Derivative Liabilities (Tables)

3 Months Ended

Mar. 31, 2014

Derivative Liabilities [Abstract]

Schedule of Assumptions Used

The estimated fair values of the derivative liabilities for the conversion options on the 8% Notes issued during the three months ended March 31, 2014 and the warrants issued therewith, were computed by a third party using Monte Carlo simulations based on the following ranges for each assumption:

	At Issuances		March 31, 2013
Volatility	40.0% to 45.0	%	45.0	%
Risk-free interest rate	0.2% to 0.3	%	0.2	%
Dividend yield	0.0	%	0.0	%
Expected life	1.4 to 1.6 years		1.4 years

Financial Liabilities Measured at Fair Value on Recurring Basis

The following table summarizes the financial liabilities measured at fair value on a recurring basis as of March 31, 2014 and December 31, 2013, segregated by the level of the valuation inputs within the fair value hierarchy utilized to measure fair value:

	As of March 31, 2014
							Derivative
							Liabilities at
	Level 1		Level 2		Level 3		Fair Value
8% Convertible promissory notes:
Conversion option	$	-	$	-	$	8,404,000	$	8,404,000
Warrants		-		-		3,351,000		3,351,000
Derivative liabilities - Current		-		-		11,755,000		11,755,000
Placement agent warrants - Non-current		-		-		175,221		175,221
Derivative liabilities - Total	$	-	$	-	$	11,930,221	$	11,930,221

	As of December 31, 2013
							Derivative
							Liabilities at
	Level 1		Level 2		Level 3		Fair Value
8% Convertible promissory notes:
Conversion option	$	-	$	-	$	12,400,000	$	12,400,000
Warrants		-		-		4,790,000		4,790,000
Derivative liabilities - Current		-		-		17,190,000		17,190,000
Placement agent warrants - Non-current		-		-		296,194		296,194
Derivative liabilities - Total	$	-	$	-	$	17,486,194	$	17,486,194

Reconciliation of Derivative Liability Used in Determining Fair Value

The following table is a reconciliation of the derivative liabilities for which Level 3 inputs were used in determining fair value during the three months ended March 31, 2014 and 2013: 

	For the Three Months Ended March 31, 2014
	Balance -		Fair Value of				Balance -
	January 1,		Derivative		Change in		March 31,
	2014		Liability		Fair Value		2014
8% Convertible promissory notes:
Conversion option	$	12,400,000	$	1,025,139	$	(5,021,139)	$	8,404,000
Warrants		4,790,000		391,365		(1,830,365)		3,351,000
Derivative liabilities - Current		17,190,000		1,416,504		(6,851,504)		11,755,000
Placement agent warrants - Non-current		296,194		-		(120,973)		175,221
Derivative liabilities - Total	$	17,486,194	$	1,416,504	$	(6,972,477)	$	11,930,221

	For the Three Months Ended March 31, 2013
	Balance -		Fair Value of				Balance -
	January 1,		Derivative		Change in		March 31,
	2013		Liability		Fair Value		2013
8% Convertible promissory notes:
Conversion option	$	610,000	$	545,425	$	3,634,575	$	4,790,000
Warrants		220,000		249,151		1,840,849		2,310,000
Derivative liabilities - Current		830,000		794,576		5,475,424		7,100,000
Placement agent warrants - Non-current		81,716		-		134,300		216,016
Derivative liabilities - Total	$	911,716	$	794,576	$	5,609,724	$	7,316,016