Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUES OF ASSETS AND LIABILITIES

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FAIR VALUES OF ASSETS AND LIABILITIES
 9 Months Ended
Sep. 30, 2011
FAIR VALUES OF ASSETS AND LIABILITIES
2.
FAIR VALUES OF ASSETS AND LIABILITIES

In accordance with Fair Value Measurements and Disclosures Topic of the FASB ASC, the Company groups its financial assets and financial liabilities generally measured at fair value in three levels, based on the markets in which the assets and liabilities are traded and the reliability of the assumptions used to determine fair value.

 
·
Level 1: Input prices quoted in an active market for identical financial assets or liabilities.
 
·
Level 2: Inputs other than prices quoted in Level 1, such as prices quoted for similar financial assets and liabilities in active markets, prices for identical assets and liabilities in markets that are not active or other inputs that are observable or can be corroborated by observable market data.
 
·
Level 3: Input prices quoted that are significant to the fair value of the financial assets or liabilities which are not observable or supported by an active market.

 
Assets and liabilities measured at fair value on a recurring basis are summarized below:
 
   
September 30, 2011
  
   
Level 1
    
Level 2
    
Level 3
    
Fair Value
  
                         
Liabilities:
                        
Warrants
   $ -     $ 77,967     $ -     $ 77,967  
 
   
December 31, 2010
  
   
Level 1
    
Level 2
    
Level 3
    
Fair Value
  
                         
Liabilities:
                        
Warrants
   $ -     $ -     $ -     $ -  
 
The Company uses the Black-Scholes option pricing model and assumptions that consider, among other variables, the fair value of the underlying stock, risk-free interest rate, volatility, expected life and dividend rates in estimating fair value for the warrants considered to be derivative instruments. Assumptions used are generally consistent with those disclosed for stock-based compensation (see Note 7).