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Derivative Liabilities (Tables)

6 Months Ended

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 approximately 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 years 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