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FAIR VALUE OF FINANCIAL INSTRUMENTS
12 Months Ended
Sep. 30, 2022
FAIR VALUE OF FINANCIAL INSTRUMENTS  
FAIR VALUE OF FINANCIAL INSTRUMENTS

NOTE N – 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 C.

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

Fair value at

Valuation

Unobservable

Weighted

 

    

September 30, 2022

    

Technique

    

Input

    

Range

    

Average

 

Liabilities:

Common Warrants

$

1,477,000

 

Monte Carlo simulation

 

Annualized volatility

 

146.72% - 174.63

%  

160.00

%

Series A Warrants

$

2,883,000

 

Monte Carlo simulation

 

Annualized volatility

 

146.72% - 174.63

%  

160.00

%

Series B Warrants

$

779,400

 

Monte Carlo simulation

 

Annualized volatility

 

146.72% - 174.63

%  

170

%

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

    

Common Warrants

Fair value at issuance, February 24, 2022

$

3,350,400

Change in fair value

 

(1,873,400)

Fair Value at September 30, 2022

$

1,477,000

The change in fair value of the Series A and Series B Warrants for the twelve-month period ended September 30, 2022 is summarized as follows:

    

Series A Warrants

    

Series B Warrants

Fair value at issuance August 8, 2022

$

13,414,000

$

9,174,600

Fair value of warrants exercised

 

 

(2,828,835)

Change in fair value

 

(10,531,000)

 

(5,566,365)

Fair Value at September 30, 2022

$

2,883,000

 

779,400