| 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), November 30, 2015 and May 31, 2015:
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September 26,
2014 |
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February 6,
2015 |
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May 31,
2015 |
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November 30,
2015 |
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Total derivative liability
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$ |
767,038 |
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$ |
403,266 |
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$ |
2,008,907 |
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$ |
— |
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Shares indexed to derivative liability
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2,000,000 |
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1,500,000 |
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5,185,185 |
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— |
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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:
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AVCP Notes Dated as of |
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September 26,
2014 |
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February 6,
2015 |
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May 31,
2015 |
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Total derivative liability
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$ |
767,038 |
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$ |
403,266 |
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$ |
2,008,907 |
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Shares indexed to derivative liability
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2,000,000 |
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1,500,000 |
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5,185,185 |
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| 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:
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September 26,
2014 |
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February 6,
2015 |
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May 31,
2015 |
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June 24,
2015 |
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Quoted market price on valuation date
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$ |
0.79 |
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$ |
0.96 |
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$ |
0.99 |
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$ |
0.90 |
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Contractual conversion rate
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$ |
1.00 |
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$ |
1.00 |
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$ |
1.00 |
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$ |
1.00 |
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Adjusted conversion price (a)
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$ |
0.9759 |
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$ |
1.0000 |
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$ |
0.675 |
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$ |
0.675 |
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Contractual term to maturity (years)
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2.00 |
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0.49 |
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0.18-1.33 |
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0.12 |
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Expected volatility
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123 |
% |
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124 |
% |
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90%-114 |
% |
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48 |
% |
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Contractual interest rate
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5 |
% |
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2 |
% |
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1.5%-5.0 |
% |
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1.2 |
% |
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Risk-free rate
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0.59 |
% |
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0.045 |
% |
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0.041%-0.48 |
% |
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0.001 |
% |
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Risk adjusted rate
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2.69 |
% |
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2.78 |
% |
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2.80 |
% |
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2.80 |
% |
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Probability of event of default
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5.00 |
% |
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5.00 |
% |
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5.00 |
% |
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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. |
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Significant inputs and assumptions used in the Binomial Lattice
Model for the derivative liability are as follows:
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September 26,
2014 |
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February 6,
2015 |
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May 31,
2015 |
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Quoted market price on valuation date
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$0.79 |
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$0.96 |
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$0.99 |
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Contractual conversion rate
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$1.00 |
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$1.00 |
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$1.00 |
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Adjusted conversion price (a)
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$0.9759 |
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$1.0000 |
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$0.675 |
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Contractual term to maturity (years)
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2.00 |
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0.49 |
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0.18-1.33 |
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Expected volatility
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123% |
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124% |
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73% - 105% |
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Contractual interest rate
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5% |
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2% |
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1.2%-5.0% |
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Risk-free rate
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0.59% |
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0.045% |
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0.01%-0.35% |
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Risk-adjusted rate
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2.69% |
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2.78% |
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2.80% |
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Probability of event of default
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5.00% |
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5.00% |
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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. |
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