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Fair Value Considerations (Tables)
3 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Schedule of fair value on a recurring basis

    

Fair Value Measurements at September 30, 2023

    

Fair Value at September 30, 

    

    

    

2023

 

(Level 1)

 

(Level 2)

 

(Level 3)

(In thousands)

Liabilities:

Derivative warrant liabilities

12,310

 

 

 

12,310

Total

$

12,310

 

$

 

$

$

12,310

    

Fair Value Measurements at June 30, 2023

    

Fair Value at June 30, 

    

    

    

2023

 

(Level 1)

 

(Level 2)

 

(Level 3)

 

(In thousands)

Liabilities:

Derivative warrant liabilities

6,403

6,403

Total

$

6,403

 

$

 

$

$

6,403

Schedule of changes in Level 3 inputs

    

Derivative

Warrant Liabilities

(In thousands)

Balance as of June 30, 2023

 

$

6,403

Included in earnings

 

5,907

Balance as of September 30, 2023

 

$

12,310

Schedule of significant assumptions used in valuation

June 2023 Warrants

Warrants

    

Tranche A & B

    

Other *

Valuation methodology

Monte Carlo Simulation

& Black-Scholes

Black-Scholes

Equivalent term (years)

4.69

3.34-3.94

Expected volatility

 

93.32

%

 

93.32

%

Risk-free rate

4.63

%

4.70-4.78

%

Dividend yield

0.00

%

0.00

%

* Includes August 2022 Warrants, March 2022 Warrants, and Avenue Capital Warrants.