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)

9 Months Ended

Sep. 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 September 30, 2020 and December 31, 2019 and indicates the fair value hierarchy of the valuation inputs utilized to determine such fair value.

September 30, 2020
Assets	Total		Level 1		Level 2		Level 3
Other asset – advance payment to supplier	$	3,919		—		—		3,919

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 September 30, 2020 and December 31, 2019 and indicates the fair value hierarchy of the valuation inputs utilized to determine the approximate fair value:

September 30, 2020	Book		Approximate
Liabilities	Value		Fair Value		Level 1		Level 2		Level 3
Debt
Current portion of long-term debt	$	6,084	$	6,084		—		6,084		—
Long-term debt, less current portion		3,757		3,541		—		3,541		—
Exchangeable Notes
Long-term exchangeable note		17,896		30,027		—		30,027		—
Derivative liability - exchange option and change of control		26,097		26,097		—		—		26,097
Revenue Futures
Current portion of royalty linked notes		74		74		—		—		74
Long-term royalty linked notes, less current portion		12,492		15,708		—		—		15,708
Total	$	66,400	$	81,531		—		39,652		41,879

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 nine months ended September 30, 2020

Balance at December 31, 2019	$	—
Initial fair value upon issuance of the Exchangeable Notes in the Private Placement		27,038
Fair value added upon issuance of Exchangeable Notes in the Rights Offering		82
Adjustment to fair value		(1,023	)
Balance at September 30, 2020	$	26,097

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:

	Nine Months Ended September 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:

	September 30, 2020			January 21, 2020 (Issuance Date)
Expected term in years	4.30			4.98
Volatility		120	%		80	%
Risk-free interest rate		0.28	%		1.57	%
Dividend rate		0	%		0	%
Discount rate		21	%		21	%