Quarterly report pursuant to Section 13 or 15(d)

Warrant Derivative Liability

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Warrant Derivative Liability
 3 Months Ended
Sep. 30, 2012
Derivative Liabilities [Abstract]  
Warrant Derivative Liability

NOTE 7 – Warrant Derivative Liability

 

At September 30, 2012 there were a total of 2,859,060 outstanding warrants classified as derivative liabilities due to exercise price re-set provisions included in the underlying warrant agreements.

 

Warrants classified as derivative liabilities are recorded at their fair values at the issuance date and are revalued at each subsequent reporting date, using a Monte Carlo simulation model. Warrants were determined to have a fair value per share and aggregate as of September 30, 2012 and in aggregate as of June 30, 2012 as follows:

 

    Issued Warrants     Fair Value Per
Share $ as of
September 30, 2012		     Total Fair Value in
Aggregate $ as of
September 30, 2012		     Total Fair Value in
Aggregate $ as of
June 30, 2012		  
                         
June 2012 Warrants     562,551     $ 1.53     $ 862,535     $ 1,158,154  
July 2012 Warrants     338,013     $ 1.56     $ 527,046     $ —  
August 2012 Warrants     120,719     $ 1.58     $ 190,634     $ —  
Advisory Agreement Warrants     1,837,777     $ 1.54     $ 2,831,135     $ 3,784,870  

 

Significant assumptions used to estimate the fair value of the warrants classified as derivative liabilities are summarized below:

 

Expected volatility   100%                        
Risk free interest rate   0.6%                        
Stock price (based on prices on valuation dates)   $1.55 to $2.25                        
Exercise price   $0.41                        
Expected term   5 years                        
Subsequent financing probability   50%