Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2013

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 three months ended March 31, 2013:



	Linked Common Shares to Derivative Warrants		Warrant Liability		Linked Common Shares to Promissory Notes		Compound Embedded Derivatives
Balance, December 31, 2012	128,350		$	2,750	537,146		$	11,817
Exchange of warrants for common stock	(4,546	)	—		—		—
Conversion of notes into common stock	—		—		(773,983	)	(12,461		)
Change in fair value of derivatives	—		7,480		236,837		644
Balance, March 31, 2013	123,804		$	10,230	—		$	—

Schedule of Compound Embedded Derivative [Table Text Block]

The following table shows the summary calculations arriving at the compound embedded derivative value as of December 31, 2012 and on the final conversion date of February 4, 2013. See the assumption details for the composition of these calculations.



Compound Embedded Derivative	December 31, 2012		February 4, 2013
Notional amount	$	106,355	$	112,150
Conversion price	0.198		0.145
Linked common shares⁽¹⁾	537,146		773,983
MCS value per linked common share⁽²⁾	0.022		0.016
Total	$	11,817	$	12,461

(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 increased as the trading market price decreased and decreased as the trading market price increased.

(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 as of December 31, 2012 and March 31, 2013 are as follows:



Binomial Assumptions	December 31, 2012	March 31, 2013
Fair market value of asset⁽¹⁾	$0.22	$0.46
Exercise price	$1.25	$1.25
Term⁽²⁾	4.7 years	4.4 years
Implied expected life⁽³⁾	4.6 years	4.4 years
Volatility range of inputs⁽⁴⁾	45.82%--84.21%	49.74%--79.54%
Equivalent volatility⁽³⁾	60.20%	57.1%
Risk-free interest rate range of inputs⁽⁵⁾	0.11%--0.72%	0.07%--0.77%
Equivalent risk-free interest rate⁽³⁾	0.32%	0.27%

(1) The fair market value of the asset was determined by using the Company's closing stock price as reflected in the over-the-counter market.

(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 (2), 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 (2), above.

Monte Carlo Simulation Technique [Member]

Derivative [Line Items]

Schedule of Price Risk Derivatives [Table Text Block]

The significant inputs into the Monte Carlo Simulation used to calculate the compound embedded derivative values as of December 31, 2012 and on the final conversion date of February 4, 2013 are as follows:



Monte Carlo Assumptions	December 31, 2012	February 4, 2013 (7)
Fair market value of asset⁽¹⁾	$0.22	$0.16
Conversion price	$0.20	$0.14
Term⁽²⁾	0.09 years	n/a
Implied expected life ⁽³⁾	0.09 years	n/a
Volatility range of inputs⁽⁴⁾	16.12%--40.17%	n/a
Equivalent volatility⁽³⁾	30.7%	n/a
Risk adjusted interest rate range of inputs⁽⁵⁾	10.00%	n/a
Equivalent risk-adjusted interest rate ⁽³⁾	10.00%	n/a
Credit risk-adjusted interest rate ⁽⁶⁾	15.63%	n/a

(1) The fair market value of the asset was determined by using the Company's closing stock price as reflected in the over-the-counter market.

(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.

(7) Monte Carlo inputs are "n/a" on expiration date of February 4, 2013 since only intrinsic value remains. There is no time value left, so the use of an option model is not necessary.

- 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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