Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities

Derivative Liabilities
3 Months Ended
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Liabilities

Note 7. Derivative Liabilities

The table below provides a summary of the changes in fair value, including net transfers in and/or out, of all financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended September 30, 2020 (in thousands):

    Fair Value
Using Level 3
Balance, June 30, 2020   $ 1,110  
Change in fair value of derivative liabilities     198  

Balance, September 30, 2020 (see note 8)

  $ 1,308  

The fair value of the derivative features of the convertible note at the balance sheet dates were calculated using the with-and-without method, a form of the income approach, valued with the following assumptions:

    September 30,
    June 30,
Remaining term (years)      2.66-3.16          2.92-3.42    
Expected volatility     68 %     70 %
Risk free interest rate      0.15-0.17 %      0.18-0.20 %
Dividend yield     0.00 %     0.00 %

Risk-free interest rate: The Company uses the risk-free interest rate of a U.S. Treasury Bill with a similar term on the date of the issuance.

Dividend yield: The Company uses a 0% expected dividend yield as the Company has not paid dividends to date and does not anticipate declaring dividends in the near future.

Volatility: The Company calculates the expected volatility of the stock price using the historical volatilities of the Company’s common stock traded on the Nasdaq Capital Market.

Remaining term: The Company’s remaining term is based on the remaining contractual term of the convertible notes.