Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

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FAIR VALUE MEASUREMENTS
6 Months Ended
Oct. 31, 2023
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 13 – FAIR VALUE MEASUREMENTS

 

Fair value measurements discussed herein are based upon certain market assumptions and pertinent information available to management as of and during the six months ended October 31, 2023. The carrying amounts of cash equivalents, other current assets, accounts payable and accrued expenses approximate their fair values at October 31, 2023 due to their short-term nature. The fair value of the bifurcated embedded derivative related to the convertible preferred stock was estimated using a Monte Carlo simulation model, which uses as inputs the fair value of the Company’s common stock and guideline companies estimates for the equity volatility and traded volume volatility of our common stock, the time maturity of the convertible preferred stock, the risk-free interest rate for a period of time that approximates the time to maturity, dividend rate, a penalty dividend rate and the probability of default. The fair value of the warrant liability was estimated using the Black Scholes Merton Model which uses as inputs the following weighted average assumptions, as noted above: dividend yield, expected terms in years, equity volatility and risk-free rate.

 

Fair Value on a Recurring Basis

 

The Company follows the guidance in ASC 820 for its financial assets and liabilities that are re-measured and reported and reported at fair at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually. The estimated fair value of the warrant liability and bifurcated embedded derivative represent Level 3 measurements. The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at October 31, 2023, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

                       
Description   Level     October 31, 2023     April 30, 2023  
Liabilities:                        
Warrant liability (Note 5)     3     $ 11,504,000     $  
Bifurcated embedded derivative (Note 11)     3     $ 4,069,000     $  

 

The following table sets forth a summary of the change in the fair value of the warrant liability that is measured at fair value on a recurring basis.

     
    October 31, 2023  
Balance on April 30, 2023   $  
Issuance of warrants     14,127,000  
Change in fair value of warrant liability     (2,623,000 )
Balance on October 31, 2023   $ 11,504,000  

 

The following table sets forth a summary of the change in the fair value of the bifurcated embedded derivative liability that is measured on a recurring basis:

 

    October 31, 2023  
Balance on April 30, 2023   $  
Issuance of convertible preferred stock with bifurcated embedded derivative liability     2,770,000  
Change in fair value of bifurcated embedded derivative     1,299,000  
Balance on October 31, 2023   $ 4,069,000