Quarterly report pursuant to Section 13 or 15(d)

Derivative Liability (Tables)

v3.8.0.1
Derivative Liability (Tables)
6 Months Ended
Nov. 30, 2017
Summary of Fair Value Warrant Derivative Liability and Related Common Shares

The following tables summarize the fair value of the warrant derivative liability and related common shares as of inception date September 15, 2016, May 31, 2017 and November 30, 2017:

 

     Shares Indexed      Derivative Liability  

Balance May 31, 2016

     —        $ —    

Inception date September 15, 2016

     7,733,334        5,179,200  

Balance May 31, 2017

     7,733,334        3,014,667  

Balance November 30, 2017

     7,733,334      $ 2,547,733  
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, 2017 and November 30, 2017, using the following assumptions:

 

     September 15,     May 31,     November 30,  
     2016     2017     2017  

Fair value of underlying stock

   $ 0.78     $ 0.60     $ 0.59  

Risk free rate

     1.20     1.71     2.08

Expected term (in years)

     5       4.29       3.79  

Stock price volatility

     106     94     80

Expected dividend yield

     —         —         —    

Probability of Fundamental Transaction

     50     50     50

Probability of holder requesting cash payment

     50     50     50