Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v2.4.0.8
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2014
Fair Value Measurements [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value

Our fair value hierarchies for our financial assets and liabilities which require fair value measurement on a recurring basis are as follows:

 

    Total     Quoted Prices in
Active Markets for
Identical Items
Level 1		     Significant Other
Observable Inputs 
Level 2		     Significant
Unobservable
Inputs
Level 3		  
                         
June 30, 2014                                
Liabilities:                                
Warrant liability   $ 27,592,550     $ -     $ -     $ 27,592,550  
Total liabilities measured at estimated fair value   $ 27,592,550     $ -     $ -     $ 27,592,550  
                                 
December 31, 2013                                
Liabilities:                                
Warrant liability   $ 377,747     $ -     $ -     $ 377,747  
Convertible debt     5,062,417       -       -       5,062,417  
Total liabilities measured at estimated fair value   $ 5,440,164     $ -     $ -     $ 5,440,164  

 
Summary of Changes in Fair Value of Level 3 Liabilities

The following table sets forth a summary of the changes in the fair value of our Level 3 financial liabilities, which were measured at fair value on a recurring basis.

 

    Warrant liability     Convertible debt  
Beginning balance December 31, 2013   $ 377,747     $ 5,062,417  
Transfer to equity upon settlement     (377,747 )     (5,062,417 )
Fair value of warrants on date of issuance     10,613,550       -  
Change in fair value of warrants during the period     16,979,000       -  
Ending balance June 30, 2014   $ 27,592,550     $ -  

  
Schedule of Fair Value Assumptions

The fair value of each warrant was determined using a lattice model with the following assumptions:

 

    Six months ended
June 30,		  
    2014     2013  
Dividend yield     -       N/A  
Risk-free interest rate     0.69-1.45 %     N/A  
Current share price   $ 1.47       N/A  
Expected term (in years)     2.55-4.55       N/A  
Volatility     70-75 %     N/A  
Periodic rate     0.18-66 %     N/A  
Periods in the model     10       N/A