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Derivative Liabilities
 3 Months Ended
Mar. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives and Fair Value [Text Block]
8.
Derivative Liabilities
 
 
 
 
 
 
 
 
 
 
 
Share Purchase Warrants
 
The Company has 10,000,000 share purchase warrants outstanding exercisable at $0.7831 per share and 8,000,000 share purchase warrants outstanding exercisable at $0.665 per share (the “Clay Group share purchase warrants”). The Company has an additional 6,317,700 share purchase warrants outstanding with an exercise price of C$2.00 per share. The share purchase warrants meet the definition of a derivative liability instrument as the exercise price is not a fixed price as described above. Therefore, the settlement feature does not meet the “fixed-for-fixed” criteria outlined in ASC 815-40-15.
 
The fair value of the derivative liabilities related to the share purchase warrants as at March 31, 2019 was $63 (December 31, 2018
–
$
76
). The derivative liabilities were calculated using the Black-Scholes pricing valuation model with the following weighted average assumptions:
  
Warrants derivative liabilities
 
March 31,
2019
 
 
December 31,
2018
 
Risk-free interest rate
 
 
1.37%
 
 
1.37%
Expected life of derivative liability
 
 
1.44 years
 
 
 
1.69 years
 
Expected volatility
 
 
173.18%
 
 
93.96%
Dividend rate
 
 
0.00%
 
 
0.00%
 
 
 
 
 
 
 
 
GQM LLC Warrants (Note 13(v))
 
In connection with the 2018 Credit Facility (Note 14(v)), GQM LLC issued 21,486 warrants (the “GQM LLC Warrants”), with each warrant entitling the holder to purchase a unit of GQM LLC for a period of five (5) years at an exercise price of $475.384 per unit.
The warrants are classified as a derivative liability due to a clause in the warrant agreement that offers the warrant holders price protection. The fair value of the derivative liabilities related to the warrants as at March 31, 2019 was $3,477 (December 31, 2018 - $3,314). The derivative liability was calculated using the Black-Scholes pricing valuation model.
 
GQM LLC Warrants derivative liability
 
March 31,

2019
 
 
December 31,

2018
 
Risk-free interest rate
 
 
2.23
%
 
 
2.65
%
Expected life of derivative liability
 
 
4.75 years
 
 
 
4.89 years
 
Expected volatility
 
 
20.00
%
 
 
20.00
%
Dividend rate
 
 
0.00
%
 
 
0.00
%
 
 
 
 
 
 
 
 
 
 
The change in the derivative liabilities is as follows:
 
 
 
March 31,

2019
 
 
December 31,

2018
 
Balance, beginning of the period
 
$
3,390
 
 
$
441
 
GQM LLC Warrants (Note 13(v))
 
 
-
 
 
 
3,314
 
Change in fair value
 
 
150
 
 
 
(365
)
Balance, end of the period
 
$
3,540
 
 
$
3,390