Quarterly report pursuant to Section 13 or 15(d)

Convertible Notes and Warrant Liabilities (Tables)

v2.4.0.6
Convertible Notes and Warrant Liabilities (Tables)
6 Months Ended
Jun. 30, 2012
Convertible Notes and Warrant Liabilities  
Summary of Warrants outstanding

 

 

 

 

Warrants

 

Exercise
Price

 

Beginning balance

 

40,000,000

 

$

0.15

 

Add: Adjustments (pursuant to warrants agreement)

 

 

n/a

 

Less: Exercised (prior to 3/31/2011)

 

 

n/a

 

Ending balance

 

40,000,000

 

$

0.15

 

 

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

 

 

 

June 30,

 

Assets

 

Inputs

 

Inputs

 

Description

 

2012

 

(Level 1)

 

(Level 2)

 

(Level 3)

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Convertible notes

 

$

8,920,000

 

$

 

$

 

$

8,920,000

 

Warrant liabilities

 

$

4,000,000

 

$

 

$

 

$

4,000,000

 

 

 

 

 

 

 

 

 

 

 

Total Liabilities

 

$

12,920,000

 

$

 

$

 

$

12,920,000

 

 

Schedule of changes in the Convertible Notes and Investor Warrants

 

 

 

 

Fair Value
of Convertible
Notes

 

Fair Value
of Warrant
Liabilities

 

Total

 

Allocation of initial proceeds

 

$

3,208,000

 

$

792,000

 

$

4,000,000

 

Initial fair value adjustment

 

$

469,000

 

$

116,000

 

$

585,000

 

February 22, 2011

 

$

3,677,000

 

$

908,000

 

$

4,585,000

 

Amortization of debt discount

 

$

91,000

 

$

 

$

91,000

 

Fair value adjustment

 

$

1,747,000

 

$

988,000

 

$

2,735,000

 

Balance June 30, 2011

 

$

5,515,000

 

$

1,896,000

 

$

7,411,000

 

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

 

 

Warrant Liabilities
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

February 22,
2011

 

June 30,
2011

 

December 31,
2011

 

June 30,
2012

 

Stock Price

 

$

0.0755

 

$

0.12

 

$

0.1075

 

$

0.20

 

Exercise Price

 

$

0.15

 

$

0.15

 

$

0.15

 

$

0.15

 

Expected Life (in years)

 

5.00

 

4.65

 

4.15

 

3.65

 

Stock Volatility

 

90

%

95

%

95

%

105

%

Risk-Free Rate

 

2.16

%

1.59

%

0.63

%

0.51

%

Dividend Rate

 

0

%

0

%

0

%

0

%

Outstanding Shares of Common Stock

 

30,351,092

 

30,351,092

 

30,351,092

 

30,976,092

 

 

Convertible Notes
 
Convertible Notes and Warrant Liabilities  
Schedule of key inputs required to estimate fair value

 

 

Input

 

February 22,
2011

 

June 30,
2011

 

December 31,
2011

 

June 30,
2012

 

Stock Price

 

$

0.0755

 

$

0.1200

 

$

0.1075

 

$

0.20

 

Exercise Price

 

$

0.10

 

$

0.10

 

$

0.10

 

$

0.10

 

Expected remaining term (in years)

 

3.00

 

2.65

 

2.15

 

1.65

 

Stock Volatility

 

95

%

100

%

100

%

110

%

Risk-Free Rate

 

1.22

%

0.68

%

0.27

%

0.29

%

Dividend Rate

 

0

%

0

%

0

%

0

%

Outstanding Shares of Common Stock

 

30,351,092

 

30,351,092

 

30,351,092

 

30,976,092

 

Effective discount rate

 

20.3

%

16.6

%

13.2

%

8.3

%

Probability of forced redemption

 

20

%

20

%

20

%

20

%