Convertible Instruments (Tables)
|
12 Months Ended |
May 31, 2017 |
|---|
| Fair Value of Warrants |
The fair value of the warrants was determined using a Black-Scholes
option model using the following assumptions:
|
|
|
|
|
| |
|
Warrants issued on
September 26, 2014 |
|
Warrants issued on
February 6, 2015 |
|
Risk free interest rate
|
|
1.82% |
|
1.48% |
|
Expected life
|
|
5 years |
|
5 years |
|
Expected volatility
|
|
136% |
|
119% |
|
Dividend yield
|
|
0.00% |
|
0.00% |
|
| Allocation of Cash Proceeds Derivative Liability at Its Fair Value and Warrant at Its Relative Fair Value, with Residual Allocation of Host AVCP Note Agreement |
Based on the previous conclusions, the Company allocated the cash
proceeds first to the derivative liability at its fair value and
then to the warrants at their relative fair value, with the
residual allocated to the host AVCP Convertible Notes as presented
below.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Year Ended May 31, 2016 |
|
|
|
|
| |
|
May 31, 2015 |
|
|
Debt Discount |
|
|
Fair Value |
|
|
Conversion |
|
|
May 31, 2016 |
|
|
AVCP Convertible notes payable
|
|
$ |
2,637,618 |
|
|
$ |
94,344 |
|
|
$ |
— |
|
|
$ |
(2,731,962 |
) |
|
$ |
— |
|
|
Compound embedded derivative
|
|
|
2,008,907 |
|
|
|
— |
|
|
|
(646,505 |
) |
|
|
(1,362,402 |
) |
|
|
— |
|
|
Warrants (equity allocation)
|
|
|
215,732 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Accrued interest on notes payable
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(35,627 |
) |
|
|
— |
|
|
Fair Value of Common Stock Issued
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4,714,168 |
|
|
|
— |
|
|
Loss on Conversion
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(584,177 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4,862,257 |
|
|
$ |
94,344 |
|
|
$ |
(646,505 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 and May 31,
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 |
|
|
| Significant Inputs and Assumptions Used in Lattice for Derivative Liability |
Significant inputs and assumptions used in the Lattice for the
derivative liability related to the AVCP notes payable are as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
September 26,
2014 |
|
|
February 6,
2015 |
|
|
May 31,
2015 |
|
|
June 23,
2015 |
|
|
Quoted market price on valuation date
|
|
$ |
0.79 |
|
|
$ |
0.96 |
|
|
$ |
0.99 |
|
|
$ |
0.90 |
|
|
Contractual conversion rate
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
$ |
1.00 |
|
|
Adjusted conversion price (a)
|
|
$ |
0.9759 |
|
|
$ |
1.0000 |
|
|
$ |
0.675 |
|
|
$ |
0.675 |
|
|
Contractual term to maturity (years)
|
|
|
2.00 |
|
|
|
0.49 |
|
|
|
0.18-1.33 |
|
|
|
0.12 |
|
|
Expected volatility
|
|
|
123 |
% |
|
|
124 |
% |
|
|
90%-114 |
% |
|
|
48 |
% |
|
Contractual interest rate
|
|
|
5 |
% |
|
|
2 |
% |
|
|
1.5%-5.0 |
% |
|
|
1.2 |
% |
|
Risk-free rate
|
|
|
0.59 |
% |
|
|
0.045 |
% |
|
|
0.041%-0.48 |
% |
|
|
0.001 |
% |
|
Risk adjusted rate
|
|
|
2.69 |
% |
|
|
2.78 |
% |
|
|
2.80 |
% |
|
|
2.80 |
% |
|
Probability of event of default
|
|
|
5.00 |
% |
|
|
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 a private placement 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. |
|
| Detachable Common Stock Warrants |
|
| Weighted Average Assumptions to Value Investor Warrants |
The
Company determined the fair value of the extended warrants
described below, as follows:
|
|
|
|
|
|
|
2016 |
|
2017 |
|
Expected dividend yield
|
|
0% |
|
0% |
|
Stock price volatility
|
|
64.56% - 69.30% |
|
4.00% |
|
Expected term
|
|
1 year |
|
1 month |
|
Risk-free interest rate
|
|
0.33% |
|
77.00% |
|
Grant-date fair value
|
|
$0.15-$0.18 |
|
$0.11 |
The Company determined the fair value of the warrants at
issuance using the Black-Scholes option pricing model utilizing
certain weighted average assumptions, such as expected stock price
volatility, expected term of the warrants, risk-free interest rates
and expected dividend yield at the grant date.
|
|
|
| |
|
2017 |
|
Expected dividend yield
|
|
0% |
|
Stock price volatility
|
|
69.00% |
|
Expected term
|
|
5 year |
|
Risk-free interest rate
|
|
1.75% |
|
Grant-date fair value
|
|
$0.24 |
|
| Investor Warrants |
|
| Weighted Average Assumptions to Value Investor Warrants |
The Company utilized the following weighted-average assumptions to
value the above investor warrants:
|
|
|
| |
|
2015 |
|
Expected dividend yield
|
|
0% |
|
Stock price volatility
|
|
88.79% |
|
Expected term
|
|
5 years |
|
Risk-free interest rate
|
|
1.46%-1.58% |
|
Grant-date fair value
|
|
$0.52-$0.76 |
|
| 2013 Convertible Notes |
|
| Activity Related to Notes |
Activity related to the 2013 Convertible Notes for the year ended
May 31, 2017 and May 31, 2016 was as follows:
|
|
|
|
|
|
|
|
|
| |
|
May 31, 2017 |
|
|
May 31, 2016 |
|
|
Face amount of Notes
|
|
$ |
— |
|
|
$ |
50,000 |
|
|
|
|
|
|
|
|
|
|
|
Unamortized discount
|
|
|
— |
|
|
|
— |
|
|
Conversions
|
|
|
— |
|
|
|
(50,000 |
) |
|
|
|
|
|
|
|
|
|
|
Total carrying value of Notes
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| 2015 Short-Term Convertible Notes |
|
| Activity Related to Notes |
Activity related to the 2015 Short-Term Convertible Notes for
fiscal year ended May 31, 2017 and May 31, 2016 was as
follows:
|
|
|
|
|
|
|
|
|
| |
|
May 31, 2017 |
|
|
May 31, 2016 |
|
|
Face amount of Notes
|
|
$ |
— |
|
|
$ |
3,981,050 |
|
|
|
|
|
|
|
|
|
|
|
Unamortized discount
|
|
|
— |
|
|
|
— |
|
|
Tender offer conversions
|
|
|
— |
|
|
|
(2,693,800 |
) |
|
Conversions
|
|
|
— |
|
|
|
(525,000 |
) |
|
Payments upon maturity
|
|
|
— |
|
|
|
(762,250 |
) |
|
|
|
|
|
|
|
|
|
|
Total carrying value of Notes
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| AVCP Convertible Notes |
|
| Summary of Fair Value Warrant Derivative Liability and Related Common Shares |
The following table summarizes the fair value of the derivative
liability and linked common shares of the AVCP Notes, as of the
derivative liability inception dates (September 26, 2014 and
February 6, 2015) and fiscal year end
May 31, 2016.
|
|
|
|
|
|
|
|
|
| |
|
Total |
|
|
Total |
|
| |
|
Shares Indexed |
|
|
Derivative Liability |
|
|
Derivative Liability May 31, 2014
|
|
|
— |
|
|
$ |
— |
|
|
September 26, 2014
|
|
|
2,000,000 |
|
|
|
767,038 |
|
|
February 6, 2015
|
|
|
1,500,000 |
|
|
|
403,226 |
|
|
Change in fair value 2015
|
|
|
1,685,185 |
|
|
|
838,643 |
|
|
|
|
|
|
|
|
|
|
|
Balance May 31, 2015
|
|
|
5,185,185 |
|
|
$ |
2,008,907 |
|
|
|
|
|
Change in fair value 2016
|
|
|
— |
|
|
|
(646,505 |
) |
|
Conversion of notes payable June 24, 2015
|
|
|
(5,185,185 |
) |
|
|
(1,362,402 |
) |
|
|
|
|
|
|
|
|
|
|
Balance May 31, 2016
|
|
|
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|