Convertible debt

9 Months Ended

Sep. 30, 2021

Debt Disclosure [Abstract]

Convertible debt

10. Convertible debt

On 31 March 2020 the Company entered into an agreement to issue up to $10,100 (SEK 100,000) (the “Commitment”) to be funded in tranches (“Tranches”) of ten non-interest-bearing notes (“Notes”) convertible into new shares of the Company, each with a value of $1,010 (SEK 10,000); 95% of each Tranche is received in cash, net of a 5% fee, and the conversion price of the Notes is 95% of the lowest closing volume weighted average price as reported by Bloomberg (“VWAP”).

The Company accounted for the Notes issued under the FVO election whereby the financial instrument is initially measured at its issue-date estimated fair value and subsequently re-measured at estimated fair value on a recurring basis at each reporting date. The estimated fair value adjustment is presented as a single line item within other income (expense) in the accompanying consolidated statements of operations under the caption “change in fair value of convertible notes and derivative liabilities.

We determined the fair value of the Notes using a discounted cash flow valuation technique with a weighted average cost of capital of 15%. The Company estimates the change in fair value attributable to the instrument specific credit risk of the Notes at 1% under the fair value option and accordingly has recognized a loss of $Nil and $9 in other comprehensive income during the three and nine month periods ended September 30, 2021 (2020: $Nil).

Finance costs of $Nil related to the Notes have been recognized in the Company’s statement of operations for the three months ended September 30, 2021 and $298 for the nine months ended September 30, 2021 (three months and nine months ended September 30, 2020 – $475).

The roll forward of the Notes as of September 30, 2021 and December 31, 2020 is as follows:

	September 30, 2021 $			December 31, 2020 $
Opening fair value		1,327			—
Convertible debt issued in the period		1,200			4,670
Change in fair value (loss) reported in statement operations		298			(681	)
Conversion of notes to common shares		(2,825	)		(2,662	)
Ending fair value balance		—			1,327

An effective interest rate determines the fair value of the Notes. The notes are unlisted and therefore, they are categorized as Level 3 in accordance with ASC 820, “Fair Value Measurements and Disclosures.” The notes were fully converted to shares during the period ended June 30, 2021. The estimated fair value of the neet carrying amount of liability component of the Notes as of September 30, 2021 and December 31, 2020 was $Nil and $1,327 respectively.