Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measures (Tables)

v2.4.0.8
Fair Value Measures (Tables)
6 Months Ended
Jun. 30, 2013
Fair Value Measures  
Summary of assets and liabilities measured at fair value

 

 

 

 

 

Fair Value Measurements at Reporting Date Using:

 

 

 

 

 

Quoted

 

 

 

 

 

 

 

 

 

Prices

 

 

 

 

 

 

 

 

 

in Active

 

Significant

 

 

 

 

 

 

 

Markets for

 

Other

 

Significant

 

 

 

Balance as of

 

Identical

 

Observable

 

Unobservable

 

 

 

December 31,

 

Assets

 

Inputs

 

Inputs

 

Description

 

2012

 

(Level 1)

 

(Level 2)

 

(Level 3)

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Convertible notes

 

$

8,098,000

 

$

 

$

 

$

8,098,000

 

Warrant liabilities

 

$

3,800,000

 

$

 

$

 

$

3,800,000

 

Total Liabilities

 

$

11,898,000

 

$

 

$

 

$

11,898,000

 

 

The following summarizes the Company’s assets and liabilities measured at fair value as of June 30, 2013:

 

 

 

 

 

Fair Value Measurements at Reporting Date Using:

 

 

 

 

 

Quoted

 

 

 

 

 

 

 

 

 

Prices

 

 

 

 

 

 

 

 

 

in Active

 

Significant

 

 

 

 

 

 

 

Markets for

 

Other

 

Significant

 

 

 

Balance as of

 

Identical

 

Observable

 

Unobservable

 

 

 

June 30,

 

Assets

 

Inputs

 

Inputs

 

Description

 

2013

 

(Level 1)

 

(Level 2)

 

(Level 3)

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Convertible notes

 

$

5,855,000

 

$

 

$

 

$

5,855,000

 

Warrant liabilities

 

$

5,209,000

 

$

 

$

 

$

5,209,000

 

Total Liabilities

 

$

11,064,000

 

$

 

$

 

$

11,064,000

Schedule of changes in the Convertible Notes, Second Tranche Convertible Notes, Third Tranche Convertible Notes, Investor Warrants, 2012 Warrants, Third Tranche Warrants, 2013 Warrants and Additional 2013 Warrants

 

 

 

 

Fair Value
of 2011
Convertible
Notes

 

Fair Value
of 2011
Warrant
Liabilities

 

Fair Value
of 2012
Convertible
Notes

 

Fair Value
of 2012
Warrant
Liabilities

 

Fair Value
of Third
Tranche
Convertible
Notes

 

Fair Value
of Third
Tranche
Warrant
Liabilities

 

2013
Warrants

 

2013 SPA
Option

 

Total

 

Balance December 31, 2011

 

$

5,327,000

 

$

1,600,000

 

$

 

$

 

$

 

$

 

$

 

$

 

$

6,927,000

 

Amortization of debt discount

 

$

132,000

 

$

 

$

 

$

 

$

 

$

 

$

 

$

 

$

132,000

 

Fair value adjustment

 

$

3,461,000

 

$

2,400,000

 

$

 

$

 

$

 

$

 

$

 

$

 

$

5,861,000

 

Balance June 30, 2012

 

$

8,920,000

 

$

4,000,000

 

$

 

$

 

$

 

$

 

$

 

$

 

$

12,920,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance December 31, 2012

 

$

6,510,000

 

$

2,000,000

 

$

1,588,000

 

$

1,800,000

 

$

 

$

 

 

 

 

 

$

11,898,000

 

Allocation of initial proceeds

 

$

 

$

 

$

 

$

 

$

142,000

 

$

108,000

 

$

 

$

 

$

250,000

 

Initial fair value adjustment

 

$

 

$

 

$

 

$

 

$

252,000

 

$

192,000

 

$

 

$

 

$

444,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 16, 2013

 

$

6,510,000

 

$

2,000,000

 

$

1,588,000

 

$

1,800,000

 

$

394,000

 

$

300,000

 

$

 

$

 

$

12,592,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortization of debt discount

 

$

38,000

 

$

 

$

55,000

 

$

 

$

2,000

 

$

 

$

 

$

 

$

95,000

 

Fair value adjustment

 

$

(370,000

)

$

 

$

(72,000

)

$

 

$

(8,000

)

$

 

$

 

$

 

$

(450,000

)

Carrying value of old debt at modification

 

$

(6,178,000

)

$

 

$

(1,571,000

)

$

 

$

(388,000

)

$

 

$

 

$

 

$

(8,137,000

)

Fair value of new debt at modification

 

$

6,070,000

 

$

 

$

1,516,000

 

$

 

$

386,000

 

$

 

$

 

$

 

$

7,972,000

 

Modification of warrants

 

$

 

$

1,916,000

 

$

 

$

632,000

 

$

 

$

 

$

 

$

 

$

2,548,000

 

Cancellation/retirement of warrants

 

$

 

$

 

$

 

$

(800,000

)

$

 

$

(300,000

)

$

 

$

 

$

(1,100,000

)

Fair value of instruments at issuance

 

$

 

$

 

$

 

$

 

$

 

$

 

$

2,759,000

 

$

1,211,000

 

$

3,970,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 22, 2013

 

$

6,070,000

 

$

3,916,000

 

$

1,516,000

 

$

1,632,000

 

$

386,000

 

$

 

$

2,759,000

 

$

1,211,000

 

$

17,490,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exercise of warrants

 

$

 

$

(1,731,000

)

$

 

$

 

$

 

$

 

$

 

$

 

$

(1,731,000

)

Conversion of debentures

 

$

(450,000

)

$

 

$

 

$

 

$

 

$

 

$

 

$

 

$

(450,000

)

Fair value adjustment

 

$

(1,240,000

)

$

(376,000

)

$

(336,000

)

$

(653,000

)

$

(91,000

)

$

 

$

(742,000

)

$

(807,000

)

$

(4,245,000

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2013

 

$

4,380,000

 

$

1,809,000

 

$

1,180,000

 

$

979,000

 

$

295,000

 

$

 

$

2,017,000

 

$

404,000

 

$

11,064,000

2011 Convertible Notes | Binomial lattice model
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

December 31,
2012

 

February 22,
2013

 

June 30,
2013

 

Stock Price

 

$

0.15

 

$

0.14

 

$

0.10

 

Strike Price

 

$

0.10

 

$

0.10

 

$

0.10

 

Expected remaining term (in years)

 

1.15

 

2.35

 

2.00

 

Stock Volatility

 

105

%

100

%

100

%

Risk-Free Rate

 

0.17

%

0.32

%

0.36

%

Dividend Rate

 

0

%

0

%

0

%

Outstanding Shares of Common Stock

 

32,434,430

 

59,576,097

 

66,480,399

 

Effective discount rate

 

13.1

%

13.2

%

13.2

%

Probability of forced redemption

 

20

%

20

%

20

%

2012 Convertible Notes | Binomial lattice model
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

December 31,
2012

 

February 22,
2013

 

June 30,
2013

 

Stock Price

 

$

0.15

 

$

0.14

 

$

0.10

 

Exercise Price

 

$

0.10

 

$

0.10

 

$

0.10

 

Expected remaining term (in years)

 

2.50

 

2.35

 

2.01

 

Stock Volatility

 

100

%

100

%

100

%

Risk-Free Rate

 

0.31

%

0.32

%

0.36

%

Dividend Rate

 

0

%

0

%

0

%

Outstanding Shares of Common Stock

 

32,434,430

 

59,576,097

 

66,480,399

 

Effective discount rate

 

13.2

%

13.2

%

13.2

%

Probability of forced redemption

 

20

%

20

%

20

%

Third Tranche Convertible Notes | Binomial lattice model
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

January 16,
2013

 

February 22,
2013

 

June 30,
2013

 

Stock Price

 

$

0.15

 

$

0.14

 

$

0.10

 

Exercise Price

 

$

0.10

 

$

0.10

 

$

0.10

 

Expected remaining term (in years)

 

3

 

2.90

 

2.55

 

Stock Volatility

 

100

%

100

%

100

%

Risk-Free Rate

 

0.36

%

0.39

%

0.52

%

Dividend Rate

 

0

%

0

%

0

%

Outstanding Shares of Common Stock

 

32,434,430

 

59,576,097

 

66,480,399

 

Effective discount rate

 

13.2

%

13.2

%

13.2

%

Probability of forced redemption

 

20

%

20

%

20

%

2011 Warrants | Black-Scholes-Merton option-pricing model
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

December 31,
2012

 

February 22,
2013

 

June 30,
2013

 

Stock Price

 

$

0.15

 

$

0.14

 

$

0.10

 

Exercise Price

 

$

0.15

 

$

0.15

 

$

0.098

 

Expected Life (in years)

 

3.15

 

3.00

 

2.65

 

Stock Volatility

 

100

%

100

%

100

%

Risk-Free Rate

 

0.39

%

0.40

%

0.31

%

Dividend Rate

 

0

%

0

%

0

%

Outstanding Shares of Common Stock

 

32,434,430

 

59,576,097

 

66,480,399

 

2012 Warrants - $0.15 Warrants | Black-Scholes-Merton option-pricing model
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

December 31,
2012

 

February 22,
2013

 

June 30,
2013

 

Stock Price

 

$

0.15

 

$

0.14

 

$

0.10

 

Exercise Price

 

$

0.15

 

$

0.15

 

$

0.098

 

Expected Life (in years)

 

4.50

 

4.38

 

4.01

 

Stock Volatility

 

100

%

100

%

100

%

Risk-Free Rate

 

0.63

%

0.70

%

1.04

%

Dividend Rate

 

0

%

0

%

0

%

Outstanding Shares of Common Stock

 

32,434,430

 

59,576,097

 

66,480,399

 

2012 Warrants - $0.25 Warrants | Black-Scholes-Merton option-pricing model
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

December 31, 2012

 

Stock Price

 

$

0.15

 

Exercise Price

 

$

0.25

 

Expected Life (in years)

 

4.50

 

Stock Volatility

 

100

%

Risk-Free Rate

 

0.63

%

Dividend Rate

 

0

%

Outstanding Shares of Common Stock

 

32,434,430

 

Third Tranche Warrants | Black-Scholes-Merton option-pricing model
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

January 16,
2013

 

Stock Price

 

$

0.15

 

Exercise Price

 

$

0.15

 

Expected Life (in years)

 

5

 

Stock Volatility

 

110

%

Risk-Free Rate

 

0.75

%

Dividend Rate

 

0

%

Outstanding Shares of Common Stock

 

32,434,430

 

2013 Warrants | Monte Carlo simulation model
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

February 22,
2013

 

June 30,
2013

 

Stock Price

 

$

0.12

 

$

0.09

 

Exercise Price

 

$

0.20

 

$

0.20

 

Expected Life (in years)

 

5

 

4.65

 

Stock Volatility

 

110

%

110

%

Risk-Free Rate

 

0.84

%

1.28

%

Number of Steps

 

100,000

 

100,000

 

Outstanding Shares of Common Stock

 

59,576,097

 

66,480,399

 

2013 SPA Option | Black-Scholes-Merton option-pricing model
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

February 22,
2013

 

June 30,
2013

 

Stock Price

 

$

0.14

 

$

0.10

 

Exercise Price

 

$

0.15

 

$

0.15

 

Expected Life (in years)

 

0.75

 

0.39

 

Stock Volatility

 

110

%

110

%

Risk-Free Rate

 

0.15

%

0.07

%

Dividend Rate

 

0

%

0

%

Outstanding Shares of Common Stock

 

73,042,764

 

79,947,066

 

2013 SPA Option | Monte Carlo simulation model
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

February 22,
2013

 

June 30,
2013

 

Stock Price (simulated)

 

$

0.10

 

$

0.11

 

Exercise Price

 

$

0.20

 

$

0.20

 

Expected Life (in years)

 

5.00

 

5.00

 

Stock Volatility

 

110

%

110

%

Risk-Free Rate

 

1.158

%

1.633

%

Number of Steps

 

100,000

 

100,000