Hello,
I bought shares in an american company. They have outstanding warrants. How do I calculate the fair value adjustments for the quarter?
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[/FONT][FONT=Times New Roman]Level 3 – Unobservable inputs – includes amounts derived from valuation models where one ormore significant inputs are unobservable. For fair value measurements using significant unobservableinputs, a description of the inputs and the information used to develop the inputs is required alongwith a reconciliation of Level 3 values from the prior reporting period.The Company recorded its warrants issued from 2011 through 2013 and its conversion featuresassociated with its convertible notes at fair value and designated them as Level 3 on their issuancedate.
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[FONT=Times New Roman]Warrants
[/FONT][FONT=Times New Roman]– Except for the warrants issued September 26, 2012, the warrants were valued using aMonte Carlo Binomial Lattice-Based valuation methodology, adjusted for marketabilityrestrictions. The warrants issued September 26, 2012, due to no anti-dilution protection features,were valued using the Black-Scholes Valuation Model.F-38
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[FONT=Times New Roman]PACIFIC ETHANOL, INC.NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
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Significant assumptions used and related fair values for the warrants as of December 31, 2013were as follows:OriginalIssuanceExercisePriceVolatilityRis k Free InterestRateTerm(years)MarketDiscountWarrantsOutst anding06/21/2013 $ 7.59 52.4% 0.13% 1.24 22.7% 1,051,00003/28/2013 $ 7.59 52.4% 0.13% 1.20 22.7% 788,00001/11/2013 $ 6.32 63.3% 1.27% 4.03 43.8% 1,709,00009/26/2012 $ 8.85 58.5% 0.38% 1.74 42.3% 1,771,00007/3/2012 $ 6.09 61.2% 1.27% 3.51 40.2% 1,812,00007/3/2012 $ 5.47 52.8% 0.01% 0.01 42.3% 804,00012/13/2011 $ 8.43 60.4% 0.78% 2.95 37.9% 306,000Significant assumptions used and related fair values for the warrants as of December 31, 2012were as follows:OriginalIssuanceExercisePriceVolatilityRis k Free InterestRateTerm(years)MarketDiscountWarrantsOutst anding09/26/2012 $ 8.85 70.2% 0.36% 2.74 53.9% 1,833,00007/3/2012 $ 7.50 76.1% 0.72% 4.51 55.5% 1,867,000
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07/3/2012 $ 6.45 69.3% 0.16% 1.01 55.5% 930,00012/13/2011 $ 12.45 74.4% 0.54% 3.95 52.3% 330,000
10/6/2010 $ 1.80 76.0% 0.72% 4.80 46.4% 17,000
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