Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

v3.20.4
Derivative Liabilities (Tables)
6 Months Ended
Nov. 30, 2020
Schedule of Derivative Liabilities at Fair Value
The following tables summarize the fair value of the warrant derivative liability and related common shares as of inception date September 15, 2016, prior fiscal year end date May 31, 2020 and current reporting date November 30, 2020 (in thousands):
 
    
Shares
Indexed
    
Derivative
Liability
 
Inception to date September 15, 2016
     7,733      $ 5,179  
Change in fair value of derivative liability
     —          (4,777
    
 
 
    
 
 
 
Balance May 31, 2019
     7,733        402  
Change in fair value of derivative liability
     —          11,547  
Fair value of warrants exercised
     7,733        (11,949
    
 
 
    
 
 
 
Balance May 31, 2020
     —          —    
Change in fair value of derivative liability
     —          —    
    
 
 
    
 
 
 
Balance November 30, 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, May 31, 2019 and November 30, 2019, using the following assumptions:
 
   
September 15,
2016
   
May 31,
2019
   
November 30,
2019
 
Fair value of underlying stock
   $ 0.78     $ 0.39     $ 0.28  
Risk free rate
     1.20     1.94     1.61
Expected term (in years)
     5       2.29       1.79  
Stock price volatility
     106     61     63
Expected dividend yield
     —         —         —    
Probability of fundamental transaction
     50     50     50
Probability of holder requesting cash payment
     50     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 November 30, 2019:
                
November 30, 2019
 
    
November 15,
2018
   
January 30,
2019
   
June
Note
   
January
Note
 
Fair value of underlying stock
   $ 0.57     $ 0.49     $ 0.28     $ 0.28  
Risk free rate
     2.78     2.52     1.63     1.60
Expected term (in years)
     1.61       2       0.57       1.17  
Stock price volatility
     58.8     61     66.3     64.1
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 as of inception dates November 15, 2018, January 30, 2019 and November 30, 2019 (in thousands):
 
    
Net Proceeds
    
Derivative Liability
 
    
Inception date
    
November 30, 2019
 
Inception date June 2018 Note, November 15, 2018
   $ 5,000      $ 1,285      $ 481  
Inception date January 2019 Note, January 30, 2019
     5,000        1,465        975  
                      
 
 
 
                       $ 1,456