Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

v3.19.1
Derivative Liabilities (Tables)
 9 Months Ended
Feb. 28, 2019
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, 2018 and February 28, 2019, using the following assumptions:
 
 
 
September 15,

2016
 
 
May 31,

2018
 
 
February 28,

2019
 
Fair value of underlying stock
 
$
0.78
 
 
$
0.49
 
 
$
0.50
 
Risk free rate
 
 
1.20
%
 
 
2.63
%
 
 
2.51
%
Expected term (in years)
 
 
5
 
 
 
3.3
 
 
 
2.54
 
Stock price volatility
 
 
106
%
 
 
64
%
 
 
60
%
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 Novembert 15, 2015, January 30, 2019 and February 28, 2019:
 
    November 15,     November 30,     January 30,     February 28, 2019  
    2018     2018     2019     June Note     January Note  
Fair value of underlying stock
   $ 0.57     $ 0.58     $ 0.49     $ 0.50     $ 0.50  
Risk free rate
     2.78 %      2.78 %      2.52 %      2.54 %      2.52 % 
Expected term (in years)
     1.61       1.61       2       1.33       1.92  
Stock price volatility
     58.8 %      58.8 %      61 %      61 %      61.3 % 
Expected dividend yield
     —         —         —         —         —    
Discount factor
     85 %      85 %      85 %      85 %      85 % 
Schedule of Derivative Liabilities at Fair Value
 
 
 
Shares Indexed
 
 
Derivative Liability
 
Inception date September 15, 2016
 
 
7,733,334
 
 
$
5,179,200
 
Balance May 31, 2018
 
 
7,733,334
 
 
 
1,323,732
 
Balance February 28, 2019
 
 
7,733,334
 
 
$
793,866
 
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 February 28, 2019:
 
          Derivative Liability  
    Net Proceeds     Inception Date     February 28, 2019  
Inception date June 2018 Note, November 15, 2018
   $ 5,000,000     $ 1,284,988     $ 1,065,646  
Inception date January 2019 Note, January 30, 2019
     5,000,000       1,465,008       1,332,731  
                   
 
 
  
                    $ 2,398,377