v3.25.2
Fair Value Measurements
 9 Months Ended 12 Months Ended
Mar. 31, 2025
Jun. 30, 2024
Fair Value Disclosures [Abstract]    
Fair Value Measurements

  

7. Fair Value Measurements

  

The Company’s derivative liabilities during the nine months ended March 31, 2025 related to the Avenue Warrants is a level 3 liability measured at fair value. 

 

The fair value of the Avenue Warrants at March 31, 2025, in the accompanying condensed balance sheets, was nil. The total change in the fair value of the derivative liabilities totaled approximately $3,771 and $1.8 million for the nine months ended March 31, 2025 and 2024, respectively, and approximately $7,290 and $109,000 for the three months ended March 31, 2025 and 2024, respectively; and accordingly, was recorded in the accompanying condensed statements of operations and comprehensive loss. The assumptions used in the Black Scholes model to value the derivative liabilities at March 31, 2025 included the closing stock price of $0.98 per share; for the Avenue Warrants, the exercise price of $58.20, remaining term 1.7 years, risk free rate of 3.9% and volatility of 86.0%. The Conversion Option was nil as of March 31, 2025 and June 30, 2024 as the corresponding debt matured and was repaid in December 2024.

 

Derivative liability – Avenue Warrants

 

The Avenue Warrants were not considered to be indexed to the Company’s own stock, and accordingly, were recorded as a derivative liability at fair value in the accompanying condensed balance sheets at March 31, 2025 and June 30, 2024, respectively.

 

The Black Scholes model was used to calculate the fair value of the derivative warrant to bifurcate the amount from the Avenue Loan amount funded. The Avenue Warrants are recorded at fair value at the date of issuance and remeasured at each subsequent reporting period end date.

  

Embedded derivative liability – Conversion Option

 

The Conversion Option was accounted for as an embedded derivative liability and required bifurcation from the Loan amount. The Black Scholes model was used to calculate the fair value of the Conversion Option to bifurcate it from the Loan.

 

Financial assets

 

As of March 31, 2025, investments in U.S. Treasury Bills were valued through use of quoted prices and are classified as Level 1. The following table presents information about our assets that are measured at fair value on a recurring basis using the above input categories. 

 

  

                 
   Fair Value Measurements at 
   March 31, 2025 
   Level 1   Level 2   Level 3   Total 
                 
Cash  $8,007,601   $-   $-   $8,007,601 
U.S. Treasury Bills due in 3 months or less at purchase   15,144,413    -    -    15,144,413 
                     
Total  $23,152,014   $-   $-   $23,152,014 

 

   Fair Value Measurements at 
   June 30, 2024 
   Level 1   Level 2   Level 3   Total 
                 
Cash  $12,763,941   $-   $-   $12,763,941 
U.S. Treasury Bills due in 3 months or less at purchase   11,079,857    -    -    11,079,857 
                     
Total  $23,843,798   $-   $-   $23,843,798 

 

8. Fair Value Measurements

  

At June 30, 2024 and 2023, the estimated fair value of derivative liabilities measured on a recurring basis are as follows:

 

                 
   Fair Value Measurements at 
   June 30, 2024 
   Level 1   Level 2   Level 3   Total 
                 
Derivative liability - Warrants  $-   $-   $3,771   $3,771 
Derivative liability - Conversion Option   -    -    -    - 
Total derivative liabilities  $-   $-   $3,771   $3,771 

 

   Fair Value Measurements at 
   June 30, 2023 
   Level 1   Level 2   Level 3   Total 
                 
Derivative liability - Warrants  $-   $-   $894,280   $894,280 
Derivative liability - Conversion option   -    -    925,762    925,762 
Total derivative liabilities  $-   $-   $1,820,042   $1,820,042 

 

The following table presents the activity for level 3 liabilities measured at fair value using unobservable inputs for the years ended June 30, 2024 and 2023:

 

          
   Derivative liability - Warrants   Derivative liability - Conversion Option 
Balance at June 30, 2022  $194,531   $188,030 
Additions to level 3 liabilities   -    - 
Change in in fair value of level 3 liabilities   699,749    737,732 
Transfer in and/or out of level 3   -    - 
Balance at June 30, 2023  $894,280   $925,762 
Additions to level 3 liabilities   -    - 
Change in in fair value of level 3 liabilities   (890,509)   (925,762)
Transfer in and/or out of level 3   -    - 
Balance at June 30, 2024  $3,771   $- 

 

The fair values of derivative liabilities for the Avenue Warrants and Conversion Option at June 30, 2024 in the accompanying balance sheet, were approximately $3,800 and approximately zero, respectively. The total change in the fair value of the derivative liabilities totaled approximately $(1.8) million and $1.4 million for the years ended June 30, 2024, and 2023, respectively; and accordingly, was recorded in the accompanying statements of operations and comprehensive loss. The assumptions used in the Black Scholes model to value the derivative liabilities at June 30, 2024 included the closing stock price of $4.00 per share; for the Avenue Warrants, the exercise price of $58.20, remaining term 2.4 year, risk free rate of 4.6% and volatility of 82.0%; and for the Conversion Option, the conversion price of $69.80; remaining term of 5 months, risk free rate of 5.38% and volatility of 91.0%.

 

Derivative liability – Avenue Warrants

 

The Avenue Warrants were not considered to be indexed to the Company’s own stock, and accordingly, were recorded as a derivative liability at fair value in the accompanying balance sheets at June 30, 2024 and 2023.

 

The Black Scholes model was used to calculate the fair value of the warrant derivative to bifurcate the warrant derivative amount from the Avenue Loan amount funded. The Avenue Warrants are recorded at their fair values at the date of issuance and remeasured at each subsequent reporting period end date.

 

Embedded derivative liability – Conversion Option

 

The Conversion Option is accounted for as an embedded derivative liability and required bifurcation from the Loan amount. The Black Scholes model was used to calculate the fair value of the Conversion Option to bifurcate it from the Loan.

 

Financial assets

 

As of June 30, 2024, investments in U.S. Treasury Bills were valued through use of quoted prices and are classified as Level 1. The following table presents information about our assets that are measured at fair value on a recurring basis using the above input categories. 

 

                
   Fair Value Measurements at 
   June 30, 2024 
   Level 1   Level 2   Level 3   Total 
                 
Cash  $12,763,941   $-   $-   $12,763,941 
U.S. Treasury Bills due in 3 months or less at purchase   11,079,857    -    -    11,079,857 
                     
Total  $23,843,798   $-   $-   $23,843,798 

 

   Fair Value Measurements at 
   June 30, 2023 
   Level 1   Level 2   Level 3   Total 
                 
Cash  $6,304,543   $-   $-   $6,304,543 
U.S. Treasury Bills due in 3 months or less at purchase   13,156,340    -    -    13,156,340 
U.S. Treasury Bills due in 3 - 6 months at purchase   14,477,726    -    -    14,477,726 
                     
Total  $33,938,609   $-   $-   $33,938,609