8. DERIVATIVE LIABILITIES | 12 Months Ended |
Jan. 31, 2014 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' |
DERIVATIVE LIABILITIES | ' |
Derivative Warrant Instruments |
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In the December 2010 and January 2011 Unit Offering, the Company incurred liabilities for the estimated fair value of derivative warrant instruments in the form of warrants. The estimated fair value of the derivative warrant instruments was calculated using the Black-Scholes option pricing model and amounted to $1,323,133 at the grant dates as of December 22, 2010 and January 13, 2011. These estimates were re-valued as being $125,692 at the balance sheet date as of January 31, 2013. The Company recorded a $1,257,783 change in value of the derivative liability as unrealized gain in non-operating income for the year ended January 31, 2013. The estimated fair value of the derivative warrant instruments was calculated using a probability-weighted scenario analysis model as of January 31, 2014 (See the Company’s fourth quarter valuation model review and summary of January 31, 2014 assumptions below). The estimate was re-valued as being $442,034 at the balance sheet date as of January 31, 2014, and the Company recorded the change in value in non-operating income for the year ended January 31, 2014. |
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The fair value of each warrant granted in the private placement offering through January 31, 2012 has been estimated on the dates of grant using the Black-Scholes option pricing model, under the following assumptions: |
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Common stock issuable upon exercise of warrants | | | 30,739,129 | | | | | | | | | |
Market price of the Company’s common stock on the measurement dates | | $ | 0.05 and 0.09 | | | | | | | | | |
Exercise price | | $ | 0.125 | | | | | | | | | |
Risk free interest rate (1) | | | 0.34 | % | | | | | | | | |
Dividend yield | | | 0 | % | | | | | | | | |
Volatility | | | 365.22-368.49 | % | | | | | | | | |
Expected exercise term in years | | | 1.92-1.98 | | | | | | | | | |
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| -1 | The risk-free interest rate was determined by management using the average of 1- and 2-year Treasury Bill yield as of the grant dates. | | | | | | | | | | |
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In April 2011, the Company added to the Unit Offering a first over-allotment option. As such, the Company incurred liabilities for the estimated fair value of derivative warrant instruments in the form of warrants. The estimated fair value of the derivative warrant instruments was calculated using the Black-Scholes option pricing model and amounted to $71,973, $131,077, and $88,824 at the grant dates of April 7, 2011, April 13, 2011, and April 30, 2011, respectively. The April 2011 grants were re-valued as being $16,417 at the balance sheet date of January 31, 2013. The Company recorded a $194,700 change in value as unrealized gain in non-operating income for the year ended January 31, 2013. The estimated fair value of the derivative warrant instruments was calculated using a probability-weighted scenario analysis model as of January 31, 2014 (See the Company’s fourth quarter valuation model review and summary of January 31, 2014 assumptions below). The estimate was re-valued as being $56,930 at the balance sheet date as of January 31, 2014, and the Company recorded the change in value in non-operating income for the year ended January 31, 2014. |
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The fair value of each warrant granted in the private placement offering through January 31, 2012 has been estimated on the dates of grant using the Black-Scholes option pricing model, under the following assumptions: |
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Common stock issuable upon exercise of warrants | | | 4,000,000 | | | | | | | | | |
Market price of the Company’s common stock on the measurement dates | | $ | 0.08 and 0.10 | | | | | | | | | |
Exercise price | | $ | 0.125 | | | | | | | | | |
Risk free interest rate range (1) | | | 0.34 | % | | | | | | | | |
Dividend yield | | | 0 | % | | | | | | | | |
Volatility range | | | 378.72 – 381.90 | % | | | | | | | | |
Expected exercise term in years | | | 2.21-2.28 | | | | | | | | | |
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-1 | The risk-free interest rate was determined by management using the 2-year Treasury Bill yield as of the grant dates. | | | | | | | | | | | |
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In June and July 2011, the Company closed its first and second over-allotment options. The Company incurred liabilities for the estimated fair value of derivative warrant instruments in the form of warrants. The estimated fair value of the derivative warrant instruments was calculated using the Black-Scholes option pricing model and amounted to $149,203 and $102,957 at the grant dates of June 15, 2011 and July 15, 2011, respectively. The grants were re-valued as being $16,447 at January 31, 2013. The Company recorded a $206,061 change in value as unrealized gain in non-operating income for the year ended January 31, 2013. The estimated fair value of the derivative warrant instruments was calculated using a probability-weighted scenario analysis model as of January 31, 2014 (See the Company’s fourth quarter valuation model review and summary of January 31, 2014 assumptions below). The estimate was re-valued as being $56,954 at the balance sheet date as of January 31, 2014, and the Company recorded the change in value in non-operating income for the year ended January 31, 2014. |
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The fair value of each warrant granted in the private placement offering through January 31, 2012 has been estimated on the dates of grant using the Black-Scholes option pricing model, under the following assumptions: |
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Common stock issuable upon exercise of warrants | | | 4,000,000 | | | | | | | | | |
Market price of the Company’s common stock on the measurement dates | | $ | 0.07 and 0.08 | | | | | | | | | |
Exercise price | | $ | 0.125 | | | | | | | | | |
Risk free interest rate range (1) | | | 0.52 | % | | | | | | | | |
Dividend yield | | | 0 | % | | | | | | | | |
Volatility range | | | 370.07-373.99 | % | | | | | | | | |
Expected exercise term in years | | | 2.41-2.49 | | | | | | | | | |
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| -1 | The risk-free interest rate was determined by management using the 2-year Treasury Bill yield as of the grant dates. | | | | | | | | | | |
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As of February 1, 2012, the Company amended the terms of the warrants issued during the 2010/2011 private placement offerings, such that (i) their term has been extended by six months and (ii) one-half of the warrants (19,369,565) retain the exercise price of $0.125 per share and the other one-half of the warrants (19,369,564) have an exercise price of $0.05 per share. |
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As a result of the issuance of the March 2012 Units at $0.04 per unit (Note 9), a weighted average anti-dilution adjustment was made with respect to those warrants exercisable for 19,369,565 of the shares being offered at the original exercise price of $0.125 per share. Since the $0.04 price per unit of the March 2012 Units was lower than the $0.125 warrant exercise price, the exercise price with respect to these 19,369,565 warrants was lowered to $0.12, post March 2012 Unit Offering, and the aggregate number of shares issuable upon exercise of these warrants was increased to 20,176,630. Because the anti-dilution provisions of the warrants call for rounding to the nearest cent, no adjustments were required for the other 19,369,564 warrants, which have an exercise price of $0.05 per share. |
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In March 2012, pursuant to a private placement offering, the Company issued 4,250,000 warrants to purchase 0.5 shares of common stock per unit. The Company recorded a derivative liability upon issuance of the warrants. The estimated fair value of the derivative warrant instruments was calculated using the Black-Scholes option pricing model and amounted to $101,985 at the grant date of March 16, 2012. The estimated fair value of the derivative warrant instruments was calculated using a probability-weighted scenario analysis model as of January 31, 2014 (See the Company’s fourth quarter valuation model review and summary of January 31, 2014 assumptions below). The estimate was re-valued as being $60,856 at the balance sheet date as of January 31, 2014, and the Company recorded the change in value in non-operating income for the year ended January 31, 2014. |
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The fair value of each warrant granted in the private placement offering through January 31, 2012 has been estimated on the dates of grant using the Black-Scholes option pricing model, under the following assumptions: |
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Common stock issuable upon exercise of warrants | | | 2,125,000 | | | | | | | | | |
Market price of the Company’s common stock on the measurement date | | $ | 0.05 | | | | | | | | | |
Exercise price | | $ | 0.06 | | | | | | | | | |
Risk free interest rate | | | 0.69 | % | | | | | | | | |
Dividend yield | | | 0 | % | | | | | | | | |
Volatility | | | 347.74 | % | | | | | | | | |
Expected exercise term in years | | | 3.17 | | | | | | | | | |
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As of December 19, 2012, the Company amended the terms of the warrants issued during the 2010/2011 private placement offerings, such that (i) their term shall be extended for a period of an additional three years from its date of expiration as previously amended and (ii) the exercise price of all of the warrants, exercisable for an aggregate of 39,546,194 shares of common stock, including anti-dilution adjustments, sold in the Offering shall be reduced to $0.03 per whole share through the third year of the extended term of the warrants, then increased to $0.04 per whole share during the fourth year of the term and to $0.05 per whole share during the fifth year of the term. The valuation of the warrants at January 31, 2013 reflects the new terms. The estimated fair value of the derivative warrant instruments was calculated using a probability-weighted scenario analysis model as of January 31, 2014 (See the Company’s fourth quarter valuation model review and summary of January 31, 2014 assumptions below). The estimate was re-valued as being $533,681 at the balance sheet date as of January 31, 2014, and the Company recorded the change in value in non-operating income for the year ended January 31, 2014. |
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As a result of the issuance of the warrants in the November 2013 Offering (Note 10), a weighted average anti-dilution adjustment was made with respect to those warrants issued between December 2010 and March 2012 exercisable for an aggregate of 41,671,195 common shares. Since the price per unit of the warrants in the November 2013 Offering was lower than the exercise price of these warrants, the exercise price with respect to these warrants was lowered to $0.009 and $.016, post November 2013 Offering, and the aggregate number of shares issuable upon exercise of these warrants was increased to 148,285,243. |
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During the fourth quarter of the year ended January 31, 2014, the Company completed a review of the valuation of its derivative warrant instruments. The Company determined that as a result of the aforementioned amendments to the exercise price during the year ended January 31, 2014, the Company should adopt the probability-weighted scenario analysis model for the year ended January 31, 2014. The estimated fair value of all derivative warrant instruments was re-valued as being $1,150,455 at the balance sheet date as of January 31, 2014. The Company recorded a $822,794 net change in value of the derivative liability as unrealized loss in non-operating income for the year ended January 31, 2014. |
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The following is a summary of the assumptions used in the probability-weighted scenario analysis model to estimate the fair value of the warrants as of the balance sheet date at January 31, 2014, and the assumptions used for the Black-Scholes option pricing model to estimate the fair value of the warrants as of balance sheet date at January 31, 2013, respectively: |
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| | January 31, | | | | | | January 31, | |
2014 | 2013 |
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Common stock issuable upon exercise of warrants | | | 148,285,243 | | | | | | | 41,671,195 | |
Market price of the Company’s common stock on the measurement dates | | $ | 0.008 | | | | | | $ | 0.008 | |
Exercise price range | | $ | 0.009 - 0.016 | | | | | | $ | 0.03-0.06 | |
Risk free interest rate range (1) | | | 0.34 - 0.69 | % | | | | | | 0.42 - 0.65 | % |
Dividend yield | | | 0 | % | | | | | | 0 | % |
Volatility range | | | 356.22 - 381.9 | | | | 0 | % | | | 306.62-327.98 | % |
Expected exercise term in years | | | 1.92 – 3.17 | | | | | | | | 2.89 – 4.12 | |
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| -1 | The risk-free interest rate was determined by management using the 3-year and the average of the 3- and 5-year Treasury Bill as of January 31, 2014 and January 31, 2013, respectively. | | | | | | | | | | |
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