Warrant Liabilities

3 Months Ended

12 Months Ended

Mar. 31, 2022

Dec. 31, 2021

Text Block [Abstract]

Warrant Liabilities

NOTE 11

WARRANT

LIABILITIES

		March 31, 2022		December 31, 2021
Derivative warrant liabilities - 2021 Debentures (a)	$	1,183,883	$	1,868,541
Derivative warrant liabilities - USD equity financing (b)		4,175,673		6,106,596
Warrant liability related to business acquisition (c)		701,226		709,835
Other warrant liability (c)		—		195,066
Total, all current	$	6,060,782	$	8,880,038

Derivative warrant

liabilities

The Company issued warrants in conjunction with debt and equity transactions. Certain of these warrants are classified as derivatives which are recognized as financial liabilities. At the issuance date and each reporting date until warrants are exercised, the fair value of the liability is remeasured, with changes in the fair value recorded as gains or losses in the consolidated statements of loss and comprehensive loss. There were no new derivative warrants issued or warrants exercised in the three months ended March 31, 2022. A description of the warrants issued in the year ended December 31, 2021, and the valuation thereof, are disclosed in Note 15 to the 2021 Annual Financial Statements.

Warrants associated with 2021

Debentures

The 2,107,787 common share purchase warrants entitle the holder to purchase one common share of the Company at an exercise price of US$6.87 and expire August 13, 2024. At March 31, 2022, the warrants were remeasured at a fair value of $1,183,883, resulting in a $656,001 gain on remeasurement. The fair value of derivative warrants at March 31, 2022 of $0.56 per warrant was calculated using the Black-Scholes option pricing model (“Black-Scholes model”) with the following inputs and assumptions: share price of $5.50, Canadian dollar equivalent exercise price of $8.61, risk free rate of 2.34%, expected life of 2.37 years, expected volatility of 42%, and no expected dividends. These warrants are classified as a Level 3 fair value measurement.

Warrants associated with USD equity

financing

The 2,415,000 common share purchase warrants entitle the holder to purchase one common share of the Company at an exercise price of US$4.75 and expire November 29, 2026. On February 15, 2022, these warrants commenced trading on the NASDAQ, under the symbol MCLDW, and as a result, these warrants are classified as a Level 1 fair value measurement (previously Level 3) at March 31, 2022 (Note 14(b)). At March 31, 2022, the warrants were remeasured at a fair value of $4,175,673, resulting in a $1,837,269 gain on remeasurement. The fair value of derivative warrants at March 31, 2022 of $1.73 per warrant was based on the closing price of the warrants.

Other warrant

liabilities

Warrant liability related to business acquisition

Associated with the acquisition of Agnity, the Company assumed a warrant liability whereby the holder of the warrant has the option to convert the warrant into shares of Agnity, not the Company, by April 15, 2022, or receive a cash payment of US$552,250 at any time before the expiry of the warrant. The liability is measured at the Canadian dollar equivalent to its cash redemption amount which varies as a function of movements in exchange rates. Subsequent to March 31, 2022, the holder of the warrant provided notice to Agnity that they intend to receive a cash repayment.

Warrant liability related to ATB Financial

At December 31, 2021, the Company had an obligation to issue warrants to ATB. The fair value of the warrants was measured at the date the services were received in the amount of $195,066. On Jan

y 17, 2022, the Company issued 183,486 share purchase warrants to ATB which gives them the ability to purchase an equivalent number of common shares of the Company at an exercise price of $5.45 per share, maturing one year from date of issuance (Note 12(b)).

NOTE 15 - WARRANT LIABILITIES



	December 31, 2021		December 31, 2020

Derivative warrant liabilities - 2021 Debentures (a)	$	1,868,541	$	–

Derivative warrant liabilities - USD equity financing (b)		6,106,596		–

Warrant liability related to business acquisition (c)		709,835		710,924

Other warrant liability (c)		195,066		–

Total, all current	$	8,880,038	$	710,924

Derivative

warrant liabilities

The Company issued warrants in conjunction with debt and equity transactions. Certain of these warrants are classified as derivatives which are recognized as financial liabilities. The estimated fair value of the derivative warrant liabilities has been calculated using the Black-Scholes model. At the issuance date and each reporting date until warrants are exercised, the fair value of the liability is remeasured, with changes in the fair value recorded as gains or losses in the consolidated statements of loss and comprehensive loss.

In conjunction with the USD equity offering described at (b) below, the Company agreed to list the warrants issued as part of the unit offering on the NASDAQ. On February 15, 2022, these warrants commenced trading under the symbol MCLDW (Note 31).

Derivative warrant liabilities are classified as a Level 3 fair value measurement as further described in Note 26. There were no exercises of the warrants described below since issuance.

a) Warrants associated with 2021 Debentures

On August 13, 2021, the Company issued 2,107,787 common share purchase warrants in conjunction with the conversion and extinguishment of the 2021 Debentures (Note 14(b); 19(b)). The common share purchase warrants entitle the holder to purchase one common share of the Company at an exercise price of US$6.87 and mature in August 2024. The fair value of the warrants at August 13, 2021 was $5,947,689.

At December 31, 2021, the warrants were remeasured at a fair value of $1,868,541 and the Company recorded a gain on remeasurement since initial recognition of $4,177,825. The Black-Scholes model inputs and assumptions include:



	December 31, 2021		August 13, 2021

Share price at date of valuation	$	6.18	$	6.90

Exercise price	$	8.74	$	8.74

Risk free rate		0.88 %		0.43 %

Expected life (years)		2.62		3.00

Expected volatility 1		45.0 %		71.5 %

Fair value per warrant 2	$	0.89	$	2.82

Expected volatility at December 31, 2021 measured at implied volatility of traded warrants.

Considers a liquidity discount of 20% in determining the fair value per warrant as these warrants are not publicly traded.

b) Warrants associated with USD equity financing

On November 29, 2021, the Company issued 2,415,000 common share purchase warrants in conjunction with the November 2021 USD unit offering (Note 19). The common share purchase warrants entitle the holder to purchase one common share of the Company at an exercise price of US$4.75 and mature five years after issuance. The fair value of the warrants at issuance was $5,302,004 (US4,158,396) and at December 31, 2021, the remeasured fair value was $6,106,596. The Black-Scholes model inputs and assumptions include:



	December 31, 2021		November 29, 2021

Share price at date of valuation	$	6.18	$	5.70

Exercise price	$	6.04	$	6.05

Risk free rate		1.25 %		1.18 %

Expected life (years)		4.92		5.00

Expected volatility 1		45.0 %		45.0 %

Fair value per warrant	$	2.53	$	2.19

Expected volatility at represents implied volatility of the Company’s traded warrants.

c)	Other warrant liabilities

Warrant liability related to business acquisition

- Associated with the acquisition of Agnity, the Company assumed a warrant liability whereby the holder of the warrant has the option to convert the warrant into shares of Agnity, not the Company, by April 15, 2022, or receive a cash payment of US$552,250 at any time before the expiry of the warrant. The liability is measured at the Canadian dollar equivalent to its cash redemption amount which varies as a function of movements in exchange rates.

Warrant liability related to ATB Financial

- At December 31, 2021, the Company had an obligation to issue warrants to ATB (Note 13). The fair value of the warrants was measured at the date the services were received in the amount of $195,066. On January 17, 2022, the Company issued 183,486 share purchase warrants to ATB to purchase an equivalent number of common shares of the Company at an exercise price of $5.45 per share, maturing one year from date of issuance (Note 31).