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Note 12 - Fair Value Measurements
 3 Months Ended
Sep. 30, 2025
Notes to Financial Statements  
Fair Value Disclosures [Text Block]

Note 12 - Fair Value Measurements

 

The Company determines the fair value of financial and non-financial assets using the fair value hierarchy, which establishes three levels of inputs that may be used to measure fair value as follows:

 

 

●

Level 1: Inputs that reflect unadjusted quoted prices in active markets that are accessible to the Company for identical assets or liabilities

 

 

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Level 2: Inputs that include quoted prices for similar assets and liabilities in active or inactive markets or that are observable for the asset or liability either directly or indirectly; and

 

 

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Level 3: Unobservable inputs that are supported by little or no market activity.

 

The Company’s financial instruments include cash and cash equivalents, accounts receivable, accounts payable, accrued liabilities, derivative warrant liabilities and current and non-current debt. The carrying amounts of certain short-term financial instruments, including cash and cash equivalents, accounts receivable, accounts payable and accrued liabilities approximate their fair value due to their short maturities. Current and non-current debt are reported at their amortized costs on the Company’s unaudited consolidated balance sheets. The remaining financial instruments are reported on the Company’s unaudited consolidated balance sheets at amounts that approximate current fair values. The Company’s carrying value of its consolidated amounts of cash and cash equivalents approximate their fair value as of  September 30, 2025, and June 30, 2025, and are categorized within level 1 of the U.S. GAAP fair value hierarchy. The Company’s policy is to recognize transfers in and/or out of fair value hierarchy as of the date in which the event or change in circumstances caused the transfer. There were no transfers between Level 1, Level 2 and Level 3 in the periods presented.

 

Recurring Fair Value Measurements

 

The Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis as of  September 30, 2025, and June 30, 2025, by level within the fair value hierarchy as follows:

 

  Fair Value at  Fair Value Measurements at September 30, 2025 
  

September 30, 2025

  

(Level 1)

  

(Level 2)

  

(Level 3)

 
  

(in thousands)

 

Liabilities:

                

Derivative warrant liabilities

 $20,424  $—  $—  $20,424 

Total

 $20,424  $—  $—  $20,424 

 

   Fair Value at  Fair Value Measurements at June 30, 2025 
  

June 30, 2025

  

(Level 1)

  

(Level 2)

  

(Level 3)

 
  

(in thousands)

 

Liabilities:

                

Derivative warrant liabilities

 $26,334  $—  $—  $26,334 

Total

 $26,334  $—  $—  $26,334 

 

Summary of Level 3 Input Changes

 

A summary of changes to those fair value measures using Level 3 inputs is as follows:

 

  

Derivative

 
  

Warrant Liabilities

 
  

(in thousands)

 

Balance as of June 30, 2025

 $26,334 

Settlements (1)

  (2,126)

Included in earnings

  (3,784)

Balance as of September 30, 2025

 $20,424 

(1) 

Relates to the exercise of 935,000 prefunded warrants during the first quarter of fiscal 2026, which were liability classified and exercised at a price of $0.0001 per share.

 

Significant Assumptions

 

The valuation methodologies and key assumptions used for the mark to market fair value measurements of derivative warrant liabilities as of September 30, 2025, are as follows:

 

  

June 2023 Tranche A Warrants

  

Warrants Other (1)

 
  

Monte Carlo & Black-Scholes

  

Black-Scholes

 

Aytu closing stock price

 

$ 1.88

  

$ 1.88

 

Equivalent term (years)

 2.7  1.3-1.9 

Expected volatility

 

77.1%

  

71.7%-79.1%

 

Risk-free rate

 

3.6%

  

3.6%

 

Dividend yield

 

0.0%

  

0.0%

 

(1) 

Includes all liability classified warrants and prefunded warrants except the June 2023 Tranche A Warrants (see Note 16 - Warrants for further information).