XML 90 R76.htm IDEA: XBRL DOCUMENT v3.22.0.1
DERIVATIVE WARRANT LIABILITY FROM FINANCING AND CONVERTIBLE NOTE (Details)
1 Months Ended 12 Months Ended
Feb. 12, 2021
USD ($)
$ / shares
May 28, 2020
USD ($)
$ / shares
shares
May 26, 2020
USD ($)
shares
May 16, 2019
USD ($)
derivative
$ / shares
shares
Nov. 17, 2017
USD ($)
$ / shares
shares
Dec. 31, 2017
USD ($)
Dec. 31, 2021
USD ($)
$ / shares
Dec. 31, 2020
USD ($)
$ / shares
Dec. 31, 2019
USD ($)
$ / shares
shares
May 28, 2021
$ / shares
Mar. 31, 2020
USD ($)
May 31, 2019
Dec. 31, 2018
USD ($)
Derivative financial liability and convertible note                          
Issue price per unit | $ / shares $ 2.00                        
Gross proceeds from issue of units $ 72,000,000                        
Proceeds from exercise of warrants             $ 1,078,623 $ 4,973,035 $ 1,200,400        
Treasury shares issued | shares                 3,573        
Fair value of warrants $ 1,898,959           9,898,475           $ 190,303
Proceeds from issuing shares               5,000,000 $ 11,483,496        
Repayment of 2017 convertible note               2,897,000          
Repayment of 2019 convertible note               4,877,225          
2017 Convertible notes                          
Derivative financial liability and convertible note                          
Aggregate principal amount         $ 32,750,000                
Original issue price of note             850            
Principal amount of note             $ 1,000            
Term of Notes             18 months            
Interest rate             0.00%            
Interest rate upon an event of default             15.00%            
Number of days considered for computing interest             360 days            
Percentage of VWAP used to calculate conversion price             85.00%            
Trading period considered for calculating VWAP             10 days            
Fair value of warrants         26,100,900       $ 5,400,189   $ 3,783,494   $ 14,617,336
Deferred loss           $ 5,113,917              
Price of Neovasc common share (in dollars per share) | $ / shares                 $ 5.41        
Dividend Yield (as a percent)                 0.00%        
Historical volatility of Neovasc common share (as a percent)                 129.54        
Historical volatility of index (as a percent)                 11.65%        
Volatility input (as a percent)                 70.59%        
Risk-free rate (as a percent)                 1.79%        
Credit spread (as a percent)                 23.00%        
Repayment of 2017 convertible note     $ 2,897,000                    
Principal amount         $ 32,750,000                
2019 Convertible notes                          
Derivative financial liability and convertible note                          
Fair value of warrants       $ 9,775,000     $ 6,587,429 $ 6,195,357 $ 9,265,480        
Price of Neovasc common share (in dollars per share) | $ / shares       $ 49.46     $ 0.47 $ 0.95 $ 5.41        
Dividend Yield (as a percent)       0.00%     0.00% 0.00% 0.00%        
Historical volatility of Neovasc common share (as a percent)       142.38     93.47 103.42 124.77        
Historical volatility of index (as a percent)       15.66%     13.44% 23.11% 13.76%        
Volatility input (as a percent)       79.02%     53.45% 63.26% 69.26%        
Risk-free rate (as a percent)       2.13%     0.67% 0.19% 1.65%        
Credit spread (as a percent)       19.64%     14.89% 18.18% 27.15%        
Original issue discount       $ 1,725,000                  
Maximum total outstanding common shares convertible       19.99%                  
Number of embedded derivatives | derivative       2                  
Convertible common shares issued | shares     500,014                    
Warrants Issued | shares     500,000                    
2019 Convertible notes | For the first year after the closing date                          
Derivative financial liability and convertible note                          
Interest rate                       8.00%  
Interest rate, payable in cash                       5.00%  
2019 Convertible notes | After the first year and until maturity                          
Derivative financial liability and convertible note                          
Interest rate                       10.00%  
Interest rate, payable in cash                       7.00%  
2019 Convertible notes | Prepaid prior to the 1st anniversary of issuance                          
Derivative financial liability and convertible note                          
Prepayment penalties (as a percent)       3.00%                  
2019 Convertible notes | Prepaid between the 1st and 2nd anniversaries of issuance                          
Derivative financial liability and convertible note                          
Prepayment penalties (as a percent)       2.00%                  
2019 Convertible notes | Prepaid after the 2nd anniversary                          
Derivative financial liability and convertible note                          
Prepayment penalties (as a percent)       1.00%                  
2019 Convertible notes | Prior to the 2nd anniversary of issuance                          
Derivative financial liability and convertible note                          
Conversion price fluctuation (in dollars per share) | $ / shares       $ 7.50                  
2019 Convertible notes | Between the 2nd and 3rd anniversaries of issuance                          
Derivative financial liability and convertible note                          
Conversion price fluctuation (in dollars per share) | $ / shares       8.50                  
2019 Convertible notes | 3rd anniversary of issuance                          
Derivative financial liability and convertible note                          
Conversion price fluctuation (in dollars per share) | $ / shares       $ 9.70                  
2020 Convertible Notes                          
Derivative financial liability and convertible note                          
Aggregate principal amount   $ 5,000,000                      
Interest rate   8.00%                      
Number of days considered for computing interest   360 days                      
Fair value of warrants   $ 6,449,634                      
Deferred loss   $ 3,511,670                      
Price of Neovasc common share (in dollars per share) | $ / shares             $ 0.47 $ 0.95   $ 2.86      
Dividend Yield (as a percent)             0.00% 0.00%   0.00%      
Historical volatility of Neovasc common share (as a percent)             91.91 116.72   127.50      
Historical volatility of index (as a percent)             21.86% 20.74%   18.91%      
Volatility input (as a percent)             56.89% 68.73%   73.21%      
Risk-free rate (as a percent)             1.02% 0.26%   0.32%      
Credit spread (as a percent)             11.13% 14.42%   19.35%      
Convertible common shares issued | shares   1,776,041                      
Principal amount   $ 5,000,000                      
Convertible price per share | $ / shares   $ 2.815                      
Period of Maturity date arising after issuance with holder option for early redemption at 24 months   48 months                      
Holding of shares for eligible of conversion of notes into shares (as a percentage)   9.99%                      
2020 Convertible Notes | Option premia in first year                          
Derivative financial liability and convertible note                          
Change of control redemption option with option premia (as a percentage)   125.00%                      
2020 Convertible Notes | Option premia in second year                          
Derivative financial liability and convertible note                          
Change of control redemption option with option premia (as a percentage)   115.00%                      
2020 Convertible Notes | Option premia in third year                          
Derivative financial liability and convertible note                          
Change of control redemption option with option premia (as a percentage)   105.00%                      
2020 Convertible Notes | Option premia thereafter                          
Derivative financial liability and convertible note                          
Change of control redemption option with option premia (as a percentage)   100.00%                      
Series A and Series B Units                          
Derivative financial liability and convertible note                          
Issue price per unit | $ / shares         $ 1.46                
Gross proceeds from issue of units         $ 37,487,497                
Series A Units                          
Derivative financial liability and convertible note                          
Number of units issued | shares         6,609,588                
Number of common shares comprised in a unit | shares         0.001                
Series B Units                          
Derivative financial liability and convertible note                          
Number of units issued | shares         19,066,780                
Number of common shares comprised in a unit | shares         0.001                
Total common shares issued as a part of unit | shares         15,493                
Series C Units                          
Derivative financial liability and convertible note                          
Number of common shares comprised in a unit | shares         0.001                
Private placement | 2019 Convertible notes                          
Derivative financial liability and convertible note                          
Aggregate principal amount       $ 11,500,000                  
Original issue discount       15.00%                  
Gross proceeds from issuing debt       $ 9,775,000                  
Common shares issued | shares       334,951                  
Price per share | $ / shares       $ 5.15                  
Proceeds from issuing shares       $ 1,725,000                  
Principal amount       $ 11,500,000                  
Series A Warrants | Series A Units                          
Derivative financial liability and convertible note                          
Number of warrants comprised in a unit | shares         1                
Exercise price per warrant | $ / shares         $ 1,610                
Maturity period of warrants         5 years                
Series A Warrants | Series B Units                          
Derivative financial liability and convertible note                          
Number of warrants comprised in a unit | shares         1                
Series A Warrants | Series C Units                          
Derivative financial liability and convertible note                          
Number of warrants comprised in a unit | shares         1                
Series B Warrants                          
Derivative financial liability and convertible note                          
Number of common shares comprised in a unit | shares         0.001                
Series B Warrants | Series A Units                          
Derivative financial liability and convertible note                          
Exercise price per warrant | $ / shares         $ 1,610                
Maturity period of warrants         2 years                
Series B Warrants | Series B Units                          
Derivative financial liability and convertible note                          
Number of warrants comprised in a unit | shares         1                
Series B Warrants | Series C Units                          
Derivative financial liability and convertible note                          
Number of warrants comprised in a unit | shares         1                
Series C Warrants | Series A Units                          
Derivative financial liability and convertible note                          
Number of warrants comprised in a unit | shares         0.40                
Exercise price per warrant | $ / shares         $ 1.46                
Maturity period of warrants         2 years                
Series C Warrants | Series B Units                          
Derivative financial liability and convertible note                          
Number of warrants comprised in a unit | shares         0.40                
Series D Warrants                          
Derivative financial liability and convertible note                          
Number of warrants exercised | shares                 3,573,830        
Proceeds from exercise of warrants                 $ 35,738        
Series D Warrants | Series B Units                          
Derivative financial liability and convertible note                          
Number of warrants comprised in a unit | shares         1                
Exercise price per warrant | $ / shares         $ 1,460                
Nominal exercise price per warrant | $ / shares         $ 0.001                
Maturity period of warrants         5 years                
Total warrants issued as a part of unit | shares         3,573,830                
Series E Warrants | 2017 Convertible notes                          
Derivative financial liability and convertible note                          
Gross proceeds         $ 27,837,500                
Number of common shares per warrant | shares         1                
Series E Warrants | Series A and Series B Units                          
Derivative financial liability and convertible note                          
Fair value of warrants             $ 89,470,273            
Deferred loss             $ 45,132,259            
Series F Warrants                          
Derivative financial liability and convertible note                          
Number of common shares comprised in a unit | shares         0.001                
Series F Warrants | Series B Units                          
Derivative financial liability and convertible note                          
Number of warrants comprised in a unit | shares         1.1765                
Exercise price per warrant | $ / shares         $ 1,610                
Maturity period of warrants         2 years                
2020 Warrants                          
Derivative financial liability and convertible note                          
Warrants Issued | shares   2,573,959                      
Exercise price of warrants | $ / shares   $ 2.634                      
Warrants term   4 years