Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
 12 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 3. Fair Value Measurements

 

The Company measured its warrant liability related to certain warrants issued to investors at fair value on a recurring basis during the year ended June 30, 2021. No financial instruments were carried at fair value during the period from April 23, 2020 (inception date) through June 30, 2020.

 

The Company estimated the fair value of the warrant liability, determined based on Level 3 inputs, using the Black-Scholes option-pricing model upon issuance, at each balance sheet date and just prior to reclassification to equity. Changes in the fair value of the warrant liability each period were recorded in current period earnings as other expense. The Company received proceeds for the issuance of Milestone Warrants of $2,250,000 and the fair value of the warrants in excess of proceeds received of $8,208,393 was recorded as a deemed dividend, against accumulated deficit for the year ended June 30, 2021. The increase in the fair value of the warrant liability between March 8, 2021 (issuance date) and May 6, 2021 (immediately prior to exercise) was approximately $26,627,000, which was recorded in other expense for the year ended June 30, 2021. Upon IPO, the Milestone Warrants were converted via cashless exercise into Series A preferred stock and the total fair value of approximately $37,085,000 was reclassified from liability to Series A preferred stock.

 

    Total  
Balance at June 30, 2020   $ -  
Fair value of warrant liability on the date of issuance     10,458,000  
Increase in the fair value of the warrant liability between March 8, 2021 (issuance date) and May 6, 2021     26,627,000  
Total fair value of warrant liability prior to IPO     37,085,000  
Warrants converted into Series A preferred stock upon cashless exercise     (37,085,000 )
Balance at June 30, 2021   $ -  

 

The assumptions used to determine the fair value of the warrant liability as of March 8, 2021 (issuance date) and termination date May 6, 2021 (immediately prior to exercise) were as follows:

 

    March 8, 2021     May 6, 2021  
Dividend yield     0.0 %     0.0 %
Expected volatility     49.8 %     49.6 %
Risk-free rate     0.35 %     0.32 %
Expected term (years)     3.0       2.8  

 

There were no transfers between Level 1 and Level 2 of the fair value hierarchy during the year ended June 30, 2021 and the period from April 23, 2020 (inception date) through June 30, 2020.

 

There were no financial instruments carried at fair value on a recurring or nonrecurring basis as of June 30, 2021 and 2020.