Annual report pursuant to Section 13 and 15(d)

Note 10 - Fair Value Measurements

v3.5.0.2
Note 10 - Fair Value Measurements
 12 Months Ended
Jun. 30, 2016
Notes to Financial Statements  
Fair Value Disclosures [Text Block]
NOTE 1
0
- FAIR VALUE MEASUREMENTS
 
We follow FASB ASC Topic No. 820,
Fair Value Measurements and Disclosures
(“ASC 820”) in connection with financial assets and liabilities measured at fair value on a recurring basis subsequent to initial recognition.
 
ASC 820 requires that assets and liabilities carried at fair value be classified and disclosed in one of the following categories:
 
L
evel 1: Quoted market prices in active markets for identical assets and liabilities.
Level 2: Observable market based inputs or unobservable inputs that are corroborated by market data.
Level 3: Unobservable inputs that are not corroborated by market dat
a
 
The hierarchy noted above requires us to minimize the use of unobservable inputs and to use observable market data, if available, when determining fair value.
 
The fair value of our recorded derivative liabilities is determined based on unobservable i
nputs that are not corroborated by market data, which is a (Level 3) classification. We record derivative liabilities on our balance sheet at fair value with changes in fair value recorded in our consolidated statements of operations.
 
Following is a summ
ary as of the reporting date of the fair values and applicable level within the fair value hierarchy of assets and liabilities measured at fair value on a recurring basis:
 
At June 30,
2016
:
 
   
Quoted
Prices in
Active
Markets
for
Identical
Assets
    
Significant
Other
Observable
Inputs
    
Significant
Unobservable
Inputs
  
   
(Level
1)
    
(Level
2)
    
(Level
3)
  
Description:
                        
Warrant derivative liabilities
   $ -     $ -     $ 24,000  
 
At June 30,
2015
:
 
   
Quoted
Prices in
Active
Markets
for
Identical
Assets
    
Significant
Other
Observable
Inputs
    
Significant
Unobservable
Inputs
  
   
(Level
1)
    
(Level
2)
    
(Level
3)
  
Description:
                        
Warrant derivative liabilities
   $ -     $ -     $ 23,000  
 
The table below sets forth a summary of changes in the fair value of our (Level 3) financial instruments for the
year ended June 30, 2015:
 
Fair value measurements of warrants using significant unobservable inputs (Level 3)
  
Balance at June 30,
2015
   $ 23,000  
Change in fair value of warrant liability
     (11,000
)
Warrant re-pricing modification charge (Note 7)
     12,000  
Balance at June 30,
2016
   $ 24,000  
 
The fair value of our warrant derivative liabilities and the
change in the estimated fair value of derivative liabilities that we recorded during fiscal year 2016, related to warrants issued in connection with our private placement transactions (see Notes 7 and 8).
 
Quantitative Information about Significant Unobse
rvable Inputs used in (Level 3) Fair Value Measurements
 
The following table represents the Plan
’s level 3 financial instruments at June 30, 2016, the valuation techniques used to measure the fair value of those financial instruments, and the significant unobservable inputs and the ranges of values for those inputs:
 
Instrument
 
Fair
 Value
 
 
Principal
 Valuation
Technique
 
Significant
Unobservable
 Inputs
 
Range
 of Significant
Input
 Values
 
 
 
 
 
 
 
 
 
 
  
 
  
 
Warrant derivative liabilities
 
$
24
,000
 
 
Monte Carlo simulation
 
Volatility
 
   110%    
 
 
 
 
 
 
 
  
 
Risk free rates
 
 0.44% -
0.49%
  
 
 
 
 
 
 
 
 
Probability
of subsequent financing
 
   95%