Note 11 - Derivative Warrant Liabilities

12 Months Ended

Mar. 31, 2022

Notes To Financial Statements [Abstract]

11. Derivative warrant liabilities

In connection with the Canadian public offering of units consisting of common shares and warrants that closed on May 9, 2018, the Corporation issued a total of 1,369,937 warrants. Each warrant entitles the holder thereof to acquire one common share at an exercise price of CAD $10.48 at any time until May 9, 2023. The warrants issued are derivative warrant liabilities given the warrant indenture contains certain contingent provisions that allow for cash settlement.

In connection with the U.S. public offering units consisting of common shares and warrants that closed on December 27, 2017, the Corporation issued a total of 1,225,366 warrants. Each warrant entitles the holder thereof to acquire one common share at an exercise price of $10.08 at any time until December 27, 2022. The warrants issued 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, 2022			March 31, 2021		March 31, 2022			March 31, 2021
	$			$		$			$
Balance – beginning of year		2,597			1,146		2,622			1,247
Change in fair value		(2,580	)		1,252		(2,622	)		1,174
Translation effect		(7	)		199		—			201
Balance – end of year		10			2,597		—			2,622

Fair value per warrant issuable		0.01			3.15		—			2.97

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, 2022			March 31, 2021			March 31, 2022			March 31, 2021
	$			$			$			$
Exercise price	CAD $10.48			CAD $10.48			USD $10.08			USD $10.08
Share price	CAD $1.54			CAD $6.08			USD $1.22			USD $4.80
Risk-free interest		2.39	%		1.39	%		2.41	%		0.92	%
Contractual life (years)		1.11			2.11			0.74			1.74
Expected volatility		81.56	%		156.00	%		85.94	%		171.12	%

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 11).

As at March 31, 2022, 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 have a nominal impact.