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DERIVATIVE WARRANT LIABILITY FROM FINANCING AND CONVERTIBLE NOTE (Tables)
 12 Months Ended
Dec. 31, 2019
DERIVATIVE WARRANT LIABILITY FROM FINANCING AND CONVERTIBLE NOTE  
Schedule of key assumptions used in binomial tree model to estimate fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31,

 

December 31,

 

December 31,

 

Valuation Date

    

2019

    

2018

    

2017

 

Price of Common Shares

 

$

5.41

 

$

6.03

 

$

600.00

 

Dividend Yield

 

 

 0

%  

 

 0

%  

 

 0

%

Historical volatility of Common Shares

 

 

129.54

%  

 

141.96

%  

 

121.70

%

Historical volatility of index

 

 

11.65

%  

 

15.37

%  

 

14.43

%

Volatility input

 

 

70.59

%  

 

78.67

%  

 

68.07

%

Risk-free rate

 

 

1.79

%  

 

2.52

%  

 

2.20

%

Credit spread

 

 

23.00

%  

 

24.51

%  

 

34.24

%

 


 

 

 

 

 

 

 

 

Valuation Date

    

December 31,
2019

    

May 16,
2019

 

Price of Common Shares

 

$

5.41

 

$

49.46

 

Dividend Yield

 

 

 0

%

 

 0

%

Historical volatility of Common Shares

 

 

124.77

%

 

142.38

%

Historical volatility of index

 

 

13.76

%

 

15.66

%

Volatility input

 

 

69.26

%

 

79.02

%

Risk-free rate

 

 

1.65

%

 

2.13

%

Credit spread

 

 

27.15

%

 

19.64

%

 

Schedule of carrying amounts of derivative financial liabilities and convertible notes

The carrying amounts for the derivative warrant liability from financing are as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

 Series A Units

    

 Series B Units

    

Series E
Warrants

    

Total

Fair value, November 17, 2017

 

$

13,139,650

 

$

67,810,835

 

$

8,519,788

 

$

89,470,273

Add: Deferred loss

 

 

(7,054,787)

 

 

(36,408,201)

 

 

(1,669,271)

 

 

(45,132,259)

Amortization of deferred loss

 

 

390,379

 

 

2,067,557

 

 

41,732

 

 

2,499,668

Less:

 

 

 

 

 

 

 

 

 

 

 

 

Fair value adjustment on exercised warrants

 

 

 —

 

 

(511,122)

 

 

 —

 

 

(511,122)

Exercise of Series D Warrants

 

 

 —

 

 

(1,108,306)

 

 

 —

 

 

(1,108,306)

Fair value adjustment, December 31, 2017

 

 

(1,542,457)

 

 

(2,911,914)

 

 

(3,934,853)

 

 

(8,389,224)

Balance, Derivative financial liability December 31, 2017

 

$

4,932,785

 

$

28,938,849

 

$

2,957,396

 

$

36,829,030

Add:

 

 

 

 

 

 

 

 

 

 

 

 

Amortization of deferred loss

 

 

6,664,408

 

 

34,340,644

 

 

1,627,539

 

 

42,632,591

Less:

 

 

 

 

 

 

 

 

 

 

 

 

Exercise of 1,698,841 Series D Warrants

 

 

 —

 

 

(1,004,185)

 

 

 —

 

 

(1,004,185)

Exercise of 11,170,788 Series B Warrants

 

 

(303,919)

 

 

(6,250,110)

 

 

 —

 

 

(6,554,029)

Exercise of 21,041,660 Series F Warrants

 

 

 —

 

 

(26,552,270)

 

 

 —

 

 

(26,552,270)

Exercise of 14,505,580 Series B Warrants

 

 

(11,614,224)

 

 

(14,820,745)

 

 

 —

 

 

(26,434,969)

Exercise of 8,951,780 Series C Warrants

 

 

(833,987)

 

 

(3,371,375)

 

 

 —

 

 

(4,205,362)

Exercise of 1,389,846 Series F Warrants

 

 

 —

 

 

(2,532,855)

 

 

 —

 

 

(2,532,855)

Exercise of 500,000 Series C Warrants

 

 

 —

 

 

(253,887)

 

 

 —

 

 

(253,887)

Fair value adjustment, December 31, 2018

 

 

1,190,630

 

 

(8,411,543)

 

 

(4,512,848)

 

 

(11,733,761)

Balance, Derivative financial liability December 31, 2018

 

$

35,693

 

$

82,523

 

$

72,087

 

$

190,303

Less:

 

 

 

 

 

 

 

 

 

 

 

 

Exercise of 822,192 Series C Warrants

 

 

(5,638)

 

 

 —

 

 

 —

 

 

(5,638)

Fair value adjustment, March 31, 2019

 

 

(5,575)

 

 

(5,253)

 

 

(6,677)

 

 

(17,505)

 

 

 

 

 

 

 

 

 

 

 

 

 

Cancellation of 35,950,340 Series A Warrants

 

 

(24,480)

 

 

(77,270)

 

 

 —

 

 

(101,750)

Cancellation of 22,431,506 Series E Warrants

 

 

 —

 

 

 —

 

 

(65,410)

 

 

(65,410)

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, derivative warrant liability from financing December 31, 2019

 

$

 —

 

$

 —

 

$

 —

 

$

 —

 

The carrying amounts for the 2017 Notes and 2019 Notes are as follows:

 

 

 

 

 

 

2017

 

 

Convertible

 

    

Notes

Fair value, November 17, 2017

 

$

26,100,900

Add: Deferred loss

 

 

(5,113,917)

Amortization of deferred loss

 

 

852,319

Fair value adjustment, December 31, 2017

 

 

(1,831,743)

Balance, convertible notes December 31, 2017

 

$

20,007,559

Add:

 

 

 

Amortization of deferred loss

 

 

4,261,598

Less:

 

 

 

Exercise of 5,567,500 convertible notes

 

 

(5,146,924)

Exercise of 1,772,500 convertible notes

 

 

(1,536,596)

Exercise of 10,300,000 convertible notes

 

 

(13,872,312)

Fair value adjustment, December 31, 2018

 

 

10,904,011

Balance, convertible notes December 31, 2018

 

$

14,617,336

Less:

 

 

 

Exercise of 4,285,000 convertible notes

 

 

(4,188,713)

Fair value adjustment, March 31, 2019

 

 

825,047

Balance, convertible notes March 31, 2019

 

$

11,253,670

Less:

 

 

 

Exercise of 3,536,000 convertible notes

 

 

(4,323,427)

Fair value adjustment, June 30, 2019

 

 

2,033,280

Balance, convertible notes June 30, 2019

 

$

8,963,523

Less:

 

 

 

Exercise of 415,000 convertible notes

 

 

(497,430)

Fair value adjustment, September 30, 2019

 

 

(393,119)

Balance, convertible notes September 30, 2019

 

$

8,072,974

Less:

 

 

 

Exercise of 2,961,000 convertible notes

 

 

(4,086,368)

Fair value adjustment, December 31, 2019

 

 

1,413,583

Balance, convertible notes December 31, 2019

 

$

5,400,189

 

 

 

 

2017 Convertible Notes, current

 

$

5,400,189

2017 Convertible Notes, non-current

 

$

 —

 


 

 

 

 

 

    

2019 Convertible Notes

 

 

 

 

Fair value, May 16, 2019

 

$

9,775,000

Fair value adjustment, June 30, 2019

 

$

(732,631)

Balance, convertible notes June 30, 2019

 

$

9,042,369

Less:

 

 

  

Fair value adjustment, September 30, 2019

 

 

13,319

Balance, convertible notes September 30, 2019

 

$

9,055,688

Less:

 

 

  

Fair value adjustment, December 31, 2019

 

 

209,792

Balance, convertible notes December 31, 2019

 

$

9,265,480

 

 

 

 

2019 Convertible Notes, current

 

$

1,090,561

2019 Convertible Notes, non-current

 

$

8,174,919