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Derivative Liabilities (Tables) | 6 Months Ended
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Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Reconciliation of Carrying Amounts | A reconciliation of the carrying amounts of the derivative liability is presented below:
| April 1, 2020 |  | (Gain) / Loss on revaluation |  | Exercise of Rights |  | Effect from foreign exchange |  | As of June 30, 2020
(a) Altria Warrant | $ | 132,366 |  |  | $ | 30,052 |  |  | $ | — |  |  | $ | 3,540 |  |  | $ | 165,958 |
(b) Pre-emptive Rights | 13,070 |  |  | 2,610 |  |  | — |  |  | 500 |  |  | 16,180 |
(c) Top-up Rights | 20,740 |  |  | 3,218 |  |  | (727) |  |  | 1,072 |  |  | 23,576 |
| $ | 166,176 |  |  | $ | 35,880 |  |  | $ | (727) |  |  | $ | 5,112 |  |  | $ | 205,714 |
| January 1, 2020 |  | (Gain) / Loss on revaluation |  | Exercise of Rights |  | Effect from foreign exchange |  | As of June 30, 2020
(a) Altria Warrant | $ | 234,428 |  |  | $ | (58,052) |  |  | $ | — |  |  | $ | (10,418) |  |  | $ | 165,958 |
(b) Pre-emptive Rights | 12,787 |  |  | 3,925 |  |  | — |  |  | (532) |  |  | 16,180 |
(c) Top-up Rights | 49,945 |  |  | (23,361) |  |  | (727) |  |  | (2,281) |  |  | 23,576 |
| $ | 297,160 |  |  | $ | (77,488) |  |  | $ | (727) |  |  | $ | (13,231) |  |  | $ | 205,714 |
Schedule of Fair Values of Derivative Liabilities | The fair values of the derivative liabilities were determined using the Black-Scholes pricing model as of June 30, 2020 and December 31, 2019 applying the following inputs:
| As of June 30, 2020 |  |  |  |  |  | As of December 31, 2019 |  |  |  |
| Altria Warrant |  | Pre-emptive Rights |  | Top-up Rights |  | Altria Warrant |  | Pre-emptive Rights |  | Top-up Rights
Share price at valuation date (per share in C$) | $8.18 |  | $8.18 |  | $8.18 |  | $9.97 |  | $9.97 |  | $9.97
Subscription price (per share in C$) | $19.00 |  | $16.25 |  | $16.25 |  | $19.00 |  | $16.25 |  | $16.25
Weighted average risk-free interest rate (i) | 0.30% |  | 0.29% |  | 0.26% |  | 1.69% |  | 1.73% |  | 1.71%
Weighted average expected life (in years) (ii) | 2.68 |  | 2.00 |  | 1.11 |  | 3.18 |  | 1.25 |  | 1.66
Expected annualized volatility (iii) | 91% |  | 91% |  | 91% |  | 82% |  | 82% |  | 82%
Expected dividend yield | —% |  | —% |  | —% |  | —% |  | —% |  | —%
(i) The risk-free interest rate was based on Bank of Canada government treasury bills and bonds with a remaining term equal to the expected life of the derivative liabilities. The risk-free interest rate uses a range of approximate ly 0.21% to 0.61% as of June 30, 2020 (December 31, 2019 – 1.66% to 1.73%) for the Pre-emptive rights and Top-up rights. (ii) The expected life in years represents the period of time that the derivative liabilities are expected to be outstanding. The expected life of the Pre-emptive Rights and Top-up Rights is determined based on the expected term of the underlying options, warrants, and shares, to which the Pre-emptive Rights and Top-up Rights are linked. The expected life uses a range of approximately 0.25 year to 5.5 year s as of June 30, 2020 (December 31, 2019 – 0.25 year to 6 years). (iii) Volatility was based on an equally weighted blended historical volatility level of the underlying equity securities of the Company and peer companies.
Schedule of Sensitivity Analysis | The following table quantifies each of the significant inputs described above and provides a sensitivity analysis of the impact on the reported values of the derivative liabilities. The sensitivity analysis for each significant input is performed by assuming a 10% decrease in the input while other significant inputs remain constant at management’s best estimate as of the respective dates. A decrease in the inputs noted below would cause a decrease in derivative liability and as of June 30, 2020, there would be an equal but opposite impact on net income (loss).
| Decrease as of June 30, 2020 |  |  |  |  |  |  | Decrease as of December 31, 2019 |  |  |  |
|  | Altria Warrant |  | Pre-emptive Rights |  | Top-up Rights |  | Altria Warrant |  | Pre-emptive Rights |  | Top-up Rights
Share price |  | $ | 26,300 |  |  | $ | 2,779 |  |  | $ | 4,939 |  |  | $ | 36,436 |  |  | $ | 2,743 |  |  | $ | 9,577 |
Weighted average expected life |  | 14,249 |  |  | 1,744 |  |  | 1,272 |  |  | 17,471 |  |  | 2,366 |  |  | 2,178 |
Expected annualized volatility |  | 27,711 |  |  | 2,652 |  |  | 4,769 |  |  | 33,343 |  |  | 2,180 |  |  | 7,714 |

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