The
key inputs for the warrant liability were as follows as of March 18, 2022:
SCHEDULE OF KEY INPUTS FOR THE WARRANT LIABILITY
Key Valuation Inputs |
|
|
|
Expected term (years) |
|
|
5.50 |
|
Annualized volatility |
|
|
84.4 |
% |
Volatility if fundamental transaction occurs |
|
|
100.00 |
% |
Risk-free interest rate |
|
|
2.15 |
% |
Stock price |
|
$ |
8.00 |
|
Dividend yield |
|
|
0.00 |
% |
Exercise price |
|
$ |
8.60 |
|
Probability of fundamental transaction |
|
|
85 |
% |
Date of fundamental transaction (1)
|
|
|
2 years to 5.5 years |
|
|
1) |
The
fundamental transaction is simulated to occur 85% during one trading day through the 3.5-year period, 85% of the time. |
U.S.
GOLD CORP. AND SUBSIDIARIES
NOTES
TO CONSOLIDATED FINANCIAL STATEMENTS
APRIL
30, 2023
The
key inputs for the warrant liability were as follows as of April 10, 2023:
Key Valuation Inputs (2)
|
|
|
|
Expected term (years) |
|
|
5.50 |
|
Annualized volatility |
|
|
81.3 |
% |
Volatility if fundamental transaction occurs |
|
|
100.00 |
% |
Risk-free interest rate |
|
|
3.51 |
% |
Stock price |
|
$ |
5.23 |
|
Dividend yield |
|
|
0.00 |
% |
Exercise price |
|
$ |
6.16 |
|
Probability of fundamental transaction |
|
|
90 |
% |
Date of fundamental transaction (1)
|
|
|
1.0 years to 5.5 years |
|
|
1) |
The
fundamental transaction is simulated to occur 90% during one trading day through the 4.5-year period, 90% of the time. |
|
2) |
Applies to the modified warrants and warrants issued in April 2023 |
Subsequent
Measurement
The
key inputs for the warrant liability were as follows as of April 30, 2022:
Key Valuation Inputs |
|
|
|
Expected term (years) |
|
|
5.39 |
|
Annualized volatility |
|
|
84.2 |
% |
Volatility if fundamental transaction occurs |
|
|
100.00 |
% |
Risk-free interest rate |
|
|
2.92 |
% |
Stock price |
|
$ |
5.65 |
|
Dividend yield |
|
|
0.00 |
% |
Exercise price |
|
$ |
8.60 |
|
Probability of fundamental transaction |
|
|
85 |
% |
Date of fundamental transaction |
|
|
1.90 years to 5.4 years |
|
The
key inputs for the warrant liability were as follows as of April 30, 2023:
Key Valuation Inputs |
|
|
|
Expected term (years) |
|
|
5.45 |
|
Annualized volatility |
|
|
81.4 |
% |
Volatility if fundamental transaction occurs |
|
|
100.00 |
% |
Risk-free interest rate |
|
|
3.51 |
% |
Stock price |
|
$ |
4.31 |
|
Dividend yield |
|
|
0.00 |
% |
Exercise price |
|
$ |
6.16 |
|
Probability of fundamental transaction |
|
|
90 |
% |
Date of fundamental transaction |
|
|
1.00 years to 5.45 years |
|
|