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FAIR VALUE OF FINANCIAL INSTRUMENTS
9 Months Ended
Jun. 30, 2022
FAIR VALUE OF FINANCIAL INSTRUMENTS  
FAIR VALUE OF FINANCIAL INSTRUMENTS

NOTE H —FAIR VALUE OF FINANCIAL INSTRUMENTS

The Company’s financial instruments at fair value are measured on a recurring basis. Related unrealized gains or losses are recognized in unrealized gain on change in fair value of the Common Warrants in the condensed consolidated statements of operations. For additional disclosures regarding methods and assumptions used in estimating fair values of these financial instruments, see Note B.

The following table presents the fair value of the Company’s financial instruments as of June 30, 2022 and summarizes the significant unobservable inputs in fair value measurement of Level 3 financial assets and liabilities as of June 30, 2022. The Company did not have any assets or liabilities categorized as Level 1 or 2 as of June 30, 2022.

Fair value at

Valuation

Unobservable

Weighted

 

    

June 30, 2022

    

Technique

    

Input

    

Range

    

Average

 

Liabilities:

 

  

 

  

 

  

 

  

  

Common Warrants

$

809,700

Monte Carlo simulation

 

Annualized volatility

 

72.08% -
141.39%

125

%

The change in fair value of the Common Warrants for the three-month period ended June 30, 2022 is summarized as follows:

    

Common Warrants

Fair value at April 1, 2022

$

2,567,900

Change in fair value

 

(1,758,200)

Fair Value at June 30, 2022

$

809,700

The change in fair value of the Common Warrants for the nine-month period ended June 30, 2022 is summarized as follows:

    

Common Warrants

Fair value at issuance February 24, 2022

$

3,350,400

Change in fair value

 

(2,540,700)

Fair Value at June 30, 2022

$

809,700