Annual report pursuant to Section 13 and 15(d)

Derivative Liabilities

Derivative Liabilities
12 Months Ended
Jun. 30, 2019
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 years ended June 30, 2019 and 2018 (in thousands):


    Fair Value
Using Level 3
Balance, June 30, 2017   $  
Issuance of derivative feature of make whole provision in convertible note     703  
Issuance of derivative feature of change in control provision in convertible note     456  
Change in fair value of derivative warrant liabilities     (54 )
Balance, June 30, 2018   $ 1,105  
Change in fair value of derivative liabilities     (150 )
Balance, June 30, 2019     955  


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


    June 30,
    June 30,
Remaining term (years)     3.92       4.92  
Expected volatility     49 %     42 %
Risk free interest rate     1.73 %     2.73 %
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 estimated the expected volatility of the stock price based on the corresponding volatility of the Company's peer group stock price for a period consistent with the convertible note's expected term.


Remaining term: The Company's remaining term is based on the remaining contractual term of the convertible note.