Fair Value of Financial Assets and Liabilities (Tables)
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12 Months Ended |
Dec. 31, 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 consolidated balance sheet as of December 31, 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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December 31, 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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Corporate bonds |
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$ |
1,179 |
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$ |
— |
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$ |
1,179 |
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$ |
— |
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Commercial paper |
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3,287 |
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— |
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3,287 |
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— |
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U.S. Treasury bonds |
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13,393 |
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— |
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13,393 |
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— |
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$ |
17,859 |
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$ |
— |
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$ |
17,859 |
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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 debt, 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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December 31, 2023 |
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Liabilities |
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Book Value |
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Approximate 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 notes |
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$ |
11,453 |
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$ |
11,645 |
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$ |
— |
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$ |
11,645 |
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$ |
— |
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Revenue Futures |
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Royalty-linked notes |
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7,503 |
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7,503 |
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— |
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— |
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7,503 |
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Total |
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$ |
18,956 |
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$ |
19,148 |
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$ |
— |
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$ |
11,645 |
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$ |
7,503 |
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December 31, 2022 |
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Liabilities |
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Book Value |
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Approximate 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 notes |
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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:
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2023 |
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2022 |
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Balance at January 1 |
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$ |
196 |
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$ |
6,058 |
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Conversion of Exchangeable Notes |
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(9 |
) |
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— |
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Adjustment to fair value |
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(187 |
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(5,862 |
) |
Balance at December 31 |
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$ |
— |
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$ |
196 |
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| Summary of Assumptions Used to Determine Fair Value of Options |
The range of assumptions that the Company used to determine the grant date fair value of employee and director options granted were as follows:
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Year Ended December 31, |
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2023 |
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2022 |
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2021 |
Volatility |
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100% |
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100 - 130% |
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120 - 140% |
Expected term in years |
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6.00 - 6.25 |
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5.50 - 6.25 |
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5.50 - 6.25 |
Dividend rate |
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0% |
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0% |
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0% |
Risk-free interest rate |
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3.55% - 3.67% |
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1.90 - 3.96% |
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0.90 - 1.42% |
Share price |
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$1.00 - $1.04 |
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$0.81-$6.72 |
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$0.48-$2.01 |
Fair value of option on grant date |
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$0.80 - $0.84 |
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$0.64-$5.95 |
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$0.45-$1.75 |
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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 exchange option:
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December 31,
2023 |
|
December 31,
2022 |
Share price |
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$1.97 |
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$0.84 |
Market capitalization |
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$26,593,036 |
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$10,582,858 |
Volatility |
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100% |
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100% |
Risk-free interest rate |
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4.20% |
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4.46% |
Dividend rate |
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0% |
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0% |
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