Annual report pursuant to Section 13 and 15(d)

Derivative Liabilities (Tables)

v3.21.2
Derivative Liabilities (Tables)
12 Months Ended
May 31, 2021
Warrant Derivative Liability  
Derivative [Line Items]  
Schedule of Derivative Liabilities at Fair Value

The following table summarizes the fair value of the warrant derivative liability and related common shares as of inception date (September 15, 2016), May 31, 2019 and May 31, 2020 (in thousands):

    

Shares
indexed

    

Derivative
liability

Inception 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

 

$

Assumptions used in Estimating Fair Value

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 (in 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

%

Redemption Provision Embedded Derivative  
Derivative [Line Items]  
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 and January 30, 2019, and May 31, 2019 (in thousands):

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

Total

$

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

%