XML 105 R41.htm IDEA: XBRL DOCUMENT v3.7.0.1
CAPITAL STOCK (Tables)
 12 Months Ended
Dec. 31, 2016
Stockholders' Equity Note [Abstract]  
Schedule of Share-based Payment Award, Stock Options, Valuation Assumptions
The following weighted average assumptions were used for the Black-Scholes option pricing model to calculate the less than $0.00 million of fair value for the 1,224,000 warrants at December 31, 2016.
Risk-free rate
0.44%
Expected life
0.1 years
Expected volatility
24.7%*
Expected dividend yield
0%
The following weighted average assumptions were used for the Black-Scholes option pricing model to calculate the $2.09 million of fair value for the 2,515,625 warrants issued in connection with the public offering in March 2016.
Risk-free rate
1.15%
Expected life
3.0 years
Expected volatility
106.0%*
Expected dividend yield
0%
*
Expected volatility is measured based on the Company’s historical share price volatility over the expected life of the warrants.
The following weighted average assumptions were used for the Black-Scholes option pricing model to calculate the $0.81 million of fair value for the 2,515,625 warrants at December 31, 2016.
Risk-free rate
1.2%
Expected life
2.2 years
Expected volatility
98.2%*
Expected dividend yield
0%


*
Expected volatility is measured based on the Company’s historical share price volatility over the expected life of the warrants.
The following weighted average assumptions were used for the Black-Scholes option pricing model to calculate the $3.17 million of fair value for the 4,168,750 warrants issued in connection with the public offering in September 2016.
Risk-free rate
1.2%
Expected life
5.0 years
Expected volatility
145.2%*
Expected dividend yield
0%
*
Expected volatility is measured based on the Company’s historical share price volatility over the expected life of the warrants.
 
 
Risk-free interest rate
0.0% to 2.35%

Expected life
0.05 years to 10 years

Expected volatility
18.47 to 93.31%*

Expected dividend yield
0
%
Weighted-average expected life of option
4.52

Weighted-average grant date fair value
$1.89
*
Expected volatility is measured based on the Company’s historical share price volatility over a period equivalent to the expected life of the options.

2016
 
2015
 
2014
Risk-free interest rate
1.03% - 1.43%

 
0.87
%
 
1.6
%
Expected life
5.0 years

 
5.0 years

 
5.0 years

Expected volatility
64.7% -74.8%*

 
75.1%*

 
81%*

Expected dividend yield
0
%
 
0
%
 
0
%
Weighted-average expected life of option
5.00

 
4.99

 
5.00

Weighted-average grant date fair value
$1.22 - $1.23

 
2.64

 
5.27

*
Expected volatility is measured based on the Company’s historical share price volatility over a period equivalent to the expected life of the options.
Schedule of Stockholders' Equity Note, Warrants or Rights
The following table summarizes the Company’s share purchase warrants denominated in USD. These warrants are accounted for as derivative liabilities as the functional currency of the entity issuing the warrants is Cdn$.
Month Issued
Expiry Date
 
Exercise Price
USD$
 
Warrants
Outstanding
 
Fair value at
December 31, 2016
June 2015 (1, 3)
January 25, 2017
 
6.28

 
1,224,000

 
—

March 2016 (1)
March 14, 2019
 
3.20

 
2,515,625

 
807

September 2016 (2)
September 20, 2021
 
2.45

 
4,168,750

 
3,105

 
 
 
 
 
 
 
$
3,912

(1) These US dollar based warrants are classified as Level 2 under the fair value hierarchy (Note 13).
(2) These US dollar based warrants are classified as Level 1 under the fair value hierarchy as they are traded on an active market.
(3) These warrants expired unexercised on January 25, 2017.
The following table summarizes the Company’s share purchase warrants denominated in Cdn$:
Month Issued
Expiry Date
 
Exercise Price
Cdn$
 
Warrants
Outstanding
June 2012(1)
June 22, 2017
 
13.25
 
351,025

June 2013(1)
June 15, 2017
 
9.50
 
456,948

(1)
The expiration date for these warrants was extended by one year on March 24, 2016. The Company assessed the valuation using Black Scholes and determined there was no additional value to the warrants due to the extension of the expiry date.