Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

v3.20.2
Derivative Liabilities (Tables)
 3 Months Ended
Aug. 31, 2020
Schedule of Derivative Liabilities at Fair Value
The following tables summarize the fair value of the warrant derivative liability and related common shares as of inception date September 15, 2016, prior fiscal year end date May 31, 2020 and current reporting date August 31, 2020 (in thousands):
 
    
Shares

Indexed
     
Derivative

Liability
  
Inception to date September 15, 2016
      7,733     $ 5,179  
Change in fair value of derivative liability
      —         (4,777 ) 
  
 
 
    
 
 
  
Balance May 31, 2019
      7,733       402  
Change in fair value of derivative liability
      —         11,547  
Fair value of warrants exercised
      7,733       (11,949 ) 
  
 
 
    
 
 
  
Balance May 31, 2020
      —       —  
Change in fair value of derivative liability
      —       —  
Balance August 31, 2020
      —     $ —  
  
 
 
    
 
 
  
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, 2019 and August 31, 2019, using the following assumptions:
 
     September 15,
2016		     May 31,
2019		     August 31,
2019		  
Fair value of underlying stock
    $ 0.78     $ 0.39     $ 0.40  
Risk free rate
      1.20 %      1.94 %      1.50 % 
Expected term (in years)
      5       2.29       2.04  
Stock price volatility
      106 %      61 %      60 % 
Expected dividend yield
      —         —         —    
Probability of
f
undamental
t
ransaction
      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 November 15, 2018, January 30, 2019 and August 31, 2019:
 
                
August 31, 2019
  
 
  
November 15,
2018
 
 
January 30,
2019
    
June
Note
    
January
Note
 
Fair value of underlying stock
    $ 0.57     $ 0.49     $ 0.40     $ 0.40  
Risk free rate
      2.78 %      2.52 %      1.76 %      1.76 % 
Expected term (in years)
      1.61       2       0.82       1.42  
Stock price volatility
      58.8 %      61 %      63.8 %      61.6 % 
Expected dividend yield
      —         —         —         —    
Discount factor
      85 %      85 %      85 %      85 % 
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 August 31, 2019 (in thousands):
 
     Net Proceeds      Derivative Liability  
     Inception date      August 31, 2019  
Inception date June 2018 Note, November 15, 2018
    $ 5,000      $ 1,285      $ 373  
Inception date January 2019 Note, January 30, 2019
      5,000        1,465        1,070  
        
 
 
  
         $  1,443