Annual report pursuant to Section 13 and 15(d)

Fair Value Measurement

v3.24.3
Fair Value Measurement
 12 Months Ended
Jun. 30, 2024
Fair Value Measurement [Abstract]  
Fair Value Measurement

Note 19. Fair Value Measurement 

 

Fair value is defined as the price that would be received upon selling an asset or the price paid to transfer a liability on the measurement date. It focuses on the exit price in the principal or most advantageous market for the asset or liability in an orderly transaction between willing market participants. A three-tier fair value hierarchy is established as a basis for considering such assumptions and for inputs used in the valuation methodologies in measuring fair value. This hierarchy requires entities to maximize the use of observable inputs and minimize the use of unobservable inputs. The three levels of inputs used to measure fair values are as follows:

 

Level 1: Observable prices in active markets for identical assets and liabilities.

 

Level 2: Observable inputs other than quoted prices in active markets for identical assets and liabilities.

 

Level 3: Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets and liabilities.

 

The following table classifies the liabilities measured at fair value on a recurring basis into the fair value hierarchy as of June 30, 2024 and 2023 (in thousands):

 

    Fair value
at June 30,
2024		     Level 1     Level 2     Level 3  
Derivative liabilities     1      
—
      
—
       1  
Total fair value   $ 1     $
—
     $
—
     $ 1  

  

    Fair value
at June 30,
2023		     Level 1     Level 2     Level 3  
Derivative liabilities     2,080      
—
      
—
       2,080  
Total fair value   $ 2,080     $
—
     $
—
     $ 2,080  

 

Fair Value of Embedded Derivatives   June 30,
2024		  
Beginning balance   $ 2,080  
Change in fair value of convertible note derivatives     (2,079 )
Ending balance   $ 1  

 

There were no transfers between Level 1, 2, or 3 valuation classifications during the year ended June 30, 2024.

 

The fair value of the embedded derivatives in our convertible note that were classified as Level 3 in the table above were estimated using a with and without approach on a lattice model framework with significant inputs that are not observable in the market and thus represent a Level 3 fair value measurement as defined in ASC 820. The significant inputs in the Level 3 measurement not supported by market activity include the probability and timing assessments of expected future change of control events, the volatility of our share price and the discount rate used to present value future cash payments under the convertible debt obligation. The development and determination of the unobservable inputs for Level 3 fair value measurements and the fair value calculations are the responsibility of the Company’s chief financial officer and are approved by the chief executive officer.

 

The fair value of the embedded derivatives in our convertible notes on the issuance date and at the balance sheet date were valued with the following assumptions: 

 

    June 30,
2024		     June 30,
2023		  
Stock Price   $ 0.13     $ 3.18  
Volatility of stock price     115 %     70 %
Risk free interest rate     4.53 %     4.32 %
Debt yield     46.7 %     40.6 %
Remaining term (years)     3.0       4.0