CytoDyn Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

Derivative Liabilities (Tables)

9 Months Ended

Feb. 28, 2021

Warrant Derivative Liability

Derivative [Line Items]

Schedule of Derivative Liabilities at Fair Value


		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 February 28, 2021		—		$	—

Assumptions used in Estimating Fair Value


		September 15,			May 31,			February 29,
		2016			2019			2020
Fair value of underlying stock		$	0.78		$	0.39		$	1.05
Risk free rate			1.20	%		1.94	%		0.93	%
Expected term (in years)			5			2.29			1.55
Stock price volatility			106	%		61	%		87	%
Expected dividend yield			—			—			—
Probability of fundamental transaction			50	%		50	%		50	%
Probability of holder requesting cash payment			50	%		50	%		50	%

Redemption Provision Embedded Derivative

Derivative [Line Items]

Schedule of Derivative Liabilities at Fair Value


					Derivative Liability
		Net Proceeds			Inception date			May 31, 2019
Inception date June 2018 Note, November 15, 2018		$	5,000		$	1,285		$	847
Inception date January 2019 Note, January 30, 2019			5,000			1,465			1,158
								$	2,005

Assumptions used in Estimating Fair Value


								May 31, 2019
		November 15,			January 30,			June 2018			January 2019
		2018			2019			Note			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	%