Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2013

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

			Fair Value Measurements at Reporting Date Using:
			Quoted Prices
			in Active		Significant
			Markets for		Other		Significant
	Balance as of		Identical		Observable		Unobservable
	September 30,		Assets		Inputs		Inputs
Description	2013		(Level 1)		(Level 2)		(Level 3)

Liabilities
Convertible notes	$	5,793,000	$	—	$	—	$	5,793,000
Warrant liabilities	$	6,452,000	$	—	$	—	$	6,452,000
Total Liabilities	$	12,245,000	$	—	$	—	$	12,245,000

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			February 2013 Warrants			February 2013 SPA Option			September 2013 Warrants			September 2013 SPA Options			Total
Balance December 31, 2011	$	5,327,000		$	1,600,000		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	6,927,000
Amortization of debt discount	$	198,000		$	—		$	17,000		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	215,000
Allocation of initial proceeds	$	—		$	—		$	417,000		$	583,000		$	—		$	—		$	—		$	—		$	—		$	—		$	1,000,000
Fair value adjustment	$	2,715,000		$	1,600,000		$	1,502,000		$	1,917,000		$	—		$	—		$	—		$	—		$	—		$	—		$	7,734,000

Balance September 30, 2012	$	8,240,000		$	3,200,000		$	1,936,000		$	2,500,000		$	—		$	—		$	—		$	—		$	—		$	—		$	15,876,000

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

Fair value adjustment	$	(2,041,000	)	$	(716,000	)	$	(536,000	)	$	(970,000	)	$	(136,000	)	$	—		$	(742,000	)	$	(807,000	)	$	—		$	—		$	(5,948,000	)
Carrying value of old debt at modification	$	(3,450,000	)	$	—		$	(980,000	)	$	—		$	(250,000	)	$	—		$	—		$	—		$	—		$	—		$	(4,680,000	)
Fair value of new debt at modification	$	4,920,000		$	—		$	1,390,000		$	—		$	361,000		$	—		$	—		$	—		$	—		$	—		$	6,671,000
Conversion of debentures and warrants	$	(579,000	)	$	(2,152,000	)	$	—		$	(238,000	)	$	—		$	—		$	—		$	—		$	—		$	—		$	(2,969,000	)
Fair value of instruments at issuance	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	1,807,000		$	1,166,000		$	2,973,000

September 18, 2013	$	4,920,000		$	1,048,000		$	1,390,000		$	424,000		$	361,000		$	—		$	2,017,000		$	404,000		$	1,807,000		$	1,166,000		$	13,537,000

Conversion of debentures and warrants	$	(304,000	)	$	(265,000	)	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	(569,000	)
Fair value adjustment	$	(426,000	)	$	(245,000	)	$	(100,000	)	$	(141,000	)	$	(48,000	)	$	—		$	1,165,000		$	(404,000	)	$	(233,000	)	$	(291,000	)	$	(723,000	)

September 30, 2013	$	4,190,000		$	538,000		$	1,290,000		$	283,000		$	313,000		$	—		$	3,182,000		$	—		$	1,574,000		$	875,000		$	12,245,000

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			September 18 2013			September 30, 2013
Stock Price	$	0.15		$	0.14		$	0.075		$	0.065
Strike Price	$	0.10		$	0.10		$	0.06		$	0.06
Expected remaining term (in years)	1.15			2.35			1.78			1.75
Stock Volatility	105		%	100		%	100		%	100		%
Risk-Free Rate	0.17		%	0.32		%	0.38		%	0.27		%
Dividend Rate	0		%	0		%	0		%	0		%
Outstanding Shares of Common Stock	32,434,430			59,576,097			143,997,066			160,666,475
Effective discount rate	13.1		%	13.2		%	16.4		%	16.4		%
Probability of forced redemption	20		%	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			September 18 2013			September 30, 2013
Stock Price	$	0.15		$	0.14		$	0.075		$	0.065
Exercise Price	$	0.10		$	0.10		$	0.06		$	0.06
Expected remaining term (in years)	2.50			2.35			1.79			1.75
Stock Volatility	100		%	100		%	100		%	100		%
Risk-Free Rate	0.31		%	0.32		%	0.38		%	0.26		%
Dividend Rate	0		%	0		%	0		%	0		%
Outstanding Shares of Common Stock	32,434,430			59,576,097			143,997,066			160,666,475
Effective discount rate	13.2		%	13.2		%	16.4		%	16.4		%
Probability of forced redemption	20		%	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			September 18 2013			September 30, 2013
Stock Price	$	0.15		$	0.14		$	0.075		$	0.065
Exercise Price	$	0.10		$	0.10		$	0.06		$	0.06
Expected remaining term (in years)	3			2.90			2.33			2.30
Stock Volatility	100		%	100		%	100		%	100		%
Risk-Free Rate	0.36		%	0.39		%	0.56		%	0.42		%
Dividend Rate	0		%	0		%	0		%	0		%
Outstanding Shares of Common Stock	32,434,430			59,576,097			143,997,066			160,666,475
Effective discount rate	13.2		%	13.2		%	13.3		%	13.3		%
Probability of forced redemption	20		%	20		%	20		%	20		%

February 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			September 30, 2013
Stock Price	$	0.14		$	0.065
Exercise Price	$	0.15		$	0.015
Expected Life (in years)	0.75			0.142
Stock Volatility	110		%	110		%
Risk-Free Rate	0.15		%	0.03		%
Dividend Rate	0		%	0		%
Outstanding Shares of Common Stock	73,042,764			160,666,475

February 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			September 30, 2013
Stock Price (simulated)	$	0.10		$	0.065
Exercise Price	$	0.20		$	0.20
Expected Life (in years)	5.00			0.142
Stock Volatility	110		%	110		%
Risk-Free Rate	1.158		%	1.475		%
Number of Steps	10,000			10,000

September 2013 SPA Option | Black-Scholes-Merton option-pricing model

Convertible Notes and Warrant Liabilities

Schedule of key inputs required to estimate fair value

Input	September 18, 2013			September 30, 2013
Stock Price	$	0.075		$	0.065
Exercise Price	$	0.06		$	0.06
Expected Life (in years)	0.748			0.715
Stock Volatility	110		%	110		%
Risk-Free Rate	0.07		%	0.07		%
Dividend Rate	0		%	0		%
Outstanding Shares of Common Stock	143,997,066			160,666,475

September 2013 SPA Option | Monte Carlo simulation model

Convertible Notes and Warrant Liabilities

Schedule of key inputs required to estimate fair value

Input	September 18, 2013			September 30, 2013
Stock Price (simulated)	$	0.075		$	0.065
Exercise Price	$	0.06		$	0.06
Expected Life (in years)	.7480			0.715
Stock Volatility	110		%	110		%
Risk-Free Rate	0.07		%	0.07		%
Number of Steps	10,000			10,000

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			September 30, 2013
Stock Price	$	0.15		$	0.14		$	0.065
Exercise Price	$	0.15		$	0.15		$	0.098
Expected Life (in years)	3.15			3.00			2.40
Stock Volatility	100		%	100		%	100		%
Risk-Free Rate	0.39		%	0.40		%	0.24		%
Dividend Rate	0		%	0		%	0		%
Outstanding Shares of Common Stock	32,434,430			59,576,097			160,666,475

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			September 30, 2013
Stock Price	$	0.15		$	0.14		$	0.065
Exercise Price	$	0.15		$	0.15		$	0.0098
Expected Life (in years)	4.50			4.38			3.76
Stock Volatility	100		%	100		%	100		%
Risk-Free Rate	0.63		%	0.70		%	0.92		%
Dividend Rate	0		%	0		%	0		%
Outstanding Shares of Common Stock	32,434,430			59,576,097			160,666,475

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

February 2013 Warrants | Monte Carlo simulation model

Convertible Notes and Warrant Liabilities

Schedule of key inputs required to estimate fair value

Input	February 22, 2013			September 30, 2013
Stock Price	$	0.12		$	0.058
Exercise Price	$	0.20		$	0.08
Expected Life (in years)	5			4.40
Stock Volatility	110		%	110		%
Risk-Free Rate	0.84		%	1.16		%
Number of Steps	100,000			100,000
Outstanding Shares of Common Stock	59,576,097			160,666,475

September 2013 Warrants | Monte Carlo simulation model

Convertible Notes and Warrant Liabilities

Schedule of key inputs required to estimate fair value

Input	September 18, 2013			September 30, 2013
Stock Price	$	0.071		$	0.062
Exercise Price	$	0.08		$	0.08
Expected Life (in years)	5			4.97
Stock Volatility	110		%	110		%
Risk-Free Rate	1.43		%	1.38		%
Number of Steps	100,000			100,000

- Definition

Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring and/or nonrecurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

+ References+ Details