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

Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

Derivative Liabilities (Tables)

6 Months Ended

Nov. 30, 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 November 30, 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 November 30, 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 November 30, 2019, using the following assumptions:


	September 15, 2016			May 31, 2019			November 30, 2019
Fair value of underlying stock	$	0.78		$	0.39		$	0.28
Risk free rate		1.20	%		1.94	%		1.61	%
Expected term (in years)		5			2.29			1.79
Stock price volatility		106	%		61	%		63	%
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 November 15, 2018, January 30, 2019 and November 30, 2019:


							November 30, 2019
	November 15, 2018			January 30, 2019			June Note			January Note
Fair value of underlying stock	$	0.57		$	0.49		$	0.28		$	0.28
Risk free rate		2.78	%		2.52	%		1.63	%		1.60	%
Expected term (in years)		1.61			2			0.57			1.17
Stock price volatility		58.8	%		61	%		66.3	%		64.1	%
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 November 30, 2019 (in thousands):


	Net Proceeds		Derivative Liability
	Net Proceeds		Inception date		November 30, 2019
Inception date June 2018 Note, November 15, 2018	$	5,000	$	1,285	$	481
Inception date January 2019 Note, January 30, 2019		5,000		1,465		975

					$	1,456