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Fair Value Measurement | 3 Months Ended
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Sep. 30, 2017
Fair Value Disclosures [Abstract] |
Fair Value Disclosures [Text Block] | Note 10 - Fair Value Measurement Fair value measurements At September 30, 2017 and June 30, 2017, the fair value of derivative liabilities is estimated using a lattice model that is based on the individual characteristics of our warrants, preferred and common stock, the derivative liability on the valuation date as well as assumptions for volatility, remaining expected life, risk-free interest rate and, in some cases, credit spread. The derivative liabilities are the only Level 3 fair value measures. At September 30, 2017 and June 30, 2017 the estimated fair values of the liabilities measured on a recurring basis are as follows:
|  | Fair Value Measurements at |
|  | September 30, 2017: |
|  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
Derivative liability – Series C debentures |  | $ | - |  |  |  | - |  |  | $ | 20,094 |
Derivative liability – warrants |  |  | - |  |  |  | - |  |  |  | 1,462,625 |
Total derivatives |  | $ | - |  |  | $ | - |  |  | $ | 1,482,719 |
|  | Fair Value Measurements at |
|  | June 30, 2017: |
|  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
Derivative liability – Series C debentures |  | $ | - |  |  |  | - |  |  | $ | 32,213 |
Derivative liability – warrants |  |  | - |  |  |  | - |  |  |  | 2,015,354 |
Total derivatives |  | $ | - |  |  | $ | - |  |  | $ | 2,047,567 |
In conjunction with the Company’s registered direct offerings of Units, consisting of the Company’s common stock and warrants, on September 12, 2013 and January 24, 2014 the Company issued 2,945,428, and 2,479,935 warrants, respectively, and, of which, 2,810,071 and 2,479,935, respectively, are outstanding at September 30, 2017. Additionally, the Company issued 58,910 and 76,306 warrants, respectively, to the placement agents which are also outstanding at September 30, 2017, for a total number of 5,425,222 warrants outstanding and issued pursuant to the aforesaid registered direct offerings. The Company accounts for stock purchase warrants as either equity instruments or derivative liabilities depending on the specific terms of the warrant agreements. Under applicable accounting guidance, stock warrants must be accounted for as derivative financial instruments if the warrants contain full-ratchet anti-dilution provisions, which preclude the warrants from being considered indexed to its own stock. The warrants described above contained a full-ratchet anti-dilution feature and are thus classified as a derivative liability. The Company used a lattice model to calculate the fair value of the derivative warrants based on a probability weighted discounted cash flow model. This model is based on future projections of the various potential outcomes. The features that were analyzed and incorporated into the model included the exercise and full reset features. The Warrants were valued as of September 30, 2017 and June 30, 2017 with the following assumptions:
| - | The 5-year warrants issued on 9/12/13 and 1/24/14 included Investor and Placement Agent Warrants with an exercise price of $5.25 and $6.05 (subject to adjustments-full ratchet reset).
| - | The stock price would fluctuate with the Company projected volatility.
| - | The Holder would exercise the warrant as they become exercisable (effective registration at issuance) at target prices of the higher of 2 times the projected exercise/reset price or 2 times the stock price.
| - | The next capital raise would fluctuate with an annual volatility. The projected volatility curve was based on historical volatilities of the Company for the valuation periods. The projected annual volatility for the valuation dates are:
1 Year |  |  |
9/30/17 |  |  | 53 | %
6/30/17 |  |  | 60 | %
The primary factors driving the economic value of options are stock price; stock volatility; reset events and exercise behavior. Projections of these variables over the remaining term of the warrant are either derived or based on industry averages. Based on the above, a probability was assigned to each scenario for each future period, and the appropriate derivative value was determined for each scenario. The option value was then probability weighted and discounted to the present. The following tables present the activity for liabilities measured at estimated fair value using unobservable inputs for the three months ended September 30, 2017:
|  | Fair Value Measurement |
|  | Using Significant |
|  | Unobservable Inputs |
|  | Derivative |  |  | Derivative |
|  | liability – |  |  | liability – |
|  | Series C |  |  | warrant |
Beginning balance at July 1, 2017 |  | $ | 32,213 |  |  | $ | 2,015,354 |
Additions during the year |  |  | - |  |  |  | - |
Change in fair value |  |  | (12,119) |  |  |  | (552,729) |
Transfer in and/or out of Level 3 |  |  | - |  |  |  | - |
Balance at September 30, 2017 |  | $ | 20,094 |  |  | $ | 1,462,625 |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -URI http://asc.fasb.org/topic&trid=2155941 + Details
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