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Fair Value Measurements

12 Months Ended

Jun. 30, 2024

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:


	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:


	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.


	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