Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Assets and Liabilities (Tables)

Fair Value of Financial Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020 and December 31, 2019 and indicates the fair value hierarchy of the valuation inputs utilized to determine such fair value.

March 31, 2020
Assets	Total		Level 1		Level 2		Level 3
Other asset – advance payment to supplier	$	3,734		—		—		3,734

December 31, 2019
Assets	Total		Level 1		Level 2		Level 3
Other asset – advance payment to supplier	$	3,884		—		—		3,884

Summary of Long-term Debt Carried at Amortized Cost on Condensed Consolidated Balance Sheet

The following table presents information about the Company’s long-term debt, Exchangeable Notes, Derivative liabilities and RLNs. The Company’s long-term debt was carried at amortized cost on the condensed consolidated balance sheet as of March 31, 2020 and December 31, 2019 and indicates the fair value hierarchy of the valuation inputs utilized to determine the approximate fair value:

March 31, 2020	Book		Approximate
Liabilities	Value		Fair Value		Level 1		Level 2		Level 3
Debt
Current portion of long-term debt	$	5,867	$	5,867		—		5,867		—
Long-term debt, less current portion		6,122		5,837		—		5,837		—
Exchangeable Notes
Long-term exchangeable note		12,725		27,099		—		27,099		—
Derivative liability - exchange option		25,359		25,359		—		—		25,359
Revenue Futures
Current portion of royalty linked notes		50		50		—		—		50
Long-term royalty linked notes, less current portion		10,965		11,880		—		—		11,880
Total	$	61,088	$	76,092		—		38,803		37,289

December 31, 2019	Book		Approximate
Liabilities	Value		Fair Value		Level 1		Level 2		Level 3
Current portion of long-term debt	$	5,800	$	5,800		—		5,800		—
Long-term debt, less current portion		7,625		7,213		—		7,213		—
Total	$	13,425	$	13,013		—		13,013		—

Summary of Assumptions Used to Determine Fair Value of Options

The assumptions that the Company used to determine the grant date fair value of employee and director options granted were as follows, presented on a weighted average basis:

	Three Months Ended March 31,
	2020		2019
Volatility	90.3%		69.5% - 70.2%
Expected term in years		6.25		6.25
Dividend rate	0%		0%
Risk-free interest rate	0.78%		2.44% - 2.57%
Share price	$2.03		$5.80 - $6.80
Fair value of option on grant date	$1.52		$3.74 - $4.41

Black-Scholes and Binomial Lattice Pricing Models

Summary of Assumptions Used to Determine Fair Value of Options

The following summary table shows the assumptions used in the Black-Scholes and binomial lattice pricing models to estimate the fair value of the exchange option:

	March 31, 2020			January 21, 2020 (Issuance Date)
Expected term in years	4.79			4.98
Volatility		100	%		80	%
Risk-free interest rate		0.37	%		1.57	%
Dividend rate		0	%		0	%
Discount rate		22	%		21	%