CytoDyn Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Derivative Liability (Tables)

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	%