Annual report pursuant to Section 13 and 15(d)

Derivative Liabilities

Derivative Liabilities
12 Months Ended
Jun. 30, 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 year ended June 30, 2021 and 2020 (in thousands):



Fair Value
Using Level 3


Balance, June 30, 2019   $ 955  
Change in fair value of derivative liabilities (included in other (expense) income)     155  
Balance, June 30, 2020   $ 1,110  
Change in fair value of derivative liabilities (included in other (expense) income)     (1,110 )
Balance, June 30, 2021 (see footnote 8)   $


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 weighted average assumptions:


    June 30,
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 estimated the expected volatility of the stock price based on a blend of the Company’s own historic volatility and the corresponding volatility of the Company’s peer group stock price for a period consistent with the convertible notes’ expected term.


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