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Fair Value of Financial Assets and Liabilities (Tables) | 9 Months Ended
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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 | %

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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=123594938&loc=d3e13467-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the significant assumptions used during the year to estimate the fair value of stock options, including, but not limited to: (a) expected term of share options and similar instruments, (b) expected volatility of the entity's shares, (c) expected dividends, (d) risk-free rate(s), and (e) discount for post-vesting restrictions. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 718 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (f)(2) -URI http://asc.fasb.org/extlink&oid=120381028&loc=d3e5070-113901 + Details
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