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Fair Value Measurements (Tables)
 9 Months Ended
Mar. 31, 2021
Schedule of Financial Instruments Measured at Fair Value on Recurring Basis
We measure the following financial instruments at fair value on a recurring basis. The fair values of these financial instruments were as follows (in thousands):
 
   
March 31, 2021
 
June 30, 2020
   
Level 1
  
Level 2
  
Level 3
 
Level 1
  
Level 2
  
Level 3
Warrant liability
   $—     $—     $(29,442)  $—     $—     $(40,483)
   
 
 
    
 
 
    
 
 
   
 
 
    
 
 
    
 
 
 
Total
   $—     $—     $(29,442)  $—     $—     $(40,483)
   
 
 
    
 
 
    
 
 
   
 
 
    
 
 
    
 
 
 
Schedule of Assumptions Used to Calculate Fair Value of Warrant Liability
To calculate the fair value of the warrant liability, the following assumptions were used:
 
   
March 31,
2021
 
June 30,
2020
Risk-free interest rate
    0.1%   0.2%
Expected life (years)
    2.1   2.9
Expected volatility
    82.4%   77.4%
Dividend yield
    0.0%   0.0%
Black-Scholes Fair Value
   $1.83  $2.52
Schedule of Changes in Estimated Fair Value of Warrant Liability
The following table sets forth a summary of changes in the estimated fair value of our Level 3 warrant liability for the nine months ended March 31, 2021 and 2020 (in thousands):
 
   
Fair Value of Warrants Using Significant
Unobservable Inputs (Level 3)
   
      2021      
  
      2020      
Balance at July 1,
   $(40,483)   $(17,613)
Reclassification of derivative liability to equity upon exercise of warrants
    6    —  
Change in estimated fair value of liability classified warrants
    11,035    830
   
 
 
    
 
 
 
Balance at March 31,
   $(29,442)   $(16,783)