| Assumptions used |
In connection with the warrant amendments,
we calculated the fair value of the warrants, as described above, using a Black-Scholes model with the below assumptions.
| Assumptions |
|
Series A |
|
|
Series A |
|
|
Series B |
|
|
Series C |
|
|
Aug/Sep 2011 |
|
|
Feb 2012 |
|
| |
|
|
|
|
(Affiliates) |
|
|
|
|
|
|
|
|
Notes |
|
|
PIPE |
|
| Contractual life, in years |
|
|
4.1 |
|
|
|
3.1 |
|
|
|
3.1 |
|
|
|
5.1 |
|
|
|
2.1 |
|
|
|
4.6 |
|
| Expected volatility |
|
|
132.0 |
% |
|
|
114.1 |
% |
|
|
114.1 |
% |
|
|
121.9 |
% |
|
|
126.6 |
% |
|
|
126.6 |
% |
| Risk-free interest rate |
|
|
0.4 |
% |
|
|
0.4 |
% |
|
|
0.4 |
% |
|
|
0.4 |
% |
|
|
0.4 |
% |
|
|
0.4 |
% |
| Exercise price |
|
$ |
0.60 |
|
|
$ |
0.60 |
|
|
$ |
0.60 |
|
|
$ |
0.60 |
|
|
$ |
0.60 |
|
|
$ |
0.60 |
|
| Fair value per warrant |
|
$ |
0.03 |
|
|
$ |
0.03 |
|
|
$ |
0.03 |
|
|
$ |
0.03 |
|
|
$ |
0.03 |
|
|
$ |
0.03 |
|
In connection with the Series J warrants,
we calculated the fair value of the warrants received as described above using the Black- Scholes formula with the below assumptions:
| Assumptions |
|
Series J warrants February 6,
2013
|
|
|
Series J warrants
March 28,
2013
|
|
|
Series J warrants
May 20,
2013
|
|
| Contractual life (in months) |
|
|
36 |
|
|
|
36 |
|
|
|
36 |
|
| Expected volatility |
|
|
141.8 |
|
|
|
144.3 |
|
|
|
147.0 |
|
| Risk-free interest rate |
|
|
0.39 |
% |
|
|
0.36 |
% |
|
|
0.36 |
% |
| Exercise price |
|
$ |
0.40 |
|
|
$ |
0.40 |
|
|
$ |
0.40 |
|
| Fair value per warrant |
|
$ |
0.36 |
|
|
$ |
0.26 |
|
|
$ |
0.30 |
|
The assumptions for the binomial pricing
model are represented in the table below for the warrants issued in the Series D private placement reflected on a per share Common
Stock equivalent basis.
| Assumptions |
|
November 10,
2011
|
|
|
Warrants revalued at
December 31,
2012
|
|
|
Warrants revalued at
December 31,
2013
|
|
| Expected life (in months) |
|
|
60.0 |
|
|
|
43.0 |
|
|
|
34.0 |
|
| Expected volatility |
|
|
104.5 |
% |
|
|
146.4 |
% |
|
|
154.8 |
% |
| Risk-free interest rate |
|
|
0.875 |
% |
|
|
0.437 |
% |
|
|
0.78 |
% |
| Exercise price |
|
$ |
0.81 |
|
|
$ |
0.40 |
|
|
$ |
0.25 |
|
| Fair value per warrant |
|
$ |
0.54 |
|
|
$ |
0.15 |
|
|
$ |
0.21 |
|
|
| Options and warrants outstanding and exercisable |
| |
|
Stock Options |
|
|
Warrants |
|
|
|
|
|
|
|
| |
|
Weighted |
|
|
Weighted |
|
|
|
|
|
|
|
| |
|
Average price |
|
|
Average price |
|
|
Total |
|
| |
|
Shares |
|
|
per share |
|
|
Shares |
|
|
per share |
|
|
Shares |
|
|
Exercisable |
|
| Balance outstanding, January 1, 2012 |
|
|
1,508,500 |
|
|
$ |
2.33 |
|
|
|
4,775,501 |
|
|
$ |
1.35 |
|
|
|
6,284,001 |
|
|
|
6,112,335 |
|
| Granted |
|
|
1,896,250 |
|
|
|
0.81 |
|
|
|
2,909,068 |
|
|
|
0.62 |
|
|
|
4,805,318 |
|
|
|
|
|
| Exercised |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
|
|
| Expired |
|
|
(130,000 |
) |
|
|
2.28 |
|
|
|
(116,490 |
) |
|
|
2.80 |
|
|
|
(246,490 |
) |
|
|
|
|
| Forfeited |
|
|
(1,669,000 |
) |
|
|
2.09 |
|
|
|
(880,980 |
) |
|
|
2.13 |
|
|
|
(2,549,980 |
) |
|
|
|
|
| Balance outstanding, December 31, 2012 |
|
|
1,605,750 |
|
|
$ |
0.80 |
|
|
|
6,687,099 |
|
|
$ |
0.81 |
|
|
|
8,292,849 |
|
|
|
7,989,331 |
|
| Granted |
|
|
363,500 |
|
|
|
0.41 |
|
|
|
8,346,228 |
|
|
|
0.37 |
|
|
|
8,709,728 |
|
|
|
|
|
| Exercised |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
|
|
| Expired |
|
|
(10,000 |
) |
|
|
1.00 |
|
|
|
(21,000 |
) |
|
|
2.38 |
|
|
|
(31,000 |
) |
|
|
|
|
| Forfeited |
|
|
(187,542 |
) |
|
|
.85 |
|
|
|
- |
|
|
|
- |
|
|
|
(187,542 |
) |
|
|
|
|
| Balance outstanding, December 31, 2013 |
|
|
1,771,708 |
|
|
$ |
0.71 |
|
|
|
15,012,327 |
|
|
$ |
0.57 |
|
|
|
16,784,035 |
|
|
|
16,611,528 |
|
| |
|
|
Options Outstanding |
|
|
Options Exercisable |
|
| |
|
|
|
|
|
Weighted Average |
|
|
|
|
|
Weighted Average |
|
| Range of Exercise Prices |
|
|
Number of Options |
|
|
Remaining Contractual Life (Years) |
|
|
Exercise Price |
|
|
Number of Options |
|
|
Remaining Contractual Life (Years) |
|
|
Exercise Price |
|
| $0.00 - $0.49 |
|
|
|
321,000 |
|
|
|
9.4 |
|
|
$ |
0.40 |
|
|
|
255,208 |
|
|
|
9.4 |
|
|
$ |
0.40 |
|
| 0.50 - 0.59 |
|
|
|
251,250 |
|
|
|
8.6 |
|
|
|
0.50 |
|
|
|
251,250 |
|
|
|
8.6 |
|
|
|
0.50 |
|
| 0.60 - 0.99 |
|
|
|
475,250 |
|
|
|
6.0 |
|
|
|
0.60 |
|
|
|
416,658 |
|
|
|
5.7 |
|
|
|
0.60 |
|
| 1.00 - 1.50 |
|
|
|
724,208 |
|
|
|
3.2 |
|
|
|
1.00 |
|
|
|
676,085 |
|
|
|
2.9 |
|
|
|
1.00 |
|
| $0.50 - $1.00 |
|
|
|
1,771,708 |
|
|
|
5.9 |
|
|
$ |
0.71 |
|
|
|
1,599,201 |
|
|
|
5.6 |
|
|
$ |
0.72 |
|
|