Annual report pursuant to Section 13 and 15(d)

WARRANT LIABILITY (Tables)

v3.23.2
WARRANT LIABILITY (Tables)
12 Months Ended
Apr. 30, 2023
Warrant Liability  
SCHEDULE OF KEY INPUTS FOR THE WARRANT LIABILITY

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  
SCHEDULE OF CHANGES IN FAIR VALUE OF LEVEL THREE WARRANT LIABILITY

The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the years ended April 30, 2023 and 2022:

 

SCHEDULE OF CHANGES IN FAIR VALUE OF LEVEL THREE WARRANT LIABILITY

    Warrant
Liability
 
Fair value as of April 30, 2021   $  
Initial fair value of warrant liability upon issuance     3,652,000  
Change in fair value of warrant liability     (1,212,000 )
Fair value as of April 30, 2022     2,440,000  
Initial fair value of warrant liability upon issuance     3,088,500  
Change in fair value due to modification of warrants     262,500  
Change in fair value of warrant liability     (1,560,150 )
Fair value as of April 30, 2023   $ 4,230,850