Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Assets and Liabilities (Tables)

v3.20.2
Fair Value of Financial Assets and Liabilities (Tables)
6 Months Ended
Jun. 30, 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 June 30, 2020 and December 31, 2019 and indicates the fair value hierarchy of the valuation inputs utilized to determine such fair value.

 

June 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Other asset – advance payment to supplier

 

$

3,756

 

 

 

 

 

 

 

 

 

3,756

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 debt, Exchangeable Notes, Derivative liability and RLNs. The Company’s long-term debt were carried at amortized cost on the condensed consolidated balance sheet as of June 30, 2020 and December 31, 2019 and indicates the fair value hierarchy of the valuation inputs utilized to determine the approximate fair value:

 

June 30, 2020

 

Book

 

 

Approximate

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

Value

 

 

Fair Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Debt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current portion of long-term debt

 

$

5,930

 

 

$

5,930

 

 

 

 

 

 

5,930

 

 

 

 

Long-term debt, less current portion

 

 

5,366

 

 

 

5,079

 

 

 

 

 

 

5,079

 

 

 

 

Exchangeable Notes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term exchangeable note

 

 

15,565

 

 

 

28,578

 

 

 

 

 

 

28,578

 

 

 

 

Derivative liability - exchange option and change of control

 

 

25,371

 

 

 

25,371

 

 

 

 

 

 

 

 

 

25,371

 

Revenue Futures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current portion of royalty linked notes

 

 

53

 

 

 

53

 

 

 

 

 

 

 

 

 

53

 

Long-term royalty linked notes, less current portion

 

 

11,826

 

 

 

12,993

 

 

 

 

 

 

 

 

 

12,993

 

Total

 

$

64,111

 

 

$

78,004

 

 

 

 

 

 

39,587

 

 

 

38,417

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 Changes in Fair Value of Derivative Liability

The following table presents the changes in fair value of the Company's Derivative liability for the six months ended June 30, 2020:

Balance at December 31, 2019

$

 

Initial fair value upon issuance of the private placement

 

27,038

 

Adjustment to fair value

 

(1,667

)

Balance at June 30, 2020

$

25,371

 

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:

 

 

 

Six Months Ended June 30,

 

 

2020

 

2019

Volatility

 

90.3% - 99.5%

 

68.9% - 70.2%

Expected term in years

 

5.5 - 6.25

 

5.5 - 6.25

Dividend rate

 

0%

 

0%

Risk-free interest rate

 

0.18% - 0.78%

 

1.96% - 2.57%

Share price

 

$1.68 - $2.03

 

$5.80 - $6.80

Fair value of option on grant date

 

$1.27 - $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:

 

 

June 30, 2020

 

 

January 21, 2020

(Issuance Date)

 

Expected term in years

 

4.55

 

 

4.98

 

Volatility

 

 

120

%

 

 

80

%

Risk-free interest rate

 

 

0.29

%

 

 

1.57

%

Dividend rate

 

 

0

%

 

 

0

%

Discount rate

 

 

21

%

 

 

21

%