Annual report pursuant to Section 13 and 15(d)

Note 11 - Derivative Warrant Liabilities

v3.20.2
Note 11 - Derivative Warrant Liabilities
12 Months Ended
Mar. 31, 2020
Notes to Financial Statements  
Derivative Instruments and Hedging Activities Disclosure [Text Block]
11.
Derivative warrant liabilities:
 
The warrants issued as part of the public offering of units composed of Common Shares and Common Share purchase warrants on
May 9, 2018
and
May 14, 2018 (
see note
13
) are derivative warrant liabilities given the warrant indenture contains certain contingent provisions that allow for cash settlement.
 
Warrants issued as part of a public offering of units composed of Common Shares and Common Share purchase warrants on
December 27, 2017
are derivative warrant liabilities given the currency of the exercise price is different from the Corporation’s functional currency.
 
The derivative warrant liabilities are measured at fair value at each reporting period and the reconciliation of changes in fair value is presented in the following tables:
 
    Warrants issued May 2018     Warrants issued December 27, 2017  
    March 31,
2020
    March 31,
2019
    March 31,
2020
    March 31,
2019
 
    $     $     $     $  
Balance – beginning of year    
6,177
     
-
     
6,005
     
4,987
 
Issued during the year    
-
     
3,323
     
-
     
-
 
Amount transferred to Equity    
(6,072
)    
(550
)    
(4,770
)    
-
 
Change in fair value    
1,115
     
3,579
     
1
     
1,166
 
Translation effect    
(35
)    
(175
)    
(28
)    
(147
)
                                 
Balance – end of year    
1,185
     
6,177
     
1,208
     
6,006
 
                                 
Fair value per warrant issuable    
0.17
     
0.62
     
0.18
     
0.63
 
 
The fair value of the derivative warrant liabilities was estimated using the Black-Scholes option pricing model and based on the following assumptions:
 
    Warrant liabilities issued May 2018     Warrant liabilities issued December 27, 2017  
   
March 31,
220
$
   
March 31,
219
$
    March 31,
2020
$
    March 31,
2019
$
 
Exercise price  
CAD $1.31
   
CAD $1.31
   
USD $1.26
   
USD $1.26
 
Share price  
CAD $0.53
   
CAD $1.35
   
USD $0.38
   
USD $1.02
 
Risk-free interest    
0.66
%    
1.52
%    
0.37
%    
2.23
%
Contractual life (years)    
3.11
     
4.11
     
2.74
     
3.75
 
Expected volatility    
107
%    
94.58
%    
125.03
%    
107.57
%
 
The Corporation measured its derivative warrant liabilities at fair value on a recurring basis. These financial liabilities were measured using level
3
inputs (see Note
13
)
.
 
As at
March 31, 2020,
the effect of an increase or a decrease of
5%
of the volatility used, which is the significant unobservable input in the fair value estimate, would result in a loss of
$167
or a gain of
$173,
respectively.
 
As at
March 31, 2020,
the effect of a
5%
strengthening of the U.S. dollar against the Canadian dollar, would result in a loss of
$
88
.
An assumed
5%
weakening of the U.S. dollar against the Canadian dollar would have an equal but opposite effect on the basis that all other variables remained constant.