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, 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 September 30, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation inputs utilized to determine such fair value.

September 30, 2021
Assets	Total		Level 1		Level 2		Level 3
Short-term investments	$	49,729		49,729		—		—
Other asset – advance payment to supplier		3,185		—		—		3,185
Total	$	52,914	$	49,729	$	—	$	3,185

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 September 30, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation inputs utilized to determine the approximate fair value:

September 30, 2021	Book		Approximate
Liabilities	Value		Fair Value		Level 1		Level 2		Level 3
Debt
Current portion of long-term debt	$	3,244	$	3,244		—		3,244		—
Exchangeable Notes
Long-term exchangeable note		6,134		8,685		—		8,685		—
Derivative liability - exchange option and change of control		9,183		9,183		—		—		9,183
Revenue Futures
Long-term royalty linked notes, less current portion		18,403		18,403		—		—		18,403
Total	$	36,964	$	39,515		—		11,929		27,586

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 nine months ended September 30, 2021:

Balance at December 31, 2020	$	28,865
Conversion of Exchangeable Notes		(80,512	)
Adjustment to fair value		60,830
Balance at September 30, 2021	$	9,183

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, 2021	September 30, 2020
Volatility	120 - 130%	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% - 1.32%	0.18% - 0.78%
Share price	$0.56 - $2.01	$1.68 - $2.03
Fair value of option on grant date	$0.50 - $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:

	September 30, 2021			December 31, 2020
Share price	$	0.558		$	0.989
Market capitalization	$	101,887,609		$	48,887,287
Volatility		140	%		120	%
Risk-free interest rate		0.60	%		0.26	%
Dividend rate		0	%		0	%