General form of registration statement for all companies including face-amount certificate companies

Derivative Liability (Tables)

v3.2.0.727
Derivative Liability (Tables)
 12 Months Ended
May. 31, 2015
Summary of Fair Value Derivative Liability and Linked Common Shares

The following tables summarize the fair value of the derivative liability and linked common shares as of the derivative liability inception dates (September 26, 2014 and February 6, 2015) and May 31, 2015:

 

     AVCP Notes Dated as of         
     September 26,
2014		      February 6,
2015		      May 31,
2015		  

Total derivative liability

    $ 767,038       $ 403,266       $ 2,008,907   
  

 

 

     

 

 

     

 

 

  

Shares indexed to derivative liability

   2,000,000      1,500,000      5,185,185   
  

 

 

     

 

 

     

 

 

  
Significant Inputs and Assumptions Used in Binomial Lattice Model for Derivative Liability

Significant inputs and assumptions used in the Binomial Lattice Model for the derivative liability are as follows:

 

     September 26,
2014		   February 6,
2015		   May 31,
2015

Quoted market price on valuation date

    $0.79   $0.96   $0.99

Contractual conversion rate

    $1.00   $1.00   $1.00

Adjusted conversion price (a)

    $0.9759   $1.0000   $0.675

Contractual term to maturity (years)

    2.00   0.49   0.18-1.33

Expected volatility

    123%   124%   73% - 105%

Contractual interest rate

    5%   2%   1.2%-5.0%

Risk-free rate

    0.59%   0.045%   0.01%-0.35%

Risk-adjusted rate

    2.69%   2.78%   2.80%

Probability of event of default

    5.00%   5.00%   5.00%

 

(a) The adjusted conversion price input used in the Binomial Lattice Model considers both i) the reduction of the conversion price to $0.675 on April 30, 2015, as result of the short-term convertible notes offering in which Common Stock was sold for a weighted average price of $0.75 and ii) potential adjustment to the stated conversion price due to a future dilutive issuance. This input was calculated using a probability-weighted approach which considered the likelihood of various scenarios occurring including (i) potential success or failure of various phases for PRO 140, (ii) the probability the Company will enter into a future financing and (iii) and the potential price of a future financing.