CytoDyn Inc. Annual report pursuant to Section 13 and 15(d)

Derivative Liabilities (Tables)

Derivative Liabilities (Tables)

12 Months Ended

May 31, 2021

Schedule of Derivative Liabilities at Fair Value

The following table summarizes the fair value of the warrant derivative liability and related common shares as of inception date (September 15, 2016), May 31, 2019 and May 31, 2020 (in thousands):


	Shares indexed	Derivative liability
Inception 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	—	$	—

Assumptions used in Estimating Fair Value

The Company estimated the fair value of the warrant derivative liability as of inception date (September 15, 2016), and May 31, 2019 using the following assumptions:



	September 15, 2016			May 31, 2019
Fair value of underlying stock	$	0.78		$	0.39
Risk free rate		1.20	%		1.94	%
Expected term (in years)		5			2.29
Stock price volatility		106	%		61	%
Expected dividend yield		—			—
Probability of fundamental transaction		50	%		50	%
Probability of holder requesting cash payment		50	%		50	%

Redemption Provision Embedded Derivative

Derivative [Line Items]

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 and January 30, 2019, and May 31, 2019 (in thousands):


			Derivative liability
	Net proceeds		Inception date		May 31, 2019
Inception date June 2018 Note, November 15, 2018	$	5,000	$	1,285	$	847
Inception date January 2019 Note, January 30, 2019		5,000		1,465		1,158
Total					$	2,005

Assumptions used in Estimating Fair Value


							May 31, 2019
	November 15,			January 30,			June 2018			January 2019
	2018			2019			Note			Note
Fair value of underlying stock	$	0.57		$	0.49		$	0.39		$	0.39
Risk free rate		2.78	%		2.52	%		2.21	%		1.95	%
Expected term (in years)		1.61			2			1.07			1.67
Stock price volatility		58.8	%		61	%		62.2	%		62.2	%
Expected dividend yield		—			—			—			—
Discount factor		85	%		85	%		85	%		85	%