Derivative Liabilities (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2015 were computed by a third party using Monte Carlo simulations based on the following ranges for each assumption:

				September 30,
	At Issuances			2015
Volatility		40.0% to 45.0	%		35.0	%
Risk-free interest rate		0.11% to 0.3	%		0.01	%
Dividend yield		0.0	%		0.0	%
Expected life		1.1 to 1.6 years			0.17 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 September 30, 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 September 30, 2015
							Derivative
							Liabilities
							at
	Level 1		Level 2		Level 3		Fair Value
12% Convertible promissory notes:
Conversion option	$	-	$	-	$	176,000	$	176,000
Derivative liabilities - Current		-		-		176,000		176,000
Placement agent warrants - Non-current		-		-		121		121
Derivative liabilities - Total	$	-	$	-	$	176,121	$	176,121

	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 and nine months ended September 30, 2015 and 2014: 

	For the Three Months Ended September 30, 2015
			Fair Value
	Balance -		of				Balance -
	July 1,		Derivative		Change in		September 30,
	2015		Liability		Fair Value		2015
8% Convertible promissory notes:
Conversion option	$	-	$	-	$	-	$	-
12% Convertible promissory notes:
Conversion option		176,000		-		-		176,000
Derivative liabilities - Current		176,000		-		-		176,000
Placement agent warrants - Non-current		121		-		-		121
Derivative liabilities - Total	$	176,121	$	-	$	-	$	176,121

	For the Nine Months Ended September 30, 2015
			Fair Value
	Balance -		of				Balance -
	January 1,		Derivative		Change in		September 30,
	2015		Liability		Fair Value		2015
8% Convertible promissory notes:
Conversion option	$	1,984,000	$	-	$	(1,984,000)	$	-
12% Convertible promissory notes:
Conversion option		69,000		-		107,000		176,000
Derivative liabilities - Current		2,053,000		-		(1,877,000)		176,000
Placement agent warrants - Non-current		52,720		-		(52,599)		121
Derivative liabilities - Total	$	2,105,720	$	-	$	(1,929,599)	$	176,121

	For the Three Months Ended September 30, 2014
			Fair Value
	Balance -		of				Balance -
	July 1,		Derivative		Change in		September 30,
	2014		Liability		Fair Value		2014
8% Convertible promissory notes:
Conversion option	$	10,695,000	$	402,000	$	(7,225,000)	$	3,872,000
Warrants		-		-		-		-
12% Convertible promissory notes:
Conversion option		-		157,000		(46,000)		111,000
Derivative liabilities - Current		10,695,000		559,000		(7,271,000)		3,983,000
Placement agent warrants - Non-current		119,703		-		(66,983)		52,720
Derivative liabilities - Total	$	10,814,703	$	559,000	$	(7,337,983)	$	4,035,720

	For the nine Months Ended September 30, 2014
			Fair Value
	Balance -		of				Balance -
	January 1,		Derivative		Change in		September 30,
	2014		Liability		Fair Value		2014
8% Convertible promissory notes:
Conversion option	$	12,400,000	$	4,387,139	$	(12,915,139)	$	3,872,000
Warrants		4,790,000		391,365		(5,181,365)		-
12% Convertible promissory notes:
Conversion option		-		157,000		(46,000)		111,000
Derivative liabilities - Current		17,190,000		4,935,504		(18,142,504)		3,983,000
Placement agent warrants - Non-current		296,194		-		(243,474)		52,720
Derivative liabilities - Total	$	17,486,194	$	4,935,504	$	(18,385,978)	$	4,035,720