Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Assets and Liabilities

v3.24.3
Fair Value of Financial Assets and Liabilities
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value of Financial Assets and Liabilities

3. Fair Value of Financial Assets and Liabilities

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, 2024 and December 31, 2023 and indicates the fair value hierarchy of the valuation inputs utilized to determine such fair value.

 

September 30, 2024

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Short-term investments:

 

 

 

 

 

 

 

 

 

 

 

 

  U.S. Treasury bonds

 

$

1,096

 

 

$

—

 

 

$

1,096

 

 

$

—

 

 

 

$

1,096

 

 

$

—

 

 

$

1,096

 

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2023

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Short-term investments:

 

 

 

 

 

 

 

 

 

 

 

 

  Corporate bonds

 

$

1,179

 

 

$

—

 

 

$

1,179

 

 

$

—

 

  Commercial paper

 

 

3,287

 

 

 

—

 

 

 

3,287

 

 

 

—

 

  U.S. Treasury bonds

 

 

13,393

 

 

 

—

 

 

 

13,393

 

 

 

—

 

 

 

$

17,859

 

 

$

—

 

 

$

17,859

 

 

$

—

 

 

See Note 4 for details on the short-term investments. The carrying amounts reported in the condensed consolidated balance sheets for prepaid expenses and other current assets, accounts payable, accrued expenses and other current liabilities approximate their fair value based on the short-term maturity of these instruments.

The following table presents information about the Company’s Exchangeable Notes and RLNs and indicates the fair value hierarchy of the valuation inputs utilized to determine the approximate fair value:

 

September 30, 2024

 

Book

 

 

Approximate

 

 

 

 

 

 

 

 

 

 

Short-term Liabilities

 

Value

 

 

Fair Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Exchangeable Notes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exchangeable note

 

$

13,708

 

 

$

13,744

 

 

$

—

 

 

$

13,744

 

 

$

—

 

Total short-term liabilities

 

$

13,708

 

 

$

13,744

 

 

$

—

 

 

$

13,744

 

 

$

—

 

Long-term Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Revenue Futures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Royalty-linked notes

 

 

8,728

 

 

 

8,728

 

 

 

—

 

 

 

—

 

 

 

8,728

 

Total long-term liabilities

 

$

8,728

 

 

$

8,728

 

 

$

—

 

 

$

—

 

 

$

8,728

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2023

 

Book

 

 

Approximate

 

 

 

 

 

 

 

 

 

 

Long-term Liabilities

 

Value

 

 

Fair Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Exchangeable Notes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term exchangeable note

 

$

11,453

 

 

$

11,645

 

 

$

—

 

 

$

11,645

 

 

$

—

 

Revenue Futures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Royalty-linked notes

 

 

7,503

 

 

 

7,503

 

 

 

—

 

 

 

—

 

 

 

7,503

 

Total long-term liabilities

 

$

18,956

 

 

$

19,148

 

 

$

—

 

 

$

11,645

 

 

$

7,503

 

The fair value of Exchangeable Notes was determined using DCF analysis using the fixed interest rate outlined in the indenture governing the Exchangeable Notes (Exchangeable Notes Indenture), without consideration of transaction costs, which represents a Level 2 basis of fair value measurement.

The Level 3 liabilities held as of September 30, 2024 consist of a separate financial instrument, that was issued as part of the Units, the RLNs (see Note 10 – Royalty-Linked Notes).

At any time on or after January 21, 2021, subject to specified limitations, the Exchangeable Notes are exchangeable for the Company’s ordinary shares, cash or a combination of ordinary shares and cash, at an exchange rate of 175.2191 shares per $1,000 of principal and interest on the Exchangeable Notes (equivalent to an exchange price of approximately $5.707 per ordinary share) as of September 30, 2024, which was adjusted from an initial exchange rate of 66.666 shares per $1,000 principal and interest on the Exchangeable Notes (equivalent to an initial exchange price of $15.00 per ordinary share) and is subject to further adjustment pursuant to the terms of the Exchangeable Notes Indenture. Beginning on January 21, 2021 to September 30, 2024, certain noteholders of $40,691 aggregate principal amount of Exchangeable Notes have exchanged their notes for an aggregate of 3,760,155 of the Company’s ordinary shares, which included accrued and unpaid interest relating to such notes. The aggregate principal amount of Exchangeable Notes outstanding as of September 30, 2024 was $11,117. The fair value of the exchange option at September 30, 2024 was $0.

The RLN liability is carried at fair value on the condensed consolidated balance sheet (see Note 10 – Royalty-Linked Notes). The total fair value of $8,728 was determined using DCF analysis, without consideration of transaction costs, which represents a Level 3 basis of fair value measurement. The key inputs to valuing the RLNs were the terms of the indenture governing the RLNs (the RLN Indenture), the expected cash flows to be received by holders of the RLNs based on management’s revenue forecasts of U.S. sulopenem sales and a risk-adjusted discount rate to derive the net present value of expected cash flows. The RLNs will be subject to a maximum return amount, including all principal and payments and certain default interest in respect of uncurable defaults, of $160.00 (or 4,000 times the principal amount of such note). The discount rate applied to the model was 22%. Fair value measurements are highly sensitive to changes in these inputs and significant changes in these inputs could result in a significantly higher or lower fair value.

There have been no transfers of assets or liabilities between the fair value measurement levels.