CytoDyn Inc. Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Derivative Liabilities (Tables)

Derivative Liabilities (Tables)

12 Months Ended

May 31, 2020

Schedule of Derivative Liabilities at Fair Value

The following tables summarizes changes in the fair value of the warrant derivative liability and related common shares as of

inception date September 15, 2016, prior year end date May 31, 2019 and current year end date May 31, 2020.


	Shares Indexed		Derivative Liability
Inception to date September 15, 2016		7,333,334	$	5,179,200
Change in fair value of derivative liability		—		(4,777,068	)

Balance May 31, 2019		7,733,334		402,132
Change in fair value of derivative liability		—		11,546,840
Fair value of warrants exercised		7,733,334		(11,948,972	)

Balance May 31, 2020		—	$	—

Assumptions used in Estimating Fair Value of Warrant Derivative Liability

The Company estimated the fair value of the warrant derivative liability as of inception date September 15, 2016, and May 31, 2019 using the following assumptions:


	September 15, 2016			May 31, 2019
Fair value of underlying stock	$	0.78		$	0.39
Risk free rate		1.20	%		1.94	%
Expected term (years)		5			2.29
Stock price volatility		106	%		61	%
Expected dividend yield		—			—
Probability of fundamental transaction		50	%		50	%
Probability of holder requesting cash payment		50	%		50	%

Registered Direct Equity Offering [Member] | Investor Warrants Issued With Registered Direct Equity Offering [Member]

Assumptions used in Estimating Fair Value of Warrant Derivative Liability

The Company estimated the fair value of the redemptive provision using the following assumptions on the closing date of November 15, 2018, January 30, 2019, and May 31, 2019:


							May 31, 2019
	November 15, 2018			January 30, 2019			June Note			January Note
Fair value of underlying stock	$	0.57		$	0.49		$	0.39		$	0.39
Risk free rate		2.78	%		2.52	%		2.21	%		1.95	%
Expected term (in years)		1.61			2			1.07			1.67
Stock price volatility		58.8	%		61	%		62.2	%		62.2	%
Expected dividend yield		—			—			—			—
Discount factor		85	%		85	%		85	%		85	%

Convertible Note Redemption Provision Derivative Liability [Member]

Schedule of Derivative Liabilities at Fair Value

The following table summarizes the fair value of the convertible note redemption provision derivative liability related to notes which fully converted during January 2020 as of inception dates November 15, 2018 and January 30, 2019 and the fair value as of May 31, 2019:


			Derivative Liability
	Net Proceeds		Inception date		May 31, 2019
Inception date June 2018 Note, November 15, 2018	$	5,000,000	$	1,284,988	$	847,103
Inception date January 2019 Note, January 30, 2019		5,000,000		1,465,008		1,158,034

					$	2,005,137