Derivative Liabilities (Tables)

6 Months Ended

Jun. 30, 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 six months ended June 30, 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			June 30, 2014
Volatility		40.0% to 45.0	%		40.0	%
Risk-free interest rate		0.2% to 0.3	%		0.2	%
Dividend yield		0.0	%		0.0	%
Expected life		1.2 to 1.6 years			1.2 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 June 30, 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 June 30, 2014
							Derivative
							Liabilities at
	Level 1		Level 2		Level 3		Fair Value
8% Convertible promissory notes:
Conversion option	$	-	$	-	$	10,695,000	$	10,695,000
Warrants		-		-		-		-
Derivative liabilities - Current		-		-		10,695,000		10,695,000
Placement agent warrants - Non-current		-		-		119,703		119,703
Derivative liabilities - Total	$	-	$	-	$	10,814,703	$	10,814,703

	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 and six months ended June 30, 2014 and 2013:

	For the Three Months Ended June 30, 2014
	Balance -		Fair Value of				Balance -
	April 1,		Derivative		Change in		June 30,
	2014		Liability		Fair Value		2014
8% Convertible promissory notes:
Conversion option	$	8,404,000	$	2,960,000	$	(669,000)	$	10,695,000
Warrants		3,351,000		-		(3,351,000)		-
Derivative liabilities - Current		11,755,000		2,960,000		(4,020,000)		10,695,000
Placement agent warrants - Non-current		175,221		-		(55,518)		119,703
Derivative liabilities - Total	$	11,930,221	$	2,960,000	$	(4,075,518)	$	10,814,703

  

	For the Six Months Ended June 30, 2014
	Balance -		Fair Value of				Balance -
	January 1,		Derivative		Change in		June 30,
	2014		Liability		Fair Value		2014
8% Convertible promissory notes:
Conversion option	$	12,400,000	$	3,985,139	$	(5,690,139)	$	10,695,000
Warrants		4,790,000		391,365		(5,181,365)		-
Derivative liabilities - Current		17,190,000		4,376,504		(10,871,504)		10,695,000
Placement agent warrants - Non-current		296,194		-		(176,491)		119,703
Derivative liabilities - Total	$	17,486,194	$	4,376,504	$	(11,047,995)	$	10,814,703

	For the Three Months Ended June 30, 2013
	Balance -		Fair Value of				Balance -
	April 1,		Derivative		Change in		June 30,
	2013		Liability		Fair Value		2013
8% Convertible promissory notes:
Conversion option	$	4,790,000	$	-	$	(3,270,000)	$	1,520,000
Warrants		2,310,000		-		(1,770,000)		540,000
Derivative liabilities - Current		7,100,000		-		(5,040,000)		2,060,000
Placement agent warrants - Non-current		216,017		-		(93,660)		122,357
Derivative liabilities - Total	$	7,316,017	$	-	$	(5,133,660)	$	2,182,357

	For the Six Months Ended June 30, 2013
	Balance -		Fair Value of				Balance -
	January 1,		Derivative		Change in		June 30,
	2013		Liability		Fair Value		2013
8% Convertible promissory notes:
Conversion option	$	610,000	$	545,425	$	364,575	$	1,520,000
Warrants		220,000		249,151		70,849		540,000
Derivative liabilities - Current		830,000		794,576		435,424		2,060,000
Placement agent warrants - Non-current		81,717		-		40,640		122,357
Derivative liabilities - Total	$	911,717	$	794,576	$	476,064	$	2,182,357