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FAIR VALUE OF FINANCIAL INSTRUMENTS

9 Months Ended

Jun. 30, 2024

FAIR VALUE OF FINANCIAL INSTRUMENTS

FAIR VALUE OF FINANCIAL INSTRUMENTS

NOTE I – 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 (loss) 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 June 30, 2024 and summarizes the significant unobservable inputs in fair value measurement of Level 3 financial assets and liabilities as of June 30, 2024. The Company did not have any assets or liabilities categorized as Level 1 or 2 as of June 30, 2024.

​

​	​	​	​	​	​	​	​	​	​	​
​	​	Fair value at		​	Valuation	​	Unobservable	​	Volatility
​		June 30, 2024			Technique		Input		Input
Liabilities:		​						​		​
Common Warrants	​	$	14,000	​	Monte Carlo simulation		Annualized volatility	​	145.00	%
Series A Warrants	​	$	5,000	​	Monte Carlo simulation	​	Annualized volatility	​	147.50	%
Series A Warrants - modified	​	$	9,000	​	Monte Carlo simulation	​	Annualized volatility	​	145.00	%
Private Common Warrants	​	$	158,000	​	Monte Carlo simulation	​	Annualized volatility	​	162.50	%

​

The change in fair value of the Common Warrants, the Series A Warrants and the Private Common Warrants for the three-month period ended June 30, 2024 is summarized as follows:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Series A

​

Private

​

​

​

​

​

Common

​

Series A

​

Warrants-

​

Common

​

​

​

​

​

Warrants

Warrants

modified

Warrants

Totals

Fair value at April 1, 2024

​

$

506,000

​

$

346,000

​

$

304,000

​

$

4,190,000

​

$

5,346,000

Change in fair value

​

​

(492,000)

​

​

(341,000)

​

(295,000)

​

(4,032,000)

​

​

(5,160,000)

Fair Value at June 30, 2024

​

$

14,000

​

$

5,000

​

$

9,000

​

$

158,000

​

$

186,000

​

The change in fair value of the Common Warrants, the Series A Warrants and the Private Common Warrants for the nine-month period ended June 30, 2024 is summarized as follows:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Series A

Private

​

​

​

Common

​

Series A

​

Warrants-

​

Common

​

​

​

​

Warrants

​

Warrants

​

modified

​

Warrants

​

Totals

Fair value at October 1, 2023

​

$

1,468,000

​

$

1,971,900

$

845,100

$

—

​

$

4,285,000

Fair value at February 2, 2024

​

—

​

—

​

—

​

5,071,000

​

5,071,000

Change in fair value-warrant modification

​

230,000

​

—

​

164,000

​

—

​

394,000

Change in fair value

​

(1,684,000)

​

(1,966,900)

​

(1,000,100)

​

(4,913,000)

​

(9,564,000)

Fair Value at June 30, 2024

​

$

14,000

​

$

5,000

​

$

9,000

​

$

158,000

​

$

186,000

​

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- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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