Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

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Fair Value Measurements
 9 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

4. Fair Value Measurements

 

The following tables present the financial instruments carried at fair value on a recurring basis as of March 31, 2021 and June 30, 2020, respectively, in accordance with the FASB ASC 820 hierarchy (in thousands):

 

    Fair Value Measurements at March 31, 2021  
    Level 1     Level 2     Level 3     Total  
Assets                                
Cash and cash equivalents   $ 3,307,083     $ —     $ —     $ 3,307,083  
                                 
Liabilities                                
Warrant liability   $ —       —     $ 10,458,393     $ 10,458,393  

 

    Fair Value Measurements at June 30, 2020  
    Level 1     Level 2     Level 3     Total  
Assets                                
Cash and cash equivalents   $ 3,024,980     $ —     $ —     $ 3,024,980  

 

The Company’s financial assets and liabilities which are measured at fair value on a recurring basis were comprised of cash and cash equivalents, based on Level 1 inputs, and a warrant liability, based on Level 3 inputs.

 

The Company estimates the fair value of the warrant liability using the Black-Scholes option-pricing model upon issuance and at each balance sheet date. Any subsequent changes in the fair value of the warrant liability will be recorded in current period earnings as other expense/income. The Company received proceeds for the issuance of series A preferred warrants of $2,250,000 and the excess fair value of $8,208,393 was recorded as a deemed dividend, against accumulated deficit for the period ended March 31, 2021. The change in the fair value of the warrant liability between March 8, 2021 and March 31, 2021 was de minimis. Therefore, no loss was recorded in other expense for the three and nine months ended March 31, 2021.

 

The assumptions used to determine the fair value of the warrant liability as of March 31, 2021 were as follows:

 

Dividend yield     0.00 %
Expected volatility     49.6 %
Risk-free rate     0.35 %
Expected term (years)     2.94  

 

There were no assets or liabilities measured at fair value on a nonrecurring basis at March 31, 2021 and June 30, 2020. There were no transfers between Level 1 and Level 2 of the fair value hierarchy during the periods ended March 31, 2021 and June 30, 2020. As of March 31, 2021 and June 30, 2020, the Company did not have any Level 2 assets or liabilities.