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Fair value measurement
 12 Months Ended
Jun. 30, 2024
Notes and other explanatory information [abstract]  
Fair value measurement

Note 8. Fair value measurement

 

Fair value hierarchy

 

The following tables detail the consolidated entity’s assets and liabilities, measured or disclosed at fair value, using a three level hierarchy, based on the lowest level of input that is significant to the entire fair value measurement, being:

 

●Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date.
   
●Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly.
   
●Level 3: Unobservable inputs for the asset or liability. Considerable judgement is required to determine what is significant to fair value and therefore which category the asset or liability is placed in can be subjective.

 

 

   Level 1   Level 2   Level 3   Total 
Consolidated- June 30, 2024  $   $   $   $ 
                 
Assets   -    -    -    - 
Total assets   -    -    -    - 
                     
Liabilities                    
Derivative Liabilities – refer Note 21   -    -    -    - 
Total liabilities   -    -    -    - 

 

   Level 1   Level 2   Level 3   Total 
Consolidated – June 30, 2023  $   $   $   $ 
                 
Assets   -    -    -    - 
Total assets   -    -    -    - 
                     
Liabilities                    
Derivative Liabilities – refer Note 21   -    -    18,694,729    18,694,729 
Total liabilities   -    -    18,694,729    18,694,729 

 

There were no transfers between levels during the financial periods.

 

The carrying amounts of trade and other receivables and trade and other payables are assumed to approximate their fair values due to their short-term nature. The fair value of financial liabilities is estimated by discounting the remaining contractual maturities at the current market interest rate that is available for similar financial liabilities.

 

Valuation techniques for fair value measurements categorised within level 3

 

The fair value of the Financial Liabilities for the host liability and the derivative liability has been determined using a combination of Monte Carlo Simulation (MCS) and Black-Scholes model (BSM). The Group used valuations specialists to perform these valuations.

 

Level 3 liabilities

 

Movements in level 3 liabilities during the current and previous financial years are set out below:

 

   Derivative liability   Total 
Consolidated  $   $ 
         
Balance at 1 July 2022   878,653    878,653 
           
Fair value of derivative liability recognised for convertible notes issued during the year   10,945,347    10,945,347 
Fair value movement recognised in profit or loss   6,870,729    6,870,729 
Balance at 30 June 2023   18,694,729    18,694,729 
           
Fair value of derivative liability recognised for convertible notes issued during the year   280,198    280,198 
Fair value movement recognised in profit or loss   (3,400,685)   (3,400,685)
Fair value of derivative liability for convertible notes which converted or matured during the year   (15,574,242)   (15,574,242)
           
Balance at 30 June 2024   -    - 

 

 

Note 8. Fair value measurement - continued

 

The level 3 liabilities unobservable inputs at issue date of each of the convertible notes series are as follow:

 

Series A    
Implied valuation  $28,000,000 
Volatility   74%
Risk free rate   0.0%
Probability of conversion   50%

 

Series A - July 21    
Implied valuation  $28,000,000 
Volatility   74%
Risk free rate   0.1%
Probability of conversion   50%

 

Series A – August 21    
Implied valuation  $28,000,000 
Volatility   62%
Risk free rate   0.0%
Probability of conversion   50%

 

Series B1    
Implied valuation  $120,000,000 
Volatility   74%
Risk free rate   0.6%
Probability of conversion   50%

 

Series B2

    
Implied valuation  $70,000,000 
Volatility   66%
Risk free rate   3%
Probability of conversion   50%

 

 

Note 8. Fair value measurement - continued

 

Series A Extension    
Implied valuation  $28,000,000 
Volatility   65%
Risk free rate   3.5%
Probability of conversion   0%

 

Reach    
Implied valuation  $40,000,000 
Volatility   60%
Risk free rate   3.6%
Probability of conversion   100%

 

Private Placement    
Implied valuation  $53,685,000 
Volatility   60%
Risk free rate   3.5%
Probability of conversion   100%

 

Mixed Martial Arts LLC    
Implied valuation  $384,750 
Volatility   49%
Risk free rate   4.3%
Probability of conversion   100%

 

Steppen    
Implied valuation  $100,000 
Volatility   47 
Risk free rate   4.2%
Probability of conversion   100%