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FAIR VALUE OF FINANCIAL INSTRUMENTS
3 Months Ended
Dec. 31, 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 warrants classified as a liability 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 December 31, 2022 and summarizes the significant unobservable inputs in fair value measurement of Level 3 financial assets and liabilities as of December 31, 2022. The Company did not have any assets or liabilities categorized as Level 1 or 2 as of December 31, 2022.

Fair value at

Valuation

Unobservable

Weighted

 

    

December 31, 2022

    

Technique

    

Input

    

Average

 

Liabilities:

 

  

 

  

 

  

  

Common Warrants

$

2,187,000

Monte Carlo simulation

 

Annualized volatility

160.00

%

Series A Warrants

$

4,269,000

Monte Carlo simulation

Annualized volatility

160.00

%

Series B Warrants

$

1,321,200

Monte Carlo simulation

Annualized volatility

190.00

%

NOTE H – FAIR VALUE OF FINANCIAL INSTRUMENTS, continued

The change in fair value of the Common Warrants and the Series A and Series B Warrants for the three-month period ended December 31, 2022 is summarized as follows:

    

Common Warrants

    

 

Series A Warrants

    

Series B Warrants

Fair value at October 1, 2022

$

1,477,000

$

2,883,000

$

779,400

Change in fair value

 

710,000

1,386,000

541,800

Fair Value at December 31, 2022

$

2,187,000

$

4,269,000

1,321,200