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Senior secured term loan facility and warrants (Tables)

9 Months Ended

Sep. 30, 2023

Schedule of key inputs used for valuation

The Company used an independent valuation firm to assist in calculating the fair value of the warrant obligations, using the Black-Scholes option-pricing model. Key inputs for the valuation of the warrant obligations as of September 30, 2023 and December 31, 2022 were as follows:


	As of		As of
	September 30, 2023		December 31, 2022
Exercise price in USD	8.30		8.30
Share price in USD	0.90		3.84
Risk-free interest rate	4.7	%	4.0	%
Expected volatility	80.8	%	80.0	%
Expected term (months)	46.5 months		55.5 months
Dividend yield	—		—
Black-Scholes value in USD	0.15		1.89

Key inputs for the valuations as of August 15, 2022 was as follows:

Deerfield First Tranche


	As of
	August 15, 2022
Exercise price at 130% of the IPO price of 19.00, in USD	24.70
Forced conversion price, in USD	67.93
Share price in USD	10.33
Risk-free interest rate	3.2	%
Expected volatility	85	%
Expected term (months)	32.5
Dividend yield	—
Recovery rate	5	%
Implied bond yield	12.0	%

Deerfield Second Tranche


	As of
	August 15, 2022
Exercise price in USD	28.07
Forced conversion price, in USD	77.19
Share price in USD	10.33
Risk-free interest rate	3.2	%
Expected volatility	85	%
Expected term (months)	32.5
Dividend yield	—
Recovery rate	5	%
Implied bond yield	12.0	%