Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Assets and Liabilities (Tables)

v3.21.2
Fair Value of Financial Assets and Liabilities (Tables)
6 Months Ended
Jun. 30, 2021
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, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation inputs utilized to determine such fair value.

 

June 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Short-term investments

 

$

54,867

 

 

 

54,867

 

 

 

 

 

 

 

Other asset – advance payment to supplier

 

 

3,254

 

 

 

 

 

 

 

 

 

3,254

 

Total

 

$

58,121

 

 

$

54,867

 

 

$

 

 

$

3,224

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Other asset – advance payment to supplier

 

$

3,357

 

 

$

 

 

$

 

 

$

3,357

 

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 was carried at amortized cost on the condensed consolidated balance sheet as of June 30, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation inputs utilized to determine the approximate fair value:

 

June 30, 2021

 

Book

 

 

Approximate

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

Value

 

 

Fair Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Debt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current portion of long-term debt

 

$

4,845

 

 

$

4,845

 

 

 

 

 

 

4,845

 

 

 

 

Exchangeable Notes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term exchangeable note

 

 

5,339

 

 

 

8,414

 

 

 

 

 

 

8,414

 

 

 

 

Derivative liability - exchange option and change of control

 

 

21,864

 

 

 

21,864

 

 

 

 

 

 

 

 

 

21,864

 

Revenue Futures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current portion of royalty linked notes

 

 

190

 

 

 

190

 

 

 

 

 

 

 

 

 

190

 

Long-term royalty linked notes, less current portion

 

 

15,315

 

 

 

15,315

 

 

 

 

 

 

 

 

 

15,315

 

Total

 

$

47,553

 

 

$

50,628

 

 

 

 

 

 

13,259

 

 

 

37,369

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2020

 

Book

 

 

Approximate

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

Value

 

 

Fair Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Debt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current portion of long-term debt

 

$

6,374

 

 

$

6,374

 

 

 

 

 

 

6,374

 

 

 

 

Long-term debt, less current portion

 

 

1,626

 

 

 

1,512

 

 

 

 

 

 

1,512

 

 

 

 

Exchangeable Notes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term exchangeable note

 

 

20,836

 

 

 

31,493

 

 

 

 

 

 

31,493

 

 

 

 

Derivative liability - exchange option and change of control

 

 

28,865

 

 

 

28,865

 

 

 

 

 

 

 

 

 

28,865

 

Revenue Futures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current portion of royalty-linked notes

 

 

114

 

 

 

114

 

 

 

 

 

 

 

 

 

114

 

Long-term royalty-linked notes, less current portion

 

 

13,389

 

 

 

16,379

 

 

 

 

 

 

 

 

 

16,379

 

Total

 

$

71,204

 

 

$

84,737

 

 

 

 

 

 

39,379

 

 

 

45,358

 

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, 2021:

Balance at December 31, 2020

$

28,865

 

Conversion of Exchangeable Notes

 

(80,512

)

Adjustment to fair value

 

73,511

 

Balance at June 30, 2021

$

21,864

 

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

 

 

2021

 

 

June 30, 2020

Volatility

 

 

120

%

 

90.3% - 99.5%

Expected term in years

 

5.5 - 6.25

 

 

5.5 - 6.25

Dividend rate

 

 

0

%

 

0%

Risk-free interest rate

 

0.90% - 1.29%

 

 

0.18% - 0.78%

Share price

 

$1.99 - $2.01

 

 

$1.68 - $2.03

Fair value of option on grant date

 

$1.70 - $1.75

 

 

$1.27 - $1.52

Binomial Option Pricing Model  
Summary of Assumptions Used to Determine Fair Value of Options

The following summary table shows the assumptions used in the binomial option pricing model to estimate the fair value of the Derivative liabilities:

 

 

June 30, 2021

 

 

December 31, 2020

 

Share price

 

$

1.270

 

 

$

0.989

 

Market capitalization

 

$

231,894,738

 

 

$

48,887,287

 

Volatility

 

 

110

%

 

 

120

%

Risk-free interest rate

 

 

0.59

%

 

 

0.26

%

Dividend rate

 

 

0

%

 

 

0

%