Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE FINANCIAL INSTRUMENTS AND FAIR VALUE MEASUREMENTS

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DERIVATIVE FINANCIAL INSTRUMENTS AND FAIR VALUE MEASUREMENTS
9 Months Ended
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE FINANCIAL INSTRUMENTS AND FAIR VALUE MEASUREMENTS

NOTE 11 - DERIVATIVE FINANCIAL INSTRUMENTS AND FAIR VALUE MEASUREMENTS

 

Derivative Financial Instruments:

 

The Company applies the provisions of ASC 815-40, Contracts in Entity’s Own Equity, under which convertible instruments and warrants, which contain terms that protect holders from declines in the stock price (reset provisions), may not be exempt from derivative accounting treatment. As a result, warrants and embedded conversion options in convertible debt are recorded as a liability and are revalued at fair value at each reporting date. If the fair value of the warrants exceeds the face value of the related debt, the excess is recorded as change in fair value in operations on the issuance date. The Company had $122,500 (2 notes) and $75,300 (2 notes) of convertible debt, which were treated as derivative instruments outstanding at March 31, 2024 and June 30, 2023, respectively.

 

The Company calculates the estimated fair values of the liabilities for derivative instruments using the Binomial Trees Method. The closing price of the Company’s common stock at March 31, 2024, the last trading day of the period ended March 31, 2024, was $0.0032. The volatility, expected remaining term and risk-free interest rates used to estimate the fair value of derivative liabilities at March 31, 2024 are indicated in the table that follows. The expected term is equal to the remaining term of the warrants or convertible instruments and the risk-free rate is based upon rates for treasury securities with the same term.

 

Convertible Debt

 

    Initial Valuations
(on new derivative
instruments entered
into during the nine
months ended
March 31, 2024)
    March 31, 2024  
Volatility     327.58333.45 %     319.08 %
Expected Remaining Term (in years)     0.50       0.01 - 0.03  
Risk Free Interest Rate     5.43 - 5.55 %     5.49 %
Expected dividend yield     None       None  

 

Fair Value Measurements:

 

The Company measures and reports at fair value the liability for derivative instruments. The fair value liabilities for price adjustable warrants and embedded conversion options have been recorded as determined utilizing the Binomial Trees model. The following tables summarize the Company’s financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2024 and June 30, 2023:

 

    Balance at
March 31, 2024
   

Quoted Prices

in Active

Markets for

Identical
Assets

   

Significant

Other

Observable
Inputs

   

Significant

Unobservable Inputs

 
          (Level 1)     (Level 2)     (Level 3)  
Embedded conversion option liabilities   $ 128,432     $     $     $ 128,432  
Total   $ 128,432     $     $     $ 128,432  

 

 

PROPANC BIOPHARMA, INC. AND SUBSIDIARY

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

March 31, 2024

(Unaudited)

 

    Balance at
June 30, 2023
   

Quoted Prices

in Active

Markets for

Identical
Assets

   

Significant

Other

Observable
Inputs

   

Significant

Unobservable Inputs

 
          (Level 1)     (Level 2)     (Level 3)  
Embedded conversion option liabilities   $ 423,209     $     $     $ 423,209  
Total   $ 423,209     $     $     $ 423,209  

 

The following is a roll forward for the nine months ended March 31, 2024 of the fair value liability of price adjustable derivative instruments:

 

    Fair Value of
Liability for
Derivative
Instruments
 
Balance at June 30, 2023   $ 423,209  
Initial fair value of embedded conversion option derivative liability recorded as debt discount     125,000  
Initial fair value of embedded conversion option derivative liability recorded as derivative expense     123,379  
Reduction of derivative liability upon debt conversion     (170,785 )
Change in fair value included in statements of operations     (372,371 )
Balance at March 31, 2024   $ 128,432