Fair Value of Financial Assets and Liabilities (Tables)
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9 Months Ended |
Sep. 30, 2023 |
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| Schedule of Financial Assets Measured at Fair Value |
The following table presents information about the Company’s financial assets that were carried at fair value on a recurring basis on the condensed consolidated balance sheet as of September 30, 2023 and December 31, 2022 and indicates the fair value hierarchy of the valuation inputs utilized to determine such fair value.
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September 30, 2023 |
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Assets |
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Total |
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Level 1 |
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Level 2 |
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Level 3 |
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Short-term investments: |
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Commercial paper |
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$ |
4,734 |
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$ |
— |
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$ |
4,734 |
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$ |
— |
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U.S. Treasury and Agency bonds |
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26,342 |
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— |
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26,342 |
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— |
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$ |
31,076 |
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$ |
— |
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$ |
31,076 |
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$ |
— |
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December 31, 2022 |
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Assets |
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Total |
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Level 1 |
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Level 2 |
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Level 3 |
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Short-term investments: |
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Corporate bonds |
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$ |
7,781 |
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$ |
— |
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$ |
7,781 |
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$ |
— |
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Commercial paper |
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15,232 |
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— |
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15,232 |
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— |
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U.S. Treasury bonds |
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16,699 |
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— |
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16,699 |
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— |
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$ |
39,712 |
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$ |
— |
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$ |
39,712 |
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$ |
— |
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| Summary of Long Term Debt at Fair Value Hierarchy of Valuation Inputs Utilized to Determine Fair Value |
The following table presents information about the Company’s Exchangeable Notes, derivative liability and RLNs and indicates the fair value hierarchy of the valuation inputs utilized to determine the approximate fair value:
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September 30, 2023 |
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Book |
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Approximate |
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Liabilities |
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Value |
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Fair Value |
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Level 1 |
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Level 2 |
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Level 3 |
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Exchangeable Notes |
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Long-term exchangeable note |
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$ |
12,462 |
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$ |
12,569 |
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$ |
— |
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$ |
12,569 |
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$ |
— |
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Derivative liability - exchange option and change of control |
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75 |
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75 |
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— |
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— |
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75 |
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Revenue Futures |
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Royalty-linked notes |
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7,131 |
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7,131 |
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— |
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— |
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7,131 |
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Total |
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$ |
19,668 |
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$ |
19,775 |
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$ |
— |
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$ |
12,569 |
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$ |
7,206 |
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December 31, 2022 |
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Book |
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Approximate |
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Liabilities |
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Value |
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Fair Value |
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Level 1 |
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Level 2 |
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Level 3 |
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Exchangeable Notes |
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Long-term exchangeable note |
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$ |
10,094 |
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$ |
10,827 |
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$ |
— |
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$ |
10,827 |
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$ |
— |
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Derivative liability - exchange option and change of control |
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196 |
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196 |
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— |
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— |
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196 |
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Revenue Futures |
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Royalty-linked notes |
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18,372 |
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18,372 |
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— |
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— |
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18,372 |
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Total |
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$ |
28,662 |
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$ |
29,395 |
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$ |
— |
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$ |
10,827 |
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$ |
18,568 |
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| Summary of Changes in Fair Value of Derivative Liability |
The following table presents the changes in fair value of the Company's derivative liability for the nine months ended September 30, 2023:
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September 30, 2023 |
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Balance at December 31, 2022 |
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$ |
196 |
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Conversion of Exchangeable Notes |
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— |
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Adjustment to fair value |
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(121 |
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Balance at period end |
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$ |
75 |
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| Binomial Option Pricing Model |
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| Summary of Assumptions Used in Binomial Option Pricing Model to Estimate Fair Value of Derivative Liabilities |
The following summary table shows the assumptions used in the binomial option pricing model to estimate the fair value of the derivative liabilities:
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September 30, 2023 |
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December 31, 2022 |
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Share price |
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$ |
0.80 |
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$ |
0.84 |
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Market capitalization |
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$ |
10,445,874 |
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$ |
10,582,858 |
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Volatility |
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100 |
% |
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100 |
% |
Risk-free interest rate |
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5.34 |
% |
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4.46 |
% |
Dividend rate |
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0 |
% |
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0 |
% |
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