Quarterly report pursuant to Section 13 or 15(d)

Derivative Liability (Tables)

v3.5.0.2
Derivative Liability (Tables)
3 Months Ended
Aug. 31, 2016
Summary of Fair Value Derivative Liability and Linked Common Shares

The following tables summarize the fair value of the derivative liability and linked common shares as of the derivative liability inception dates (September 26, 2014 and February 6, 2015) and fiscal year end May 31, 2016:

 

     September 26,
2014
     February 6,
2015
     May 31,
2015
     May 31,
2016
 

Total derivative liability

   $ 767,038       $ 403,266       $ 2,008,907       $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Shares indexed to derivative liability

     2,000,000         1,500,000         5,185,185         —    
  

 

 

    

 

 

    

 

 

    

 

 

 
Significant Inputs and Assumptions Used in Binomial Lattice Model for Derivative Liability

Significant inputs and assumptions used in the Binomial Lattice Model for the derivative liability are as follows:

 

     September 26,
2014
    February 6,
2015
    May 31,
2015
    June 23,
2015
 

Quoted market price on valuation date

   $ 0.79      $ 0.96      $ 0.99     $ 0.90   

Contractual conversion rate

   $ 1.00      $ 1.00      $ 1.00     $ 1.00   

Adjusted conversion price (a)

   $ 0.9759      $ 1.0000      $ 0.675      $ 0.675   

Contractual term to maturity (years)

     2.00        0.49        0.18-1.33        0.12   

Expected volatility

     123     124     90%-114     48

Contractual interest rate

     5     2     1.5%-5.0     1.2

Risk-free rate

     0.59     0.045     0.041% - 0.48     0.001

Risk adjusted rate

     2.69     2.78     2.80     2.80

Probability of event of default

     5.00     5.00     5.00     5.00

 

(a) The adjusted conversion price input used in the Binomial Lattice Model considers both (i) the reduction of the conversion price to $0.675 on April 30, 2015, as result of a private placement offering in which Common Stock was sold for a weighted average price of $0.75 and (ii) potential adjustment to the stated conversion price due to a future dilutive issuance. This input was calculated using a probability-weighted approach which considered the likelihood of various scenarios occurring including (i) potential success or failure of various phases for PRO 140, (ii) the probability the Company will enter into a future financing and (iii) and the potential price of a future financing.