Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

v3.20.1
Derivative Liabilities (Tables)
 9 Months Ended
Feb. 29, 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 year end date May 31, 2019 and currenting reporting date February 29, 2020:
 
     Shares Indexed      Derivative Liability  
Inception to date September 15, 2016
      7,733,334      $ 5,179,200  
Balance May 31, 2019
      7,733,334        402,132  
Balance February 29, 2020
      4,666,667      $ 2,108,398  
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 February 29, 2020, using the following assumptions:
 
     September 15,
2016		     May 31,
2019		     February 29,
2020		  
Fair value of underlying stock
    $ 0.78     $ 0.39     $ 1.05  
Risk free rate
      1.20 %      1.94 %      0.93 % 
Expected term (years)
      5       2.29       1.55  
Stock price volatility
      106 %      61 %      87 % 
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 May 31, 2019:
 
                 May 31, 2019  
     November 15,
2018		     January 30,
2019		     June
Note		     January
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 % 
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 related to notes which fully converted during January 2020 as of inception dates November 15, 2018 and January 30, 2019 and the fair value as of May 31, 2019:
 
            Derivative Liability  
     Net Proceeds      Inception date      May 31, 2019  
Inception date June 2018 Note, November 15, 2018
    $ 5,000,000      $ 1,284,988      $ 847,103  
Inception date January 2019 Note, January 30, 2019
      5,000,000        1,465,008        1,158,034  
        
 
 
  
         $ 2,005,137