v3.26.1
Note 12 - Fair Value Measurements
 9 Months Ended
Mar. 31, 2026
Notes to Financial Statements  
Fair Value Disclosures [Text Block]

Note 12 - Fair Value Measurements

 

The Company determines the fair value of financial and non-financial assets using the fair value hierarchy, which establishes three levels of inputs that may be used to measure fair value as follows:

 

 

●

Level 1: Inputs that reflect unadjusted quoted prices in active markets that are accessible to the Company for identical assets or liabilities

 

 

●

Level 2: Inputs that include quoted prices for similar assets and liabilities in active or inactive markets or that are observable for the asset or liability either directly or indirectly; and

 

 

●

Level 3: Unobservable inputs that are supported by little or no market activity.

 

The Company’s financial instruments include cash and cash equivalents, accounts receivable, accounts payable, accrued liabilities, derivative warrant liabilities and current and non-current debt. The carrying amounts of certain short-term financial instruments, including cash and cash equivalents, accounts receivable, accounts payable and accrued liabilities approximate their fair value due to their short maturities. Current and non-current debt are reported at their amortized costs on the Company’s unaudited consolidated balance sheets. The remaining financial instruments are reported on the Company’s unaudited consolidated balance sheets at amounts that approximate current fair values. The Company’s carrying value of its consolidated amounts of cash and cash equivalents approximate their fair value as of  March 31, 2026, and June 30, 2025, and are categorized within level 1 of the U.S. GAAP fair value hierarchy. The Company’s policy is to recognize transfers in and/or out of fair value hierarchy as of the date in which the event or change in circumstances caused the transfer. There were no transfers between Level 1, Level 2 and Level 3 in the periods presented.

 

Recurring Fair Value Measurements

 

The Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis as of  March 31, 2026, and June 30, 2025, by level within the fair value hierarchy as follows:

 

  Fair Value at  Fair Value Measurements at March 31, 2026 
  

March 31, 2026

  

(Level 1)

  

(Level 2)

  

(Level 3)

 
  

(in thousands)

 

Liabilities:

                

Derivative warrant liabilities

 $2,182  $—  $—  $2,182 

Total

 $2,182  $—  $—  $2,182 

 

   Fair Value at  Fair Value Measurements at June 30, 2025 
  

June 30, 2025

  

(Level 1)

  

(Level 2)

  

(Level 3)

 
  

(in thousands)

 

Liabilities:

                

Derivative warrant liabilities

 $26,334  $—  $—  $26,334 

Total

 $26,334  $—  $—  $26,334 

 

Summary of Level 3 Input Changes

 

A summary of changes to those fair value measures using Level 3 inputs is as follows:

 

  

Derivative

 
  

Warrant Liabilities

 
  

(in thousands)

 

Balance as of June 30, 2025

 $26,334 

Settlements (1)

  (3,457)

Reclassification of derivative warrant liabilities to equity (2)

  (26,412)

Included in earnings

  5,717 

Balance as of March 31, 2026

 $2,182 

(1) 

Relates to the exercise of 1,485,000 prefunded warrants during the nine months ended March 31, 2026, which were liability classified and exercised at a price of $0.0001 per share.

(2) 

Relates to the Company amending and restating certain warrants and prefunded warrants, which resulted in them being reclassified from liability classified to equity classified on March 31, 2026. Please see Note 16 - Warrants for further detail.

 

Significant Assumptions

 

The valuation methodologies and key assumptions used for the mark to market fair value measurements of derivative warrant liabilities as of March 31, 2026, are as follows:

 

  

Tranche A Warrants

  

Warrants Other (1)

 
  

Monte Carlo & Black-Scholes

  

Black-Scholes

 

Aytu closing stock price

 

$ 2.73

  

$ 2.73

 

Equivalent term (years)

 2.2  0.8-1.4 

Expected volatility

 

65.7%

  

77.1%-86.3%

 

Risk-free rate

 

3.8%

  

3.7%

 

Dividend yield

 

0.0%

  

0.0%

 

(1) 

Includes all liability classified warrants except the June 2023 Tranche A Warrants (see Note 16 - Warrants for further information).