| 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 |
|
The assumptions
for the binomial pricing model are represented in the table below for the warrants issued in both tranches of the Series C private
placement reflected on a per share Common Stock equivalent basis.
| |
|
|
|
|
|
|
|
Warrants revalued at: |
|
| Assumptions |
|
April 8, 2011 |
|
|
June 20, 2011 |
|
|
April 8, 2011 |
|
|
June 20, 2011 |
|
| Expected life (in months) |
|
|
36.0 |
|
|
|
36.0 |
|
|
|
28.0 |
|
|
|
30.0 |
|
| Expected volatility |
|
|
118.5 |
% |
|
|
118.5 |
% |
|
|
88.2 |
% |
|
|
89.7 |
% |
| Risk-free interest rate |
|
|
0.625 |
% |
|
|
0.625 |
% |
|
|
0.25 |
% |
|
|
0.25 |
% |
| Exercise price |
|
$ |
2.13 |
|
|
$ |
2.13 |
|
|
$ |
2.13 |
|
|
$ |
2.13 |
|
| Fair value per warrant |
|
$ |
0.70 |
|
|
$ |
0.62 |
|
|
$ |
0.12 |
|
|
$ |
0.14 |
|
The assumptions
for the warrants issued to the investment banker show the range of values for both tranches. The investment banker received two
sets of warrants in each tranche with half of the warrants assigned a different exercise price.
| |
|
Investment Banker Warrants |
|
| |
|
April 8, 2011 |
|
|
June 20, 2011 |
|
| Assumptions |
|
$ |
1.50 |
|
|
$ |
2.38 |
|
|
$ |
1.50 |
|
|
$ |
2.38 |
|
| Expected life (in months) |
|
|
60.0 |
|
|
|
60.0 |
|
|
|
60.0 |
|
|
|
60.0 |
|
| Expected volatility |
|
|
99.1 |
% |
|
|
99.1 |
% |
|
|
99.9 |
% |
|
|
99.9 |
% |
| Risk-free interest rate |
|
|
1.500 |
% |
|
|
1.500 |
% |
|
|
1.500 |
% |
|
|
1.500 |
% |
| Exercise price |
|
$ |
1.50 |
|
|
$ |
2.38 |
|
|
$ |
1.50 |
|
|
$ |
2.38 |
|
| Fair value per warrant |
|
$ |
0.83 |
|
|
$ |
0.75 |
|
|
$ |
0.74 |
|
|
$ |
0.67 |
|
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, 2011 |
|
|
Warrants revalued at December 31, 2012 |
|
| Expected life (in months) |
|
|
60.0 |
|
|
|
59.0 |
|
|
|
43.0 |
|
| Expected volatility |
|
|
104.5 |
% |
|
|
106.2 |
% |
|
|
146.4 |
% |
| Risk-free interest rate |
|
|
0.875 |
% |
|
|
0.875 |
% |
|
|
0.437 |
% |
| Exercise price |
|
$ |
0.81 |
|
|
$ |
0.81 |
|
|
$ |
0.40 |
|
| Fair value per warrant |
|
$ |
0.54 |
|
|
$ |
0.44 |
|
|
$ |
0.15 |
|
|
| Options and warrants outstanding and exercisable |
The following
tables summarize information concerning 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, 2011 |
|
|
1,605,603 |
|
|
$ |
2.49 |
|
|
|
2,681,350 |
|
|
$ |
2.24 |
|
|
|
4,286,953 |
|
|
|
4,114,792 |
|
| Granted |
|
|
180,000 |
|
|
|
1.00 |
|
|
|
2,094,151 |
|
|
|
1.44 |
|
|
|
2,274,151 |
|
|
|
|
|
| Exercised |
|
|
(41,103 |
) |
|
|
1.07 |
|
|
|
- |
|
|
|
- |
|
|
|
(41,103 |
) |
|
|
|
|
| Expired |
|
|
(161,000 |
) |
|
|
2.78 |
|
|
|
- |
|
|
|
- |
|
|
|
(161,000 |
) |
|
|
|
|
| Forfeited |
|
|
(75,000 |
) |
|
|
2.57 |
|
|
|
- |
|
|
|
- |
|
|
|
(75,000 |
) |
|
|
|
|
| Balance outstanding, December 31, 2011 |
|
|
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 |
|
| |
|
|
|
|
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 |
|
| $ |
0.50 |
- |
$ |
0.59 |
|
|
|
213,750 |
|
|
|
9.6 |
|
|
$ |
0.50 |
|
|
|
136,563 |
|
|
|
9.6 |
|
|
$ |
0.50 |
|
| |
0.60 |
- |
|
0.99 |
|
|
|
536,000 |
|
|
|
7.0 |
|
|
|
0.60 |
|
|
|
409,250 |
|
|
|
6.4 |
|
|
|
0.60 |
|
| |
1.00 |
- |
|
1.00 |
|
|
|
856,000 |
|
|
|
4.3 |
|
|
|
1.00 |
|
|
|
756,419 |
|
|
|
3.7 |
|
|
|
1.00 |
|
| $ |
0.50 |
- |
$ |
1.00 |
|
|
|
1,605,750 |
|
|
|
5.9 |
|
|
$ |
0.80 |
|
|
|
1,302,232 |
|
|
|
5.1 |
|
|
$ |
0.82 |
|
|