Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities

v3.21.1
Derivative Liabilities
9 Months Ended
Mar. 31, 2021
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 nine months ended March 31, 2021 (in thousands):


    Fair Value
Measurement
Using Level 3
Inputs Total
 
Balance, June 30, 2020   $ 1,110  
Change in fair value of derivative liabilities     (1,110 )
Balance, March 31, 2021 (see note 8)   $  

The fair value of the derivative features of the October 2018 Notes and the May 2018 Notes (as defined in Note 8 below) at the balance sheet dates were calculated using the with-and-without method, a form of the income approach, valued with the following assumptions:


   

June 30,

2020

 
Remaining term (years)     2.92-3.42  
Expected volatility     70 %
Risk free interest rate     0.18-0.20 %
Dividend yield     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.