v3.26.1
FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
SCHEDULE OF FAIR VALUE HIERARCHY OF THE VALUATION INPUTS

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2026 and June 30, 2025, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

SCHEDULE OF FAIR VALUE HIERARCHY OF THE VALUATION INPUTS

Description   Level   March 31, 2026     June 30, 2025  
Assets:                    
Trading securities   1   $ 5     $ 5  
                     
Liabilities:                    
Winston & Strawn agreement   3   $ —     $ 2,489,945  
Warrant liability – Private Warrants   3   $ 108,910     $ 123,062  
Earnout liability   3   $ 689,000     $ 11,369,000  
Convertible notes Chardan derivative   3   $ —     $ 103,185  
Merger financing derivative   3   $ —     $ 63,696  
Tau agreement   3   $ —     $ 539,787  
Debentures – derivative   3   $ 346,585     $ —  
Convertible Notes – derivative   3   $ —     $ —  
Secured Convertible Note   3   $ 11,706,148     $ —  
Warrant liability – Equity SPA   3   $ 2,754,751     $ —  
SCHEDULE OF FAIR VALUE MEASUREMENT INPUTS AND VALUATION

SCHEDULE OF FAIR VALUE MEASUREMENT INPUTS AND VALUATION

Input  June 30, 2025 
Market price of public shares  $0.19 
Equity volatility   167.7%
Risk-free rate   4.21%

The key inputs into the Black-Scholes model for the Private Warrants were as follows:

 

Input  March 31, 2026   June 30, 2025 
Market price of public shares  $0.20   $0.19 
Risk-free rate   3.81%   3.67%
Dividend yield   0.00%   0.00%
Volatility   181.45%   167.7%
Exercise price  $689.86   $689.86 
           
Effective expiration date   February 2029    February 2029 
 

The key inputs into the Monte Carlo model for the Earnout liability were as follows:

 

Input  March 31, 2026   June 30, 2025 
Market price of public shares  $0.20   $0.19 
Revenue volatility   50.00%   12.00%
Discount factor for revenue   21.19%   9.31%
  

The key inputs into the Black-Scholes model for the conversion derivative as of March 31, 2026 and October 8, 2025 were as follows:

 

Input  March 31, 2026   October 8, 2025 
Market price of public shares  $0.20   $0.36 
Conversion Price  $0.75   $0.75 
Principal and interest balance at valuation date  $10,627,293   $10,097,782 
Risk-free rate   3.89%   3.73%
Discount rate   15.75%   11.30%
Volatility   181.45%   165.13%
Effective expiration date   October 2030    October 2030 
Term   4.53 years    5 years 
 
Input  June 30, 2025 
Market price of public shares  $0.19 
Risk-free rate   4.13%
Discount rate   15.63%
Probability of default   14.3%
Recovery rate   28.9%
Volatility   167.7%
Effective expiration date   February 2026 
 

The key inputs into the Monte-Carlo model for the Commitment Amount as of issuance date of June 30, 2025 was as follows:

 

Input  June 30, 2025 
Anticipated Monthly Advance Amounts  $40,000 
Risk-free rate   3.75%
Volatility   167.7%
      
Effective expiration date   July 2026 
 

The key inputs into the Black-Scholes for the conversion derivative as of March 31, 2026 and Scenario Based Methodology model August 4, 2025 were as follows:

 

Input  March 31, 2026   August 4, 2025 
Market price of public shares  $0.20   $0.22 
Risk-free rate   3.71%   3.75%
Discount rate   17.52%   15.41%
Volatility   181.45%   165.9%
Effective expiration date   August 2026    August 2026 
 

The key inputs into Scenario Based Method for the conversion derivative as of September 16, 2025 were as follows:

 

Input  September 16, 2025 
Discount rate   11.21%
Probability of default   8.98%
Recovery rate   42.90%
Effective expiration date   March 2026 
 

The key inputs into the Black-Scholes model for the 2025 Warrants were as follows:

 

Input  March 31, 2026   October 8, 2025 
Market price of public shares  $0.20   $0.36 
Risk-free rate   3.89%   3.73%
Dividend yield   0.00%   0.00%
Volatility   181.45%   165.13%
Exercise price  $0.75   $0.75 
Term   4.52 years    5 years 
           
Effective expiration date   October 2030    October 2030 
 
SCHEDULE OF CHANGES IN THE FAIR VALUE

The following table presents the changes in the fair value of the following:

 SCHEDULE OF CHANGES IN THE FAIR VALUE

   Private Placement   Tau Agreement 
   Warrants   Liability 
Fair value as of June 30, 2025  $123,062   $539,787 
Write of receivable   —    (205,238)
Change in valuation inputs or other assumptions   61,531    (334,549)
Fair value as of September 30, 2025  $184,593   $— 
Change in valuation inputs or other assumptions   91,066    — 
Fair value as of December 31, 2025  $275,659   $— 
Change in valuation inputs or other assumptions   (166,749)   — 
Fair value as of March 31, 2026  $108,910   $— 

 

   Private Placement   Tau Agreement 
   Warrants   Liability 
Fair value as of June 30, 2024  $307,656   $— 
Initial measurement   —    1,090,949 
Transferred to equity   —    (303,000)
Change in valuation inputs or other assumptions   (246,125)   184,559 
Fair value as of September 30, 2024  $61,531   $972,508 
Transfer to equity   —    115,277 
Change in valuation inputs or other assumptions   61,531    73,284 
Fair value as of December 31, 2024  $123,062   $783,947 
Fair value of advance requests   —    1,042,329 
Transfer to equity   —    (879,403)
Change in valuation inputs or other assumptions   (61,531)   (53,152)
Fair value as of March 31, 2025  $61,531   $893,721 

 

 

ATLASCLEAR HOLDINGS, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

(Unaudited)

 

   Conversion   Earnout 
   Derivative   Liability 
Fair value as of June 30, 2025  $103,185   $11,369,000 
Change in valuation inputs or other assumptions   (103,185)   116,000 
Fair value as of September 30, 2025  $—   $11,485,000 
Change in valuation inputs or other assumptions   —    (10,624,000 
Fair value as of December 31, 2025  $—   $861,000 
Change in valuation inputs or other assumptions   —    (172,000)
Fair value as of March 31, 2026  $—   $689,000 

 

   Conversion   Earnout 
   Derivative   Liability 
Fair value as of June 30, 2024  $16,462,690   $12,298,000 
Change in valuation inputs or other assumptions   (14,320,179)   340,000 
Fair value as of September 30, 2024  $2,142,511   $12,638,000 
Change in valuation inputs or other assumptions   (1,117,805)   (1,594,000)
Fair value as of December 31, 2024  $1,024,706   $11,044,000 
Change in valuation inputs or other assumptions   (137,687)   186,000 
Fair value as of March 31, 2025  $887,019   $11,230,000 

 

   Winston & Strawn   Merger Financing 
   Agreement   Derivative 
Fair value as of June 30, 2025  $2,489,945   $63,696 
Change in valuation inputs or other assumptions   (1,798,624)   (63,696)
Fair value liability as of September 30, 2025  $691,321   $— 
Change in valuation inputs or other assumptions   (921)   — 
Fair value liability as of December 31, 2025  $690,400   $— 
Derecognized on settlement   (690,400)   — 
Fair value liability as of March 31, 2026  $—   $— 

 

   Winston & Strawn   Merger Financing 
   Agreement   Derivative 
Fair value as of June 30, 2024  $2,425,647   $— 
Initial measurement   —    113,044 
Change in valuation inputs or other assumptions   34,841    63,195 
Fair value liability as of September 30, 2024  $2,460,488   $176,239 
Change in valuation inputs or other assumptions   13,041    (25,749) 
Fair value liability as of December 31, 2024  $2,473,529   $150,490 
Change in valuation inputs or other assumptions   11,404    (48,115)
Fair value liability as of March 31, 2025  $2,484,933   $102,375 

 

 

ATLASCLEAR HOLDINGS, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

(Unaudited)

 

       Secured 
   Contingent   Convertible 
   Guarantee   Derivative 
Fair value as of June 30, 2024  $3,256,863   $— 
Shares issued as partial payment   (1,210,290)   — 
Change in valuation inputs or other assumptions   839,774    89,535 
Exchange to Merger financing note   (2,886,347)   — 
Fair value as of September 30, 2024  $—   $89,535 
Change in valuation inputs or other assumptions   —    (89,535)
Fair value liability as of March 31, 2025  $—   $— 

 

   Debenture   Convertible Notes 
   Derivative   Derivative 
Fair value as of June 30, 2025  $—   $— 
Initial measurement   352,067    382,154 
Change in valuation inputs or other assumptions   837,888    52,873 
Fair value as of September 30, 2025  $1,189,955   $435,027 
Change in valuation inputs or other assumptions   (606,886)   (435,027)
Fair value as of December 31, 2025  $583,069   $— 
Change in valuation inputs or other assumptions   (236,484)   — 
Fair value as of March 31, 2026  $346,585   $— 

 

   Secured    2025 
   Convertible Note   Warrant Liability 
Fair value as of June 30, 2025  $—   $— 
Principal amount   10,097,782    — 
Day 1 fair value charge to earnings   4,488,179    — 
Initial measurement October 8, 2025   14,585,961    5,874,061 
Accrued interest through December 31, 2025   255,626    — 
Change in valuation inputs or other assumptions   (2,691,747)   (1,940,728)
Fair value as of December 31, 2025  $12,149,840   $3,933,333 
Fair value of warrants exercised   —    (1,094,669)
Accrued interest through March 31, 2026   273,885    — 
Change in valuation inputs or other assumptions   (717,577)   (83,913)
Fair value as of March 31, 2026  $11,706,148   $2,754,751