Derivative Liabilities (Tables)

3 Months Ended

Mar. 31, 2015

Derivative Liabilities [Abstract]

Schedule of Assumptions Used

The estimated fair values of the derivative liabilities associated with the 8% Notes (2012) and the 12% Notes, for the conversion options and warrants issued through and as of March 31, 2015 were computed by a third party using Monte Carlo simulations based on the following ranges for each assumption:

	At Issuances			March 31, 2015
Volatility		40.0% to 45.0	%		35.0	%
Risk-free interest rate		0.11% to 0.3	%		0.03% to 0.10	%
Dividend yield		0.0	%		0.0	%
Expected life		1.1 to 1.6 years			0.3 to 0.4 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, 2015 and December 31, 2014, segregated by the level of the valuation inputs within the fair value hierarchy utilized to measure fair value:

	As of March 31, 2015
							Derivative
							Liabilities at
	Level 1		Level 2		Level 3		Fair Value
8% Convertible promissory notes:
Conversion option	$	-	$	-	$	381,000	$	381,000
12% Convertible promissory notes:
Conversion option		-		-		158,000		158,000
Derivative liabilities - Current		-		-		539,000		539,000
Placement agent warrants - Non-current		-		-		52,720		52,720
Derivative liabilities - Total	$	-	$	-	$	591,720	$	591,720

	As of December 31, 2014
							Derivative
							Liabilities at
	Level 1		Level 2		Level 3		Fair Value
8% Convertible promissory notes:
Conversion option	$	-	$	-	$	1,984,000	$	1,984,000
12% Convertible promissory notes:
Conversion option		-		-		69,000		69,000
Derivative liabilities - Current		-		-		2,053,000		2,053,000
Placement agent warrants - Non-current		-		-		52,720		52,720
Derivative liabilities - Total	$	-	$	-	$	2,105,720	$	2,105,720

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 ended March 31, 2015 and 2014: 

	For the Three Months Ended March 31, 2015
			Fair Value
	Balance -		of				Balance -
	January 1,		Derivative		Change in		March 31,
	2015		Liability		Fair Value		2015
8% Convertible promissory notes:
Conversion option	$	1,984,000	$	-	$	(1,603,000)	$	381,000
Warrants		-		-		-		-
12% Convertible promissory notes:
Conversion option		69,000		-		89,000		158,000
Derivative liabilities - Current		2,053,000		-		(1,514,000)		539,000
Placement agent warrants - Non-current		52,720		-		-		52,720
Derivative liabilities - Total	$	2,105,720	$	-	$	(1,514,000)	$	591,720

	For the Three Months Ended March 31, 2014
			Fair Value
	Balance -		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