26,042		672,737
MCS value per linked common share⁽²⁾	0.52		0.60		0.13
Total	$	12,151	$	15,625	$	84,765

(1) The Compound Embedded Derivative is linked to a variable number of common shares based upon a percentage of the Company's closing stock price as reflected in the over-the-counter market. The number of linked shares will increase as the trading market price decreases and will decrease as the trading market price increases. The fluctuation in the number of linked common shares will have an effect on fair values in future periods.

(2) The Note embodied a contingent conversion feature that was predicated upon a financing transaction that was planned for a date between the issuance date and March 2, 2012. If the financing occurred, the maturity date of the Note was August 2, 2012. If the financing did not occur, the maturity date of the Note was February 2, 2013. While, in hindsight, the financing did not occur, the calculation of value must consider that on the issuance date the contingency was present and resulted in multiple scenarios of outcome as it related to the conversion feature subject to bifurcation. The mechanism for building this contingency into the MCS value was to perform two separate calculations of value and weight them on a reasonable basis.

Binomial Lattice Option Valuation Technique [Member]

Derivative [Line Items]

Schedule of Price Risk Derivatives [Table Text Block]

The derivative warrants were valued using a Binomial Lattice Option Valuation Technique (“Binomial”). Significant inputs into this technique on September 30, 2012 and 2011 are as follows:



Binomial Assumptions	September 30, 2012	September 30, 2011
Fair market value of asset⁽¹⁾	$0.88	$13.20
Exercise price	$20.00	$20.00
Term⁽²⁾	3.6 years	4.6--4.9 Years
Implied expected life⁽³⁾	3.6 years	4.5--4.8 Years
Volatility range of inputs⁽⁴⁾	49.6%--70.5%	62.2%--93.6%
Equivalent volatility⁽³⁾	58.30%	75.2%
Risk-free interest rate range of inputs⁽⁵⁾	0.10%--0.31%	0.02%--0.96%
Equivalent risk-free interest rate⁽³⁾	0.19%	0.28%--0.33%

(1) The fair market value of the asset was determined by the Company using all available information including, but not limited to the trading market price and the actual, negotiated prices paid by the independent investors in the May 2011 Offering and a private offering in December 2011.

(2) The term is the contractual remaining term, allocated among twelve equal intervals for purposes of calculating other inputs, such as volatility and risk-free rate.

(3) The implied expected life, and equivalent volatility and risk-free interest rate amounts are derived from the Binomial.

(4) The Company does not have a market trading history upon which to base its forward-looking volatility. Accordingly, the Company selected peer companies that provided a reasonable basis upon which to calculate volatility for each of the intervals described in (1), above.

(5) The risk-free rates used for inputs represent the yields on zero coupon US Government Securities with periods to maturity consistent with the intervals described in (1), above.

Monte Carlo Simulation Technique [Member]

Derivative [Line Items]

Schedule of Price Risk Derivatives [Table Text Block]

Significant inputs into the Monte Carlo Simulation used to calculate the compound embedded derivative values as of February 3, 2012, June 6, 2012 and September 30, 2012 are as follows:



	Inception Date	Inception Date
Monte Carlo Assumptions	February 3, 2012	June 6, 2012	September 30, 2012
Fair market value of asset⁽¹⁾	$12.50	$3.20	$0.88
Conversion price	$21.60	$2.88	$0.79
Term⁽²⁾	.5 - 1 year	0.60 years	0.34 years
Implied expected life ⁽³⁾	0.74 years	0.58 years	0.34 years
Volatility range of inputs⁽⁴⁾	44.23%--70.30%	53.54%--68.00%	39.91%--49.84%
Equivalent volatility⁽³⁾	55.9%	59.2%	45.4%
Risk adjusted interest rate range of inputs⁽⁵⁾	10.00%--30.95%	7.62%--12.33%	8.18%--10.00%
Equivalent risk-adjusted interest rate ⁽³⁾	16.43%	9.33%	9.19%
Credit risk-adjusted interest rate ⁽⁶⁾	12.71%	15.74%	14.90%

(1) The fair market value of the asset was determined by management using all available information including, but not limited to the trading market price and the actual, negotiated prices paid by a private offering in December 2011.

(2) The term is the contractual remaining term, allocated among twelve equal intervals for purposes of calculating other inputs, such as volatility and risk-free rate.

(3) The implied expected life, and equivalent volatility and risk-free risk-adjusted interest rate amounts are derived from the MCS.

(5) CED's bifurcated from debt instruments are expected to contain an element of market interest risk. That is, the risk that market driven interest rates will change during the term of a fixed rate debt instrument.

(6) The Company utilized a yield approach in developing its credit risk assumption. The yield approach assumes that the investor's yield on the instrument embodies a risk component, generally, equal to the difference between the actual yield and the yield for a similar instrument without regard to risk.

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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