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Derivative Liabilities (Tables)
 12 Months Ended
Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Reconciliation of Carrying Amounts
Reconciliations of the carrying amounts of the derivative liability are presented below:
As of January 1, 2020Gain on revaluationExercise of RightsEffect of FXAs of December 31, 2020
(a) Altria Warrant$234,428 $(95,045)$— $(525)$138,858 
(b) Pre-emptive Rights12,787 (885)— 193 12,095 
(c) Top-up Rights49,945 (33,324)(3,227)(937)12,457 
$297,160 $(129,254)$(3,227)$(1,269)$163,410 

As of March 8, 2019Gain on revaluationExercise of RightsEffect of FXAs of December 31, 2019
(a) Altria Warrant$1,086,920 $(869,630)$— $17,138 $234,428 
(b) Pre-emptive Rights92,548 (81,070)— 1,309 12,787 
(c) Top-up Rights386,152 (326,119)(15,478)5,390 49,945 
$1,565,620 $(1,276,819)$(15,478)$23,837 $297,160 
Schedule of Fair Values of Derivative Liabilities
The fair values of the derivative liabilities were determined using the Black-Scholes pricing model as of December 31, 2020 and December 31, 2019, applying the following inputs:
As of December 31, 2020
Altria WarrantPre-emptive RightsTop-up Rights
Share price at grant date (per share in C$)$8.84$8.84$8.84
Subscription price (per share in C$)$19.00$16.25$16.25
Weighted average risk-free interest rate(i)
0.21%0.17%0.13%
Weight average expected life (in years)(ii)
2.181.500.98
Expected annualized volatility(iii)
81%81%81%
Expected dividend yield0%0%0%

As of December 31, 2019
Altria WarrantPre-emptive RightsTop-up Rights
Share price at grant date (per share in C$)$9.97$9.97$9.97
Subscription price (per share in C$)$19.00$16.25$16.25
Weighted average risk-free interest rate(i)
1.69%1.73%1.71%
Weight average expected life (in years)(ii)
3.181.251.66
Expected annualized volatility(iii)
82%82%82%
Expected dividend yield0%0%0%
(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 0.10% to 0.39% as of December 31, 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 0.50 years to 5 years as of December 31, 2020 (December 31, 2019 – 0.25 years to 6 years).
(iii)    Volatility was based on the blended historical volatility levels 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. As of December 31, 2020, there would be an equal but opposite impact on net income (loss), refer to Note 15, and as of December 31, 2019, there would be an equal but opposite impact on share capital.
Decrease as of December 31, 2020
Altria WarrantPre-emptive RightsTop-up Rights
Share price at issuance date$25,819 $2,527 $2,989 
Weighted average expected life13,541 1,988 2,121 
Expected annualized volatility26,183 2,269 2,602 

Decrease as of December 31, 2019
Altria WarrantPre-emptive RightsTop-up Rights
Share price at issuance date$36,436 $2,743 $9,577 
Weighted average expected life17,471 2,366 2,178 
Expected annualized volatility33,343 2,180 7,714