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Fair Value Measurements | 12 Months Ended
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Jun. 30, 2024
Fair Value Disclosures [Abstract] |
Fair Value Measurements |
8. | Fair Value Measurements
At June 30, 2024 and 2023, the estimated fair value of derivative liabilities measured on a recurring basis are as follows:
Schedule of derivative liabilities at fair value |  |  |  |  |  |  |  |  |  |  |  |
|  | Fair Value Measurements at |
|  | June 30, 2024 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Derivative liability - Warrants |  | $ | - |  |  | $ | - |  |  | $ | 3,771 |  |  | $ | 3,771 |
Derivative liability - Conversion Option |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
Total derivative liabilities |  | $ | - |  |  | $ | - |  |  | $ | 3,771 |  |  | $ | 3,771 |
|  | Fair Value Measurements at |
|  | June 30, 2023 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Derivative liability - Warrants |  | $ | - |  |  | $ | - |  |  | $ | 894,280 |  |  | $ | 894,280 |
Derivative liability - Conversion option |  |  | - |  |  |  | - |  |  |  | 925,762 |  |  |  | 925,762 |
Total derivative liabilities |  | $ | - |  |  | $ | - |  |  | $ | 1,820,042 |  |  | $ | 1,820,042 |
The following table presents the activity for level 3 liabilities measured at fair value using unobservable inputs for the years ended June 30, 2024 and 2023:
Fair value, liabilities measured on recurring basis |  |  |  |  |  |  |  |
|  | Derivative liability - Warrants |  |  | Derivative liability - Conversion Option |
Balance at June 30, 2022 |  | $ | 194,531 |  |  | $ | 188,030 |
Additions to level 3 liabilities |  |  | - |  |  |  | - |
Change in in fair value of level 3 liabilities |  |  | 699,749 |  |  |  | 737,732 |
Transfer in and/or out of level 3 |  |  | - |  |  |  | - |
Balance at June 30, 2023 |  | $ | 894,280 |  |  | $ | 925,762 |
Additions to level 3 liabilities |  |  | - |  |  |  | - |
Change in in fair value of level 3 liabilities |  |  | (890,509 | ) |  |  | (925,762 | )
Transfer in and/or out of level 3 |  |  | - |  |  |  | - |
Balance at June 30, 2024 |  | $ | 3,771 |  |  | $ | - |
The fair values of derivative liabilities for the Avenue Warrants and Conversion Option at June 30, 2024 in the accompanying balance sheet, were approximately $3,800 and approximately zero, respectively. The total change in the fair value of the derivative liabilities totaled approximately $(1.8) million and $1.4 million for the years ended June 30, 2024, and 2023, respectively; and accordingly, was recorded in the accompanying statements of operations and comprehensive loss. The assumptions used in the Black Scholes model to value the derivative liabilities at June 30, 2024 included the closing stock price of $4.00 per share; for the Avenue Warrants, the exercise price of $58.20, remaining term 2.4 year, risk free rate of 4.6% and volatility of 82.0%; and for the Conversion Option, the conversion price of $69.80; remaining term of 5 months, risk free rate of 5.38% and volatility of 91.0%. Derivative liability – Avenue Warrants The Avenue Warrants were not considered to be indexed to the Company’s own stock, and accordingly, were recorded as a derivative liability at fair value in the accompanying balance sheets at June 30, 2024 and 2023. The Black Scholes model was used to calculate the fair value of the warrant derivative to bifurcate the warrant derivative amount from the Avenue Loan amount funded. The Avenue Warrants are recorded at their fair values at the date of issuance and remeasured at each subsequent reporting period end date. Embedded derivative liability – Conversion Option The Conversion Option is accounted for as an embedded derivative liability and required bifurcation from the Loan amount. The Black Scholes model was used to calculate the fair value of the Conversion Option to bifurcate it from the Loan. Financial assets As of June 30, 2024, investments in U.S. Treasury Bills were valued through use of quoted prices and are classified as Level 1. The following table presents information about our assets that are measured at fair value on a recurring basis using the above input categories.
Measured at fair value on a recurring basis |  |  |  |  |  |  |  |  |  |  |  |
|  | Fair Value Measurements at |
|  | June 30, 2024 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Cash |  | $ | 12,763,941 |  |  | $ | - |  |  | $ | - |  |  | $ | 12,763,941 |
U.S. Treasury Bills due in 3 months or less at purchase |  |  | 11,079,857 |  |  |  | - |  |  |  | - |  |  |  | 11,079,857 |
Total |  | $ | 23,843,798 |  |  | $ | - |  |  | $ | - |  |  | $ | 23,843,798 |
|  | Fair Value Measurements at |
|  | June 30, 2023 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Cash |  | $ | 6,304,543 |  |  | $ | - |  |  | $ | - |  |  | $ | 6,304,543 |
U.S. Treasury Bills due in 3 months or less at purchase |  |  | 13,156,340 |  |  |  | - |  |  |  | - |  |  |  | 13,156,340 |
U.S. Treasury Bills due in 3 - 6 months at purchase |  |  | 14,477,726 |  |  |  | - |  |  |  | - |  |  |  | 14,477,726 |
Total |  | $ | 33,938,609 |  |  | $ | - |  |  | $ | - |  |  | $ | 33,938,609 |

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- Definition The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 820 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/820/tableOfContent + Details
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