Summary of carrying value of derivative liabilities and the input used to estimate fair value |
The Company’s derivative liabilities included the following balances and changes in the carrying value of Warrants as of August 31, 2022:
| | | | | | | | | | | | | NUMBER OF WARRANTS | | AMOUNT | Balance - August 31, 2021 | 16,943,650 | | | $ | 35,019 | | | | | | Revaluation of Warrants | — | | | (30,881) | | | | | | | | | | Balance - August 31, 2022 | 16,943,650 | | | $ | 4,138 | |
The following inputs were used to estimate the fair value of the Warrants at August 31, 2022 and August 31, 2021:
| | | | | | | | | | | | | AUGUST 31, 2022 | | AUGUST 31, 2021 | Risk free interest rate | 3.64 | % | | 0.45 | % | Life of Warrants (years) | 1.20 | | 2.20 | Market price of Common Shares | $ | 1.42 | | | $ | 3.38 | | Expected future volatility of Common Shares | 77.30 | % | | 100.00 | % | Fair value per warrant | $ | 0.24 | | | $ | 2.07 | |
| | | | | | | | | | | | | NUMBER OF TOP-UP RIGHTS | | AMOUNT | Balance - August 31, 2021 | 6,558,539 | | | $ | 2,508 | | Granted | 3,979,098 | | | — | | Exercised | (2,659,716) | | | (4) | | Cancelled / Forfeited | (287,822) | | | — | | Revaluation of Top-up Rights | — | | | (1,769) | | Balance - August 31, 2022 | 7,590,099 | | | $ | 735 | |
The following inputs were used to estimate the fair value of the Top-up Rights at August 31, 2022, and August 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | August 31, 2022 | | STOCK OPTIONS | | WARRANTS | | PSUs | | RSUs | Average exercise price(1) | $0.60 - $9.53 | | $2.50 | | $— | | $— | Risk free interest rate | 3.15% - 3.71% | | 3.75% | | 3.16% | | 3.13% | Expected future volatility of Common Shares | 70.00% - 95.00% | | 70.00% | | 90.00% | | 85.00% | Expected life(1) | 1.34 - 5.12 | | 1.20 | | 4.91 | | 5.47 | Forfeiture rate | 10% | | —% | | 25% | | 6% |
| | | | | | | | | | | | | | | | | | | | | | | | | AUGUST 31, 2021 | | STOCK OPTIONS | | WARRANTS | | PSUs | | RSUs | Average exercise price(1) | $0.59 - $9.64 | | $2.50 | | $— | | $— | Risk free interest rate | 0.40% - 0.76% | | 0.46% | | 0.92% | | 0.88% | Expected future volatility of Common Shares | 90.00% - 110.00% | | 105.00% | | 85.00% | | 90.00% | Expected life(1) | 1.85 - 4.16 | | 2.20 | | 5.61 | | 5.18 | Forfeiture rate | 10% | | —% | | 25% | | —% | | | | | | | | | (1)Exercise price and expected life for stock options were determined using the range of exercise prices disclosed in Note 14(iv). |
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